对沪深300指数期货市场功能变化的综合考量

发布时间：2018-01-02 22:09

本文关键词：对沪深300指数期货市场功能变化的综合考量　出处：《中南大学》2012年硕士论文　论文类型：学位论文

【摘要】：2010年4月16日,中国正式开通沪深300指数期货市场,标志着A股结束了长达20年的单边市场,正式引入股市做空机制,这是中国证券市场逐步走向成熟的必要条件之一。股指期货推出之时,业界争歧较大,争论焦点是在我国证券市场不甚成熟的条件下,股指期货是否能够发挥其应有的功能。纵观国内外研究结果,股指期货的引入对指数波动的影响差异很大,同时在股指期货的价格发现功能方面也存在较大争议。本文考察的便是,沪深300指数期货上市一年多来,其功能是否正被逐渐发掘出来,价格发现功能与指数稳定功能两个指标是否不断优化,抑或由于期现货市场制度的不完善与投资者结构的不合理而造成其功能指标不仅没有逐步优化,甚至反而对现货市场造成了较大的伤害。本文是从价格发现与指数稳定两个功能指标对沪深300指数期货的功能发挥加以考量。在考量价格发现功能方面,本文主要采用向量误差修正模型、方差分解与VAR模型基础下的脉冲响应分析进行了研究；在稳定指数功能方面,本文采用加入虚拟变量的GARCH模型及其扩展模型(TARCH模型、EGARCH模型)进行了研究。结果表明,指数期货推出后一年多来,其价格发现功能得到显著改善,指数期货市场在价格发现方面已经起到决定性作用。另外,沪深300指数期货的推出很好的抑制了沪深300指数的波动性。同时,随着沪深300指数期货市场制度设计不断完善,投资者结构持续优化,交易量稳定上升,股指期货的指数稳定功能得以明显提升,有不断优化的趋势。
[Abstract]:In April 16th 2010, China officially opened the Shanghai and Shenzhen 300 index futures market, marking the end of A shares for 20 years of unilateral market, the formal introduction of the stock market shorting mechanism. This is one of the necessary conditions for China's securities market to gradually mature. When the stock index futures were launched, there was a great deal of controversy in the industry, and the focus of the debate was under the condition that the securities market of our country was not very mature. Whether the stock index futures can play its due function. Throughout the domestic and foreign research results, the introduction of stock index futures on the impact of index volatility is very different. At the same time, the price discovery function of stock index futures is also controversial. This article examines whether the function of Shanghai and Shenzhen 300 index futures has been gradually discovered since it was listed for more than a year. Whether the price discovery function and the index stability function are continuously optimized, or because the spot market system is not perfect and the investor structure is unreasonable, its function index has not been optimized step by step. Even on the spot market has caused greater damage. This paper considers the function of CSI 300 index futures from price discovery and index stability. In the aspect of price discovery, this paper mainly adopts vector error correction model. Variance decomposition and impulse response analysis based on VAR model are studied. In terms of the function of stability index, the GARCH model with virtual variables and its extended model are used in this paper. More than a year after the introduction of index futures, its price discovery function has been significantly improved, the index futures market has played a decisive role in price discovery. The introduction of Shanghai and Shenzhen 300 index futures has suppressed the volatility of Shanghai and Shenzhen 300 index. At the same time, with the continuous improvement of Shanghai and Shenzhen 300 index futures market system design, investors structure continues to optimize. With the steady increase of trading volume, the index stability function of stock index futures is obviously improved and has the trend of continuous optimization.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

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