股指期货交易对我国A股市场影响的实证研究

发布时间：2018-01-15 07:03

本文关键词：股指期货交易对我国A股市场影响的实证研究　出处：《西南交通大学》2012年硕士论文　论文类型：学位论文

更多相关文章： 股指期货 Granger因果检验 GARCH模型

【摘要】：股指期货作为一种金融衍生产品,它的作用已经受到越来越多的重视。股指期货被誉为20世纪最成功的金融产品,但股指期货对股票市场的影响却一直没有定论。 2010年4月16日,我国推出了国内股指期货合约—沪深300股指期货合约。到目前为止,沪深300股指期货合约交易已有一年半的时间了,在这一段时间里,股指期货在我国市场中表现如何?它对我国A股市场带来什么样的影响?这两个问题金融市场参与者都十分关心的问题,也是监管部门急于知道的问题。本文的研究目标就是来回答这两个问题。本文的研究方法：首先,运用Granger因果检验模型对沪深300指数和沪深300股指期货的数据进行研究,通过实证的结果分析沪深300股指期货在我国市场是否有价格发现的作用。其次,通过对沪深300股指期货推出前后的沪深300指数做GARCH分析,通过实证结果分析沪深300股指期货推出后对我国A股市场的波动性影响。在实证研究的基础上,结合我国的实际情况,本文作者提出了自己的政策建议：1.增加交易品种,完善交易体系2.调整市场结构,加大机构投资者入市比例3.发展对冲基金,随着股指期货交易的不断活跃,应该成立一定数量的对冲基金参与市场。
[Abstract]:The role of stock index futures as a financial derivative product has attracted more and more attention. Stock index futures are regarded as the most successful financial products in twentieth Century, but the impact of stock index futures on stock market has not been conclusive.
In April 16, 2010, China launched a domestic stock index futures contracts, the Shanghai and Shenzhen 300 stock index futures contracts. So far, the Shanghai and Shenzhen 300 stock index futures contracts for a year and a half, in this period of time, how the stock index futures in China market? It will bring what kind of impact on the A stock market in China? These two questions of financial market participants are very concerned about the issue, but also the regulatory authorities are anxious to know the problem. This paper aims to answer these two questions.
The research methods of this paper: first, research data using Granger causality test model of the CSI 300 index and CSI 300 stock index futures, through empirical analysis of the results of CSI 300 stock index futures is price discovery role in China's market. Secondly, the Shanghai and Shenzhen 300 stock index futures in Shanghai and Shenzhen 300 index before and after the introduction of GARCH analysis through empirical analysis, the volatility impact on the A stock market in China after the launch of CSI 300 stock index futures.
On the basis of empirical research, combined with China's actual situation, the author puts forward his own suggestions: 1. increase the variety of transactions, and improve the trading system 2. to adjust the market structure, increase the proportion of institutional investors into the market development of 3. hedge funds, with stock index futures is constantly active, we should set up a certain number of hedge fund participation the market.

【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

【引证文献】