中国股指期货市场涨跌幅制度研究

发布时间：2018-01-14 03:02

本文关键词：中国股指期货市场涨跌幅制度研究　出处：《天津大学》2012年硕士论文　论文类型：学位论文

【摘要】：1987年10月19日的全球股票市场暴跌，使人们意识到，投资者对市场信息的过度反映和交易指令的暂时非平衡对市场具有破坏性的冲击，促使许多海外股指期货市场建立了稳定市场价格的相关措施，这主要包括：断路器和涨跌停板。我国沪深300指数期货的顺利推出，标志着我国指数期货市场与股票市场并存的跨市场结构的形成，如何有效对股指期货市场以及跨市场风险进行管理，是关系到股指期货市场是否健康发展的根本。本文以国内外学者关于涨跌停板理论的研究为基础，基于计算实验金融的实验方法模拟不同涨跌停条件下市场运行情况并对市场稳定性进行比较研究，然后通过POT极值优化模型进行实际测算，得到我国沪深300指数期货的最优设置幅度。因此，本文的主体研究主要分为两个部分：第一部分，以TBS-ASIFM人工金融市场模型为仿真平台，通过修改股指期货市场涨跌幅度设置参数，模拟不同涨跌幅度下市场运行情况，并通过选用较为合理的波动性和流动性指标将不同条件下市场稳定性进行比较分析，得出以下结论：加强对我国股指期货市场的涨跌幅度的限制以及不设置涨跌停都不利于市场的稳定性，保持当前涨跌幅度设置或者适当放宽涨跌幅度限制都有利于市场稳定发展。第二部分，选取2010年5月至2012年5月的数据，通过运用基于POT极值理论的优化模型对沪深300股指期货市场收益率尾部分布进行估计，然后利用保证金水平与涨跌幅度之间的关系进行研究，得到如下结论：沪深300指数期货收益率可以很好的用Pareto模型拟合，，研究所获得的参数估计结果具有可信度，通过POT极值的方法得出沪深300股指期货市场涨跌幅合理设置应为涨停板应为9.9%，跌停板应为12.3%。
[Abstract]:The global stock market crash in October 19th 1987 made people realize that investors' overreaction to market information and the temporary imbalance of trading orders had a devastating impact on the market. To promote many overseas stock index futures market to establish the relevant measures to stabilize the market price, which mainly include: circuit breakers, ups and downs, the launch of China's Shanghai and Shenzhen 300 index futures smoothly. It marks the formation of cross-market structure of index futures market and stock market, how to effectively manage stock index futures market and cross-market risk. This paper is based on the domestic and foreign scholars' research on the theory of the price limit of the stock index futures market, which is related to the healthy development of the stock index futures market. The experimental method based on the calculation of experimental finance simulates the market operation under different ups and downs and carries on the comparative research to the market stability, then carries on the actual calculation through the POT extreme value optimization model. The optimal setting range of CSI 300 index futures in China is obtained. Therefore, the main body of this paper is divided into two parts: The first part takes the TBS-ASIFM artificial financial market model as the simulation platform, through modifying the index futures market fluctuation range setting parameter, simulates the market operation situation under the different rise and fall range. And through the selection of more reasonable volatility and liquidity indicators to compare and analyze the market stability under different conditions. The following conclusions are drawn: strengthening the limit on the fluctuation of stock index futures market and not setting a limit are not conducive to the stability of the market. Maintaining the current fluctuation range or relaxing the limit are conducive to the stable development of the market. The second part selects the data from May 2010 to May 2012 and uses the optimization model based on POT extreme value theory to estimate the tail distribution of the yield of Shanghai and Shenzhen 300 stock index futures market. Then using the margin level and the relationship between the rise and fall of the study, the following conclusions: Shanghai and Shenzhen 300 index futures yield can be well fitted with Pareto model. The results of parameter estimation obtained by the study have credibility. Through the method of POT extreme value, it is concluded that the reasonable setting of Shanghai and Shenzhen 300 stock index futures market should be 9.9%. The limit should be 12. 3.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

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