我国股指期货与股市波动关系研究

发布时间：2018-01-01 12:00

本文关键词：我国股指期货与股市波动关系研究　出处：《吉林财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：股指期货目前已经发展成为全球最重要的金融衍生品，具有价格发现、信息透明度高、套期保值以及风险规避等功能，在国外已经有20多年的发展历史。但是直到2010年4月16日我国才引入股指期货，股指期货上市之初引发了股市连续数月的下跌，因此，很多人开始讨论股指期货给股票市场带来的影响，由于股指期货的上市引发了较大的争议，而本文正是基于这一背景而展开深入的研究。首先，本文对国内外的研究成果进行了系统性的梳理，发现两个市场之间关系密切，为了探究期货市场与股票市场的关系，本文通过理论与实证相结合的方法进一步研究。其次，关于两者之间的关系实证检验，本文运用VAR模型来进行研究，包括协整分析、误差修正模型、Granger因果检验、脉冲响应函数等方法，分别就股指期货自上市初期及上市两年后与股票市场的关系进行了实证分析。在股指期货推出初期，其短期波动的实证研究表明，股票市场的大跌并不是由股指期货下跌引起的，同时在对外部信息的反应速度上，股指期货市场更迅速，而股票市场则更持久。在股指期货推出两年后，股指期货市场与股票市场存在长期协整关系，，当短期波动偏离长期均衡值时，误差修正模型项系数表明了股指期货市场的调整更迅速、及时，而股票市场的调整力度则更强。两个市场之间存在单项引导关系，股指期货价格引导股票市场价格的变动。最后，采用GARCH模型来对比研究股指期货推出前后对股票市场产生的影响，实证表明，我国股指期货的推出不仅没有加剧股票市场的波动，反而减弱了其波动性。这说明我国引入股指期货是正确的选择，不仅有助于熨平股票市场的波动性，对未来开发其他金融衍生产品奠定了良好的基础。
[Abstract]:Stock index futures have developed into the most important financial derivatives in the world, with the functions of price discovery, information transparency, hedging and risk aversion. There have been more than 20 years of development in foreign countries. However, stock index futures were not introduced into China until April 16th 2010, which caused the stock market to decline for several months at the beginning of the stock market listing. Many people began to discuss the impact of stock index futures on the stock market. Due to the listing of stock index futures caused a great deal of controversy, and this paper is based on this background to carry out in-depth research. First of all, this paper systematically combed the domestic and foreign research results, found that the relationship between the two markets is close, in order to explore the relationship between the futures market and the stock market. This paper further studies through the combination of theory and empirical method. Secondly, the empirical test of the relationship between the two, this paper uses VAR model to study, including cointegration analysis, error correction model Granger causality test, impulse response function and other methods. This paper analyzes the relationship between stock index futures and stock market from the initial stage and two years after listing. The empirical research on the short term fluctuation of stock index futures in the early stage of stock index futures is shown. The sell-off in the stock market was not caused by the fall in stock index futures, which reacted more quickly to external information and more persistently. Two years after the launch of stock index futures. There is a long-term cointegration relationship between stock index futures market and stock market. When the short-term fluctuation deviates from the long-term equilibrium value, the error correction model item coefficient indicates that the adjustment of stock index futures market is more rapid and timely. The adjustment of stock market is stronger. There is a single leading relationship between the two markets, and the price of stock index futures leads to the change of stock market price. Finally, using GARCH model to compare the impact of stock index futures on the stock market before and after the introduction of stock index futures, empirical results show that the introduction of stock index futures in China not only does not aggravate the volatility of the stock market. This shows that the introduction of stock index futures in China is the right choice, which not only helps to smooth the volatility of stock market, but also lays a good foundation for the development of other financial derivatives in the future.
【学位授予单位】：吉林财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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