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沪深300股指期货对现货市场波动性影响分析

发布时间:2018-01-19 09:57

  本文关键词: 股指期货 波动性 GARCH模型 Granger因果检验 出处:《辽宁大学》2013年硕士论文 论文类型:学位论文


【摘要】:在国际金融危机期间,国内A股市场经历了较大的震荡,,给投资者带来巨大的投资风险。人们越来越意识到股指期货作为避险工具稳定股市的重要性。2010年4月16日起,中国大陆正式推出了沪深300股指期货。股指期货在我国运行两年多来,是否真的起到了“股市减震器”的作用,则有待于实证检验。 本文旨在通过对股指期货推出前后沪深300指数的波动性对比的研究对此问题进行说明。在本文研究过程中建立了GARCH模型,并通过该模型进行检验,试图发现沪深300股指期货对标的指数波动性的影响。经过检验之后发现,沪深300股指期货在改变股市波动方面并没有起到显著作用,也没有提高市场信息的传递效率。接着本文又用协整检验证明沪深300股指期货和现货存在长期线性均衡关系,并在此基础上进行了Granger因果检验,获得的结果为,沪深300股指期货价格不是沪深300指数的Granger原因,而沪深300指数是其股指期货价格的Granger原因。说明股市的价格波动主要还是来自自身的因素。本文还通过广义脉冲响应函数分析进一步了解期现货市场在冲击反应方面的差异。比较后可以发现,现货价格的影响更为强烈和持久。这也更进一步印证了从Granger因果检验得到的结论:现货市场在定价方面比期货市场起着更为主导的作用。 本文最后部分从实证检验结果出发,分析了我国股指期货的运行机制与环境,认为只有进一步改革相应制度、完善法律法规、创造更宽松的环境,股指期货和资本市场才能相辅相成,协调发展。
[Abstract]:During the international financial crisis, the domestic A-share market experienced a great shock. It brings huge investment risk to investors. People are increasingly aware of the importance of stock index futures as a hedge tool to stabilize the stock market. Since April 16th 2010. The Chinese mainland officially launched the Shanghai and Shenzhen 300 stock index futures. Whether the stock index futures have really played the role of "stock market shock absorber" in China for more than two years has yet to be tested empirically. The purpose of this paper is to explain this problem by comparing the volatility of Shanghai and Shenzhen 300 index before and after the launch of stock index futures. In the course of this study, the GARCH model is established. And through this model to test, trying to find the Shanghai and Shenzhen 300 stock index futures on the volatility of the underlying index. Shanghai and Shenzhen 300 stock index futures have not played a significant role in changing the volatility of the stock market. This paper also uses cointegration test to prove that there is a long-term linear equilibrium relationship between Shanghai and Shenzhen 300 stock index futures and spot. On this basis, the Granger causality test is carried out, and the result is that the futures price of Shanghai and Shenzhen 300 stock index is not the Granger cause of CSI 300 index. The Shanghai and Shenzhen 300 index is the Granger reason of the stock index futures price. It shows that the price fluctuation of the stock market is mainly from its own factors. This paper also makes a further understanding of the current period through the generalized impulse response function analysis. Differences in impact response in the goods market. Comparison can be found. The impact of spot prices is stronger and longer. This further confirms the conclusion from the Granger causality test that the spot market plays a more dominant role in pricing than the futures market. In the last part of this paper, the author analyzes the operating mechanism and environment of stock index futures in China from the empirical test results, and thinks that only by further reforming the corresponding system, perfecting the laws and regulations, creating a more relaxed environment. Stock index futures and capital market can complement each other, coordinate development.
【学位授予单位】:辽宁大学
【学位级别】:硕士
【学位授予年份】:2013
【分类号】:F832.51;F224

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