我国股指期货市场与现货市场相互影响的实证分析

发布时间：2018-02-12 05:07

本文关键词： 沪深300指数股指期货波动性相互影响关系　出处：《贵州财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：自20世纪80年代首个股指期货合约在美国诞生以来，股指期货作为一种管理股票市场系统性风险的金融衍生工具，很快在各国迅速发展起来，继发达国家之后，很多发展中国家也都陆续引入股指期货交易，如今股指期货市场在金融领域中发挥着越来越重要的作用。我国的沪深300股指期货于2010年4月16日正式推出，这表明我国的证券市场进入了一个新的发展阶段。我国股指期货自推出以来，到目前已运行约两年的时间，从指数走势看，，现货指数的波动幅度较大，很多人认为现货指数的大幅波动是由股指期货的推出引起的，也有人认为现货指数的大幅波动带动股指期货的震荡。本文将围绕沪深300股指期货及现货市场指数的波动性及相互影响关系展开讨论。本文以沪深300现货指数及其股指期货数据作为研究对象，通过构建GARCH模型，以沪深300股指期货交易的推出时间为分割点，对股指期货推出前后的样本数据进行比较研究，同时结合ARMA模型的结构变化，分析沪深300股指期货推出后对股票现货市场所产生的波动性影响。接着运用协整检验、格兰杰因果检验分析法对股指期货市场和股票现货市场之间的关系进行研究，可得知二者之间存在长期的均衡关系。最后我们使用VAR（向量自回归）模型、VEC（向量误差修正）模型及脉冲响应分析等方法，进一步对两变量间的相互影响关系进行分析。经过实证分析，我们发现沪深300股指期货的推出增加了沪深300股票现货的波动性，但是波动性影响并不显著，同时我们也发现沪深300股指期货与现货指数价格之间相互影响，但是沪深300股指期货对现货市场的影响更大一些。
[Abstract]:Since the birth of the first stock index futures contract in the United States in 1980s, stock index futures, as a financial derivative for managing systemic risks in the stock market, have developed rapidly in various countries, following the developed countries. Many developing countries have also introduced stock index futures trading one after another, and now the stock index futures market is playing an increasingly important role in the financial field. China's Shanghai and Shenzhen 300 stock index futures were officially launched in April 16th 2010. This indicates that the securities market in China has entered a new stage of development. Since the introduction of stock index futures in China, it has been running for about two years now. Judging from the trend of the index, the volatility of the spot index is quite large. Many people think that the sharp fluctuations in the spot index are caused by the introduction of stock index futures. Some people also think that the large fluctuation of spot index will lead to the volatility of stock index futures. This paper will discuss the volatility and mutual influence of Shanghai and Shenzhen 300 stock index futures and spot market index. Its stock index futures data as the research object, By constructing the GARCH model, taking the launch time of Shanghai and Shenzhen 300 stock index futures as the dividing point, this paper makes a comparative study on the sample data before and after the launch of the stock index futures, combined with the structural changes of the ARMA model. This paper analyzes the impact of Shanghai and Shenzhen 300 stock index futures on the stock spot market, and then studies the relationship between stock index futures market and spot stock market by using co-integration test and Granger causality test. Finally, we use VAR (vector autoregressive) model and vector error correction (VEC) model and impulse response analysis, etc. Through the empirical analysis, we find that the introduction of Shanghai and Shenzhen 300 stock index futures increases the volatility of Shanghai and Shenzhen 300 stock, but the impact of volatility is not significant. At the same time, we also find that the Shanghai and Shenzhen 300 stock index futures and spot index prices affect each other, but the Shanghai and Shenzhen 300 stock index futures have a greater impact on the spot market.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

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