沪深300股指期货推出对股市波动性的影响研究

发布时间：2018-04-05 12:05

本文选题：沪深300股指期货　切入点：ARCH模型　出处：《湘潭大学》2012年硕士论文

【摘要】：沪深300股指期货与2010年4月16日正式上市交易。从理论上分析，股指期货有价格发现、套期保值、风险管理、市场追踪等等功能，是投资者在资产组合管理和交易中不可或缺的重要工具。但是，股指期货也是一把双刃剑。在它为金融市场带来无限利益的同时也增加了整个市场的交易风险。作为被市场寄予厚望的第一只股票衍生金融产品，沪深300股指期货对于稳定我国股票市场，减小市场波动方面，究竟起到了何种作用，是理论界十分关心的问题。然而，由于数据可得性的限制，相关研究尚不完善。研究我国股票市场在沪深300股指期货推出后的变化，有助于判断沪深300股指期货是否良好运行，是否被广泛运用于风险管理和资产组合管理，这对理论和应用都有着深远的意义。本文采用被广泛运用于描述金融资产的波动聚集性特征的ARCH模型，并创造性地引入了虚拟变量，使得模型具有更强的拟合和解释能力。文章采集了沪深300股指期货推出前后的沪深300股票指数作为交易数据，在分析两个阶段样本各自的特征后，进行对比，并创造性地引入了虚拟变量，以发现股指期货的推出对我国股票现货市场波动率的影响。通过研究，本文认为股指期货的推出，改变了沪深300指数运行的规律，，但对沪深300指数波动率并未产生较大的影响。上证指数和深成指的波动率均有所减弱，但这种减弱非常微小。对于市场整体的波动率并未产生明显的影响。本文首先介绍了论文选题的背景和意义，并对针对此问题已有的研究成果进行了归纳和总结。在介绍了论文的研究思路和方法后，对文章的创新和不足进行了阐述。在第二章中，文章介绍了股指期货的定义和主要特点，并进一步介绍了股指期货的功能。在阐述了股指期货在全世界范围内的发展后，还对沪深300股指期货的发展进行了描述。第三章主要对股指期货对股票现货市场产生波动可能的传导途径进行了总结和概括。第四章介绍了ARCH类模型的理论原理，并在此基础上进行了建模分析并得出相关结论。第五章为全文结论。
[Abstract]:Shanghai and Shenzhen 300 stock index futures and April 16, 2010 officially listed trading.Theoretically, stock index futures have the functions of price discovery, hedging, risk management, market tracking and so on, which are indispensable tools for investors in portfolio management and trading.However, stock index futures are also a double-edged sword.While it brings unlimited benefits to the financial markets, it also increases the transaction risk of the whole market.As the first stock derivative financial product, Shanghai and Shenzhen 300 stock index futures have played a very important role in stabilizing the stock market and reducing the fluctuation of the stock market in China.However, due to the limitations of data availability, the relevant research is not perfect.The study of the changes of the stock market after the launch of CSI 300 stock index futures is helpful to judge whether the CSI 300 stock index futures are running well and whether they are widely used in risk management and portfolio management.This has profound significance to theory and application.In this paper, the ARCH model, which is widely used to describe the volatility and aggregation characteristics of financial assets, is widely used, and the virtual variable is introduced creatively, which makes the model have stronger ability of fitting and explaining.This paper collects the stock index of Shanghai and Shenzhen 300 stock index before and after the launch of CSI 300 stock index futures as trading data, after analyzing the characteristics of the samples in the two stages, compares them, and creatively introduces virtual variables.In order to find out the impact of the introduction of stock index futures on the stock market volatility.Through the research, this paper thinks that the introduction of stock index futures has changed the operation law of Shanghai and Shenzhen 300 index, but has no great influence on the volatility of Shanghai and Shenzhen 300 index.Volatility in both the Shanghai and Shenzhen indices has weakened, but the decline has been minimal.For the market as a whole volatility did not have a significant impact.This paper first introduces the background and significance of the topic, and summarizes the existing research results.After introducing the research ideas and methods of the paper, this paper expounds the innovation and deficiency of the paper.In the second chapter, the paper introduces the definition and main characteristics of stock index futures, and further introduces the function of stock index futures.After expounding the development of stock index futures all over the world, the development of Shanghai and Shenzhen 300 stock index futures is described.The third chapter summarizes and generalizes the possible conduction ways of stock index futures to stock spot market volatility.The fourth chapter introduces the theory of ARCH class model, and on the basis of it, it analyzes the model and draws the relevant conclusions.Chapter five is the conclusion of the paper.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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