我国股指期货对现货市场波动性影响研究

发布时间：2018-01-02 14:45

本文关键词：我国股指期货对现货市场波动性影响研究　出处：《西南财经大学》2012年硕士论文　论文类型：学位论文

更多相关文章： 股指期货 波动性 GARCH模型 VEC模型

【摘要】：股指期货是以股票价格指数作为基础资产标的物的标准化期货合约,是一种重要的金融衍生工具。自从上个世纪80年代美国推出首个股指期货合约以来,全球已经有37个国家和地区推出了本国的股指期货,这几乎涵盖了所有的发达国家和部分发展中国家和地区。2010年4月16日,我国也正式推出自己的股指期货—沪深300指数期货,它标志着我国资本市场的进一步完善和成熟,同时也为广大的投资者提供了更多的投资渠道和套期保值空间。对于股指期货的引入是否会对现货市场的波动产生影响这一问题,国内外学者研究的结论并不相同。迄今为止,沪深300指数期货推出将近两年,它是有效降低了股票现货市场的波动性,还是加剧了其波动性,宏观经济变量在股指期货推出前后对现货市场波动性的影响是否有变化,股指期货推出是否改善了市场的有效性,对这些问题的解答具有强烈的现实意义。基于上述原因,本文以沪深300指数和沪深300指数期货的日收益率时间序列作为样本数据,采用一系列计量模型实证分析了沪深300指数期货推出后股票现货市场波动的变化情况,讨论了股指期货推出前后现货市场是否存在“杠杆效应”,研究了股指期货交易量对现货市场的影响以及探讨了我国证券市场是否存在股指期货交割日波动效应。同时运用VEC模型、方差分解研究了一些宏观经济变量在股指期货推出前后分别对现货市场波动性的影响,以期能为广大投资者和政策制定者提供一定的参考依据。本文共分为五个部分。第一部分为绪论。主要介绍了本文研究的背景和意义,本文的研究思路、方法和框架,以及本文特色和不足。第二部分为研究综述部分。主要对国内外关于股指期货推出对现货市场波动性影响的文献进行归纳总结。第三部分为股指期货及其波动性相关理论。介绍了沪深300指数和沪深300指数期货的发展、特点、意义以及股指期货与股票市场波动性的相关理论。第四部分是关于股指期货推出对股市波动性影响的实证分析。使用GARCH模型族分析了现货市场的波动性在股指期货推出后的变化情况。同时研究了宏观经济变量在股指期货推出前后分别对现货市场波动性的影响。第五部分为研究结论及建议。根据实证分析的结果对全文内容进行总结分析,提出相应的政策建议。本文的研究结果表明：(1)沪深300指数期货推出没有显著影响我国股票市场的波动性。(2)股指期货推出之前,沪深300指数收益率存在杠杆效应,但是在股指期货推出之后杠杆效应不显著。(3)在GARCH模型中加入股指期货成交量进行了实证分析,结果表明沪深300指数期货的成交量增加会加大现货市场的波动性,但是这种作用很微弱。(4)我国股指期货交割日波动效应不显著。(5)沪深300指数期货推出加大了宏观经济变量对我国股票现货市场波动的影响,加快了我国股票现货市场的信息传递速度,改善了市场的有效性。本文特色：第一、在研究对象的选择上,目前国内研究主要集中在国外市场或者使用沪深300仿真数据进行研究,使用真实数据分析沪深300指数期货对现货市场价格波动性影响的研究较少,本文利用最新实盘数据深入研究了我国股指期货和现货的关系,多角度考察了沪深300指数期货推出对我国股票现货市场波动性的影响。第二、研究方法较为系统全面。本文不仅研究了我国引入股指期货对现货市场波动性的总体影响,讨论了股指交割日波动性效应的问题,而且加入相关宏观经济变量来实证分析股指期货推出前后现货市场波动性的变化。第三、运用了VEC模型和方差分解考察了股指期货推出前、后,宏观经济变量与股票现货市场的波动关系,国内外学者较少使用这种对比方法进行研究。
[Abstract]:Stock index futures is a stock price index as the underlying assets of the standardized futures contracts, is a kind of important financial derivatives. Since the last century in the United States in 80s launched the first stock index futures contract, the world has launched their stock index futures in 37 countries and regions, which covers almost all the developed countries and some developing countries and regions of.2010 in April 16th, China officially launched the Shanghai and Shenzhen 300 index futures stock index futures - own, it marks China's capital market to further improve and mature, and provide more investment channels and hedging space for the majority of investors. For the introduction of stock index futures will produce the impact of this problem on the spot market volatility, the conclusions of scholars are not the same.
So far, the Shanghai and Shenzhen 300 index futures for nearly two years, it is effective to reduce the volatility of the stock market, or exacerbated the volatility of macroeconomic variables, whether there is a change in the impact on the stock market volatility before and after the introduction of stock index futures, stock index futures will improve the effectiveness of the market, has a strong practical significance the answers to these questions. Based on the above reasons, this paper to return the CSI 300 index and CSI 300 index futures rate time series as the sample data, using a series of econometric model and empirical analysis of the Shanghai and Shenzhen 300 index futures stock market volatility changes, discusses the existence of the "leverage effect" of stock index futures before and after the stock market, studies the influence of stock index futures trading volume on the stock market and discusses the existence of stock index futures delivery of securities market in China Daily volatility effect. Meanwhile, we use VEC model and variance decomposition to study the impact of some macroeconomic variables on the volatility of spot market before and after the launch of stock index futures, in order to provide some references for investors and policymakers.
