沪深300股指期货对现货市场波动性影响的实证研究

发布时间：2018-01-02 20:30

本文关键词：沪深300股指期货对现货市场波动性影响的实证研究　出处：《暨南大学》2013年硕士论文　论文类型：学位论文

【摘要】：2010年4月16日，沪深300股指期货在中期所上市交易，中国股票市场结束了长期只能做多不能做空的单边市历史。股指期货的推出，不仅为投资者提供了一种全新的套期保值、风险管理金融工具，还对股票现货市场的波动性产生着深远影响。随着沪深300股指期货合约交易量的逐渐增大，关于股指期货的理论研究和探索也成为中国金融研究中具有非常重要现实意义的课题，其中，沪深300股指期货对股票现货市场波动性的研究尤其受到高度关注。本文首先对股指期货的交易制度、波动性理论及股指期货对现货市场影响的传导机制进行阐述，深入分析股指期货是如何影响现货市场的；然后通过实证检验，考虑信息冲击的非对称效应，，得出沪深300股指期货的推出较大程度上减弱了现货市场波动性，且负面信息对我国股票现货市场的冲击要比正面信息对股票现货市场的冲击大的结论，随后，本文从我国股指期货市场的现状、信息传递、投资者结构及期货合约的设计等方面对该结论进行了解释说明；最后，针对实证检验结果，本文给出了进一步完善我国期现市场制度的政策建议。在研究方法上，本文选用ADF检验对现货指数收益率序列进行检验，利用AIC准则SC准则选择最优的GARCH模型，运用考虑了信息冲击非对称性的EGARCH模型对现货指数收益率序列进行检验。
[Abstract]:In April 16th 2010, the Shanghai and Shenzhen 300 stock index futures were traded in the medium term, and the Chinese stock market ended the long history of single market, which can only be long and not short. The introduction of stock index futures. It not only provides investors with a new hedging, risk management financial tools, but also has a far-reaching impact on the volatility of the spot stock market. The theoretical research and exploration of stock index futures has also become a very important issue in the financial research in China. The research of Shanghai and Shenzhen 300 stock index futures on the volatility of stock spot market is especially concerned. In this paper, the trading system of stock index futures, volatility theory and the transmission mechanism of stock index futures influence on spot market are expounded, and how stock index futures affect spot market is deeply analyzed. Then through the empirical test, considering the asymmetric effect of information shock, it is concluded that the introduction of CSI 300 stock index futures weakens the volatility of the spot market to a large extent. And the negative information on the stock spot market impact is bigger than the positive information impact on the stock spot market conclusion, then, this paper from the status quo of the stock index futures market, information transmission. The structure of investors and the design of futures contracts are explained. Finally, based on the empirical results, this paper gives some policy suggestions to further improve the present market system in China. In the research method, this paper selects the ADF test to test the spot index return series, and uses the AIC criterion SC criterion to select the optimal GARCH model. The EGARCH model considering asymmetric information shock is used to test the spot index return series.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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