我国股指期货推出对标的成分股的影响

发布时间：2018-01-04 19:07

本文关键词：我国股指期货推出对标的成分股的影响　出处：《南京财经大学》2013年硕士论文　论文类型：学位论文

更多相关文章： 股指期货 股票现货 成分股 波动性

【摘要】：我国股指期货推出后，对股票市场产生了巨大影响，为机构投资者和散户投资者提供了一个有效的风险对冲工具，改变了股票市场的盈利模式，加大了国内资本市场的深度。股指期货的套期保值、套利、价格发现、分散投资风险等功能，有助于规避系统风险，稳定资本市场。国内外已做多了大量关于股指期货对股票现货市场影响的研究，然而对股指期货的推出对成分股的影响却未作详细研究。本文将通过理论与实证分析研究我国股指期货对指数成分股的影响，，结论表明，沪深300股指期货的引入确实对成分股的估值产生了溢价现象，但是这种溢价现象在引入之前更为明显，并且随着时间的推移这种溢价会变的越来越弱；股指期货的交易短期内加大了标的成分股股价的波动，长期来看这种波动加大的现象可能会变弱。
[Abstract]:After the introduction of stock index futures , the stock market has a great impact on the stock market , providing an effective risk hedging instrument for institutional investors and retail investors , changing the profit and profit pattern of the stock market and increasing the depth of the domestic capital market . The hedging , arbitrage , price discovery , diversification and investment risk of stock index futures can help to avoid system risk and stabilize the capital market . There are many researches on stock index futures on stock spot market at home and abroad . However , the effect of stock index futures on stock index futures has not been studied in detail . This paper will study the influence of stock index futures on the index of stock index futures by theory and empirical analysis . The conclusion shows that the introduction of Shanghai - Shenzhen - 300 index futures does have a premium on the valuation of stocks , but this premium phenomenon becomes more and weaker before the introduction of stock index futures , and as time goes on , the premium will become weaker ; the trading of stock index futures increases the fluctuation of the stock price of the subject in the short term , and the phenomenon of increased volatility can be weakened for a long time .

【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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