This paper is divided into five parts. The first part is the introduction. It mainly introduces the background and significance of this study, the research ideas, methods and framework, and the characteristics and shortcomings. The second part is the overview part. Mainly about the domestic and foreign stock index futures on the volatility of the spot market literature were summarized the third part is the volatility of the stock index futures and its related theory. Introduced the characteristics of development, Shanghai and Shenzhen 300 index and the CSI 300 index futures, meaning and the related theory of stock index futures and stock market volatility. The fourth part is about the introduction of stock index futures, an Empirical Analysis on the impact of stock market volatility. Using the GARCH model analysis of fluctuation the variation in the spot market after the introduction of stock index futures. At the same time on the macroeconomic variables in the stock index futures on the volatility of the stock market. The fifth part is the conclusion and suggestion of the study. According to the results of the empirical analysis, the content of the full text is summarized and analyzed, and the corresponding policy suggestions are put forward.
The results of this study show that: (1) the Shanghai and Shenzhen 300 index futures did not significantly affect the volatility of the stock market of our country. (2) before the launch of stock index futures, Shanghai and Shenzhen 300 index yield have lever effect, but after the introduction of stock index futures, the leverage effect is not significant. (3) to join in the GARCH model of stock index futures trading volume by empirical analysis, the results show that the increase in the Shanghai and Shenzhen 300 index futures trading volume will increase the volatility of the stock market, but this effect is very weak. (4) the delivery date of China's Stock Index Futures Volatility effect is not significant. (5) the Shanghai and Shenzhen 300 index futures increased the effects of macroeconomic variables on stock market fluctuation in China, to speed up China's stock market information transmission speed, improve the effectiveness of the market.
This paper features: first, in the selection of research object, the research focused on the domestic market or overseas study using the Shanghai and Shenzhen 300 simulation data, using real data analysis on the Shanghai and Shenzhen 300 index futures on the stock market price volatility is less, the paper makes in-depth study of the relationship between China's stock index futures and spot with the latest firm data, investigates the Shanghai and Shenzhen 300 index futures on the volatility of China stock market. Second research methods systematically. This paper not only studies the overall impact of the introduction of stock index futures on the volatility of the stock market, the stock delivery date volatility effect problem, and join relevant macro the economic variables to the empirical analysis of the changes of spot market volatility before and after the introduction of stock index futures. Third, using the VEC model and variance decomposition on stock index futures Before and after the delivery of goods, the fluctuation relationship between macroeconomic variables and stock spot market is not used by scholars at home and abroad.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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