沪深300股指期货与股价指数的关联分析

发布时间：2018-01-18 08:45

本文关键词：沪深300股指期货与股价指数的关联分析　出处：《新疆财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：2007年美国的次贷危机迅速演变成金融海啸席卷全球，导致各国股市动荡股价暴跌，而像我国这类新兴国家的股票市场更是暴跌了70%。反观发达国家，跌幅超过30%的寥寥无几，特别是次贷危机的发源地美国跌幅仅为25%（2007年10月），其原因之一是由于股指期货市场良好的运行，交易量和持仓量显著增加从而起到稳定股市的效果。这充分体现了股指期货风险转移和再分配的能力，成为了发达经济体股票市场的“避风港”。在此背景下，我国在2010年4月16日推出了沪深300指数期货合约，股指期货的推出将在真正意义上开启我国金融产品创新的时代，在一定程度上转移产品同质化所可能带来的市场共振和系统性风险。由于我国股指期货推出时间很短，无论是从我国的实践角度还是深化理论认识角度出发，都需要更多的、有针对性的探讨股指期货市场与现货市场的关系问题。本文共分为四个章节，第一章是导论，首先叙述了国内外的经济环境，提出股指期货推出的背景和其研究意义，在此基础上对国内外相关研究进行了文献综述。第二章是我国期货市场和现货市场概述。叙述了我国期货市场的背景、功能和现状以及我国证券市场的现状、特点和功能，最后以沪深300股指期货和股价指数为例，，对它们进行了描述性的分析。第三章是实证分析，研究了我国现货市场和期货市场间的波动效应和动态相关效应，最后分析了它们之间的尾部相关性。第四章是结论和建议，最后提出本文的不足。
[Abstract]:In 2007, the subprime mortgage crisis in the United States quickly turned into a financial tsunami that swept the world, causing the stock price of various countries to tumble, and the stock market of the emerging countries like China plunged even more than 70%. In contrast, the developed countries. Few have fallen more than 30%, especially in the United States, where the subprime crisis originated. (October 2007, one of the reasons is that the stock index futures market is functioning well. The significant increase in trading volume and position has the effect of stabilizing the stock market, which fully reflects the ability of risk transfer and redistribution of stock index futures and becomes a "safe haven" for the stock markets of developed economies. In this context, in April 16th 2010, China launched the Shanghai and Shenzhen 300 index futures contract, the introduction of stock index futures will truly open the era of financial product innovation in China. To some extent, transfer the market resonance and systemic risk that product homogenization may bring. Because of the short time of stock index futures in our country, whether from the perspective of practice or deepening the theoretical understanding of the point of view. All need more, targeted to explore the relationship between the stock index futures market and the spot market. This paper is divided into four chapters. The first chapter is the introduction. Firstly, it describes the economic environment at home and abroad, and puts forward the background and significance of the introduction of stock index futures. The second chapter is the overview of China's futures market and spot market. The background, function and current situation of China's futures market and the current situation of China's securities market are described. Finally, taking the Shanghai and Shenzhen 300 stock index futures and stock price index as examples, this paper makes a descriptive analysis of them. Chapter three is the empirical analysis. The volatility effect and dynamic correlation effect between the spot market and futures market in China are studied. Finally, the tail correlation between them is analyzed. Chapter 4th is the conclusion and suggestion, and finally puts forward the deficiency of this paper.
【学位授予单位】：新疆财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.5

【参考文献】