中国股指期货对现货波动影响及传导关系研究

发布时间：2018-02-25 09:40

本文关键词： 波动率条件异方差ARCH模型格兰杰因果关系误差修正模型脉冲响应函数与方差分解　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：股指期货对其现货市场有风险转移和价格发现两大基本经济功能。中国证监会于2010年4月16日推出沪深300股指期货合约,其宗旨就是要发挥期货市场这两大功能,为中国股票现货市场的健康发展保驾护航。本文紧紧围绕期货市场的这两大功能展开,一方面,通过检验现货指数在股指期货推出前后波动性的变化来分析股票现货市场的风险变动情况,另一方面,通过检验期货价格和现货价格的传导关系来分析股指期货的价格发现功能。研究结果不仅对增强机构投资者运用股指期货套期保值的信心有重大意义,同时也能为中国证监会下一步推出国债期货合约提供宝贵借鉴。本文通篇可划分为5个章节：第1章是导论部分；第2章是理论概述部分,主要阐述了股指期货的相关理论；第3章是沪深300股指期货对现货指数波动性影响的实证分析部分；第4章是沪深300股指期货和现货相互传导关系的实证分析部分；第5章是结论部分,通过上文的理论分析与实证检验得出本文的最终结论,并指出了本文的不足之处及相关政策建议。本文主要得出了以下结论： (1)沪深300股指期货很大程度上减缓了现货指数的波动,效果显著。 (2)沪深300期货价格和现货价格互相存在格兰杰因果关系。 (3)沪深300期货市场比现货市场对价格信息反应更加灵敏。 (4)沪深300期货市场和现货市场之间信息传递的时滞不会超过15分钟。 (5)沪深300现货市场对期货市场的冲击要强于期货市场对现货市场的冲击。
[Abstract]:Stock index futures have two basic economic functions of risk transfer and price discovery on its spot market. In April 16th 2010, the CSRC launched the CSI 300 Stock Index Futures contract, the purpose of which is to give play to these two functions of the futures market. To protect the healthy development of China's stock spot market. This paper focuses on these two functions of the futures market. On the one hand, By examining the volatility changes of the spot index before and after the launch of the stock index futures, to analyze the risk changes in the stock spot market, on the other hand, By examining the conduction relationship between futures price and spot price, the paper analyzes the price discovery function of stock index futures. The results not only enhance the confidence of institutional investors in using stock index futures hedging, but also have great significance. At the same time, it can also provide valuable reference for CSRC to launch treasury bond futures contract. This article can be divided into five chapters: the first chapter is the introduction part, the second chapter is the theoretical overview part, mainly elaborated the related theory of stock index futures; The third chapter is the empirical analysis of the impact of Shanghai and Shenzhen 300 stock index futures on spot index volatility; the fourth chapter is the empirical analysis of the relationship between Shanghai and Shenzhen 300 stock index futures and spot; the fifth chapter is the conclusion. Through the theoretical analysis and empirical test above, the final conclusion of this paper, and pointed out the shortcomings of this paper and related policy recommendations. The main conclusions of this paper are as follows:. Shanghai and Shenzhen 300 stock index futures to a large extent slowed the volatility of the spot index, the effect is significant. Shanghai and Shenzhen 300 futures price and spot price each other Granger causality. Shanghai and Shenzhen 300 futures market is more sensitive to price information than the spot market. The time lag between Shanghai and Shenzhen 300 futures market and spot market is not more than 15 minutes. The impact of the Shanghai and Shenzhen 300 spot market on the futures market is stronger than the impact of the futures market on the spot market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

【共引文献】