股指期货推出对股票相关性的影响研究

发布时间：2018-01-10 15:07

本文关键词：股指期货推出对股票相关性的影响研究　出处：《中南大学》2012年硕士论文　论文类型：学位论文

【摘要】：从90年代初上海证券交易所和深圳证券交易所成立至今,中国资本市场发生了翻天覆地的变化,一系列的金融改革和金融创新得到发展和运用,我国资本市场也取得了长足的进步。2010年4月我国推出的沪深300股指期货就是其中最重要的一部分。股指期货具有规避风险、价格发现、优化资源配置等功能,其推出使得我国资本市场结构更为完善,投资品种更为丰富,投资策略更为多样化,股指期货的推出对我国建立多层次成熟的资本市场起到巨大的推动作用。但是由于股指期货本身交易的特殊性,其产生和发展在世界范围内引起了很大的争议,那么,股指期货的推出能不能给现阶段我国的资本市场带来预期的效果?其对股票市场的影响又是怎样的呢? 股票相关性是指在一段时间之内,两类或者多类资产价格或者收益率之间的相关关系,通常用相关性系数表示。股票相关性与资本市场系统性风险和构建资产组合有着重要的联系,股票之间的相关性越高,市场的系统性风险就越高,构建的资产组合有效性就越差。股票相关性的高低是一个国家资本市场成熟与否的表现,伴随着资本市场的不断完善,股票相关性会呈现一个逐渐下降的过程。股指期货是我国资本市场建设的一个重要步骤,那么股指期货对股票相关性又会产生什么影响呢?本文就带着以上的问题,从股指期货与股票相关性关系的角度出发,研究股指期货对股票市场的影响。本文把我国股指期货的推出当做是一个循序渐进的过程,按照重要事件的时间点把整个过程分成三段,分别研究指数成立时间点前后、股指期货正式推出前后股票相关性的变化。研究结果发现,沪深300指数成立和沪深300股指期货的推出都有效的提高了股票之间的相关性,并且沪深300股指期货的推出还提高了沪深两市之间的相关性。另外,本文对沪深300指数调整事件进行了研究,发现其存在指数效应。本文最后总结股指期货在现阶段我国资本市场的实施效果,为完善我国股指期货制度,降低股票市场相关性提供了政策建议,并为后续的研究提供了思路。
[Abstract]:Since the establishment of Shanghai Stock Exchange and Shenzhen Stock Exchange at the beginning of 90s, China's capital market has undergone earth-shaking changes, and a series of financial reforms and financial innovations have been developed and applied. China's capital market has also made great progress. In April 2010, the Shanghai and Shenzhen 300 stock index futures is the most important part of the stock index futures. Stock index futures have the risk avoidance, price discovery. Optimization of resource allocation and other functions, its introduction makes our country's capital market structure more perfect, investment variety more abundant, investment strategy more diversified. The introduction of stock index futures plays a huge role in promoting the establishment of a multi-level and mature capital market in China. However, because of the particularity of stock index futures trading itself, the emergence and development of stock index futures has caused great controversy in the world. So, can the introduction of stock index futures bring the expected effect to the capital market of our country at this stage? What is its impact on the stock market? Stock correlation refers to the correlation between two or more asset prices or returns over a period of time. Usually expressed as correlation coefficient, stock correlation has an important relationship with capital market systemic risk and building asset portfolio. The higher the correlation between stocks, the higher the market systemic risk. The lower the validity of the asset portfolio, the worse the equity correlation is the maturity of a country's capital market, accompanied by the continuous improvement of the capital market. Stock index futures is an important step in the construction of capital market in China, so what influence will stock index futures have on stock correlation? With the above problems, this paper studies the influence of stock index futures on the stock market from the perspective of the correlation between stock index futures and stocks. This paper regards the introduction of stock index futures as a gradual process, divides the whole process into three sections according to the time points of important events, and studies the time points before and after the establishment of the index. Research results show that the establishment of CSI 300 index and the introduction of CSI 300 stock index futures can effectively improve the correlation between stocks. And the introduction of Shanghai and Shenzhen 300 stock index futures also improves the correlation between Shanghai and Shenzhen stock markets. In addition, this paper studies the Shanghai and Shenzhen 300 index adjustment events. Finally, this paper summarizes the implementation effect of stock index futures in China's capital market at the present stage, and provides policy recommendations for perfecting the stock index futures system and reducing the correlation of stock market. It also provides the train of thought for further research.
【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】：F832.51

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