沪深300股指期货对股票市场影响及关系研究

发布时间：2018-06-25 09:14

本文选题：IF300 + 波动性　；参考：《西安电子科技大学》2012年硕士论文

【摘要】：2010年4月16日我国正式交易沪深300的股指期货,将“单边”市场改为“双边”投资市场。然而推出股指期货之前,学界和经济界进行了激烈地争论。呼吁推出股指期货的人认为,股指期货形成的双向市场能够提高市场效率和价格发现功能,利于投资者进行套期保值,控制风险；反对推出者认为,目前的环境不够公开和透明,监管规则地缺失会使市场遭到操纵,使中小投资者受到威胁,加剧市场的波动。期货以现货为基础,避险为目的而产生,价格走势受到现货的价格和未来需求影响。但是金融期货低保证金制度和现金交割制度使得其在很多市场反客为主,出现了“期货这只狗尾巴不再是由现货这只狗晃动身子而摆动,而是狗尾巴拽着狗身子晃动”的现象。因此我国股指期货对股票市场起到什么作用,是稳定市场还是加剧波动,是正面作用还是消极作用,利用第一手交易数据来研究IF300对我国股票市场波动性的影响,不仅可评价我国股指期货作用,也可帮助股票参与者了解二者关系,以进行对冲和控制投资风险。另外探究沪深300指数和沪深300期货二者究竟是谁影响谁,谁对市场的反应更为迅速,谁能够领先或者左右谁,对于股票和期货投资者具有重要的投资航向标作用。针对以上研究方向,本文在沪深300期货对股票市场波动性影响中,以2010年4月16日沪深300股指期货推出日为分割点,对沪深300指数从2009年1月5日至2011年7月29日交易的日和周收益率时间序列采用引入虚拟变量的GARCH模型进行波动性变化研究。同时在沪深300期货和指数走势决定关系研究中,以2010年4月19日到2011年10月13日沪深300指数和IF300指数日收益率构建VAR模型后进行Granger分析来探究因果关系,并以沪深300指数和IF300合约的每分钟收益率序列为研究对象进行互相关分析,进一步研究领先滞后程度水平。最后结合研究结论给股市和期货参与者提出适当的投资建议。
[Abstract]:On April 16, 2010, China officially traded the stock index futures of Shanghai and Shenzhen 300, and changed the "unilateral" market into the "bilateral" investment market. However, before the introduction of stock index futures, the academic and economic circles have been fiercely debated. Those who call for the introduction of stock index futures believe that the two-way market formed by stock index futures can improve market efficiency and price discovery function, facilitate investors to hedge and control risks. The current environment is not open and transparent, the lack of regulatory rules will make the market manipulated, make small and medium-sized investors under threat, and increase market volatility. Futures are based on spot and safe from risk. The price trend is influenced by spot price and future demand. But the financial futures low margin system and the cash delivery system make it in many markets mainly against customers, "futures this dog tail is not by spot this dog wobble body and wobble, but dog tail tugs the dog body wobble" phenomenon. Therefore, what role does stock index futures play on the stock market, whether to stabilize the market or to aggravate the volatility, whether to play a positive or negative role, and to use first-hand trading data to study the impact of IF300 on the volatility of China's stock market. It can not only evaluate the function of stock index futures in China, but also help the participants to understand the relationship between them in order to hedge and control the investment risk. In addition, it is important for stock and futures investors to explore who influences who and who responds more quickly to the market and who can lead or control the stock and futures investors. In view of the above research direction, this paper takes the date of Shanghai and Shenzhen 300 stock index futures launch on April 16, 2010 as the segmentation point in the stock market volatility impact of CSI 300 futures. Based on the GARCH model which introduced virtual variables into the time series of daily and weekly returns of CSI 300 index from January 5, 2009 to July 29, 2011, the volatility changes of CSI 300 index were studied. At the same time, in the study of the relationship between Shanghai and Shenzhen 300 futures and index trend, Granger analysis is carried out to explore the causality after constructing VAR model with the daily yield of Shanghai and Shenzhen 300 index and IF300 index from April 19, 2010 to October 13, 2011. Based on the CSI 300 index and the per minute return series of IF300 contract, the cross-correlation analysis is carried out to further study the level of leading lag. Finally, combined with the conclusions of the study, the paper puts forward appropriate investment suggestions to the participants of stock market and futures.
【学位授予单位】：西安电子科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】