我国股指期货市场有效性研究

发布时间：2018-03-11 05:11

本文选题：股指期货市场　切入点：市场有效性　出处：《山西财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：2010年4月16日，中国金融期货交易所推出沪深300股指期货正式进行交易，，标志着股指期货登上了中国证券市场的舞台。两年多的发展，沪深300股指期货的成交量和成交额不断扩大，对证券市场的影响与日俱增。股指期货在价格发现和套期保值方面发挥着重大的作用，学者对股指期货的研究也集中于策略的研究。但随着股指期货的发展，越来越有迹象表明股指期货的有效性相对较低，提高股指期货的有效性也日渐成为理论界和实务界关注的重点。论文对有效市场的理论进行了系统的梳理，并对检验市场有效性的实证方法进行介绍，选取了适合本文的实证方法，基于我国股指期货市场的真实交易数据，运用序列相关模型、协整检验模型和GARCH模型进行实证分析，得出我国股票价格指数的价格和期货合约的价格服从随机游走分布，并且二者之间存在协整关系，最终表明我国股指期货市场呈现弱式有效的特征。论文对造成我国股指期货弱式有效的原因进行分析，从市场交易机制，投资者的行为以及市场监管等角度入手，发现我国的股指期货市场的交易机制存在缺陷，投资者的行为缺少理性，市场监管不合理，法制建设落后，从而导致我国股指期货市场弱式有效的运行状态。在本文的末尾针对我国股指期货弱式有效的现状，结合我国股指期货市场弱式有效的原因，相应的提出建议，以期我国股指期货市场快速、稳健的发展。
[Abstract]:In April 16th 2010, the China Financial Futures Exchange launched the Shanghai and Shenzhen 300 stock index futures to be formally traded, marking that stock index futures have stepped onto the stage of China's securities market. The development of stock index futures has been going on for more than two years. The volume and turnover of Shanghai and Shenzhen 300 stock index futures are constantly expanding, and the impact on the securities market is increasing. Stock index futures play an important role in price discovery and hedging. However, with the development of stock index futures, there are more and more signs that the effectiveness of stock index futures is relatively low. Improving the effectiveness of stock index futures has become the focus of theoretical and practical circles. This paper systematically combs the theory of efficient market, introduces the empirical method to test the validity of market, and selects the empirical method suitable for this paper, based on the real trading data of stock index futures market in China. By using the sequential correlation model, cointegration test model and GARCH model to analyze the price of stock price index in China and the price service of futures contract in China, we can find out that the price of stock price index and the price service of futures contract walk from random, and there is a cointegration relationship between the price index and the price service of futures contract. Finally, it shows that the stock index futures market of our country is weak and effective. This paper analyzes the causes of weak and effective stock index futures in China. From the perspective of market trading mechanism, investors' behavior and market supervision, it finds that the trading mechanism of stock index futures market in China is flawed. Investors' behavior is lack of rationality, market supervision is unreasonable, and legal system construction is backward, which leads to weak effective operation state of stock index futures market in our country. At the end of this paper, aiming at the current situation of weak effective stock index futures in our country, Combined with the reason of weak and effective stock index futures market in our country, this paper puts forward some suggestions in order to develop stock index futures market quickly and steadily.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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