沪深300指数期现货间的波动溢出效应

发布时间：2018-04-06 03:24

本文选题：VAR　切入点：GARCH-BEKK　出处：《西南政法大学》2012年硕士论文

【摘要】：金融市场之间的关系是金融领域关注和研究的热点。对此，国内外经济学家做了大量深入的研究，研究结果表明金融市场之间的关系主要表现为溢出效应。溢出效应是指一个组织在进行某项活动时，不仅会产生活动所预期的效果，而且会对组织之外的人或社会产生的影响。简而言之，就是某项活动要有外部收益，而且是活动的主体得不到的收益。溢出效应在金融市场间的关系主要体现在两个方面，即波动溢出效应和收益（均值）溢出效应。股指期货和其对应的股票现货市场的关系是金融研究领域的一个热点问题。随着中国资本市场日趋完善，金融创新层出不穷，金融市场间的关系日益密切。随着股指期货产品的推出，中国股指期货市场与现货市场之间的关系不断加强，并成为目前国内金融界关注的热点。由于股指期货直到2010年4月才推出，在我国又是新生事物，所以还有许多问题没有研究清楚，因此非常有必要对股指期货和股票市场之间的关系进行探讨和研究。本文主要针对股指期货和现货市场的均值溢出和波动溢出效应做了研究。以中国金融期货交易所上市的股指期货和沪深交易所联合发布的沪深300指数（HS300指数）作为研究对象，借鉴国际研究成果，探讨两者之间的关系，二者之间的关系主要表现为溢出效应，包括均值溢出效应和波动溢出效应，在研究中，均值溢出效应通过一阶矩关系来表示，波动溢出效应则通过二阶矩来体现。首先，阐述研究的背景、目的及意义，研究内容和方法以及主要创新点，作为本文的绪论。第二章，通过对国内外研究现状的综述，回顾了波动溢出效应的研究历史，分析了国内外的研究趋势和特点，为本论文后面章节的实证研究部分起到一个铺垫作用。第三章，用行为金融学的理论阐述了波动溢出的机理，解释了波动的起源、特征，传递与扩散方式，对波动溢出做了定性分析，有助于更好地理解波动溢出效应。第四章，分析了用于波动溢出效应研究的计量模型的发展现状。第五章是本文的重点所在，对中国股指期货与现货市场的均值溢出和波动溢出作了实证分析与检验。该部分采用VAR方程以及基于VAR的GARCH-BEKK模型刻画了期货市场与现货市场两个收益率序列间的均值和波动溢出效应，，最后得出了相关的结论。在本文最后的第六章，在得出的实证分析结论的基础上，阐述了研究结论对中国股指期货的几点启示，并描述了笔者对波动溢出效应研究的展望。
[Abstract]:The relationship between financial markets is the focus of attention and research in the field of finance.In this regard, economists at home and abroad have done a lot of in-depth research, and the results show that the relationship between financial markets mainly shows spillover effect.Spillover effect refers to the effect that an organization not only produces the expected effect of an activity, but also has an impact on people or society outside the organization.In short, an activity must have external benefits, and the main body of the activity can not get income.The relationship between spillover effects in financial markets is mainly reflected in two aspects: volatility spillover effect and earnings (mean) spillover effect.The relationship between stock index futures and its corresponding stock spot market is a hot issue in the field of financial research.With the perfection of Chinese capital market and the emergence of financial innovation, the relationship between financial markets is becoming more and more close.With the introduction of stock index futures products, the relationship between Chinese stock index futures market and spot market has been strengthened, and has become a hot spot in domestic financial circles.Because stock index futures is not introduced until April 2010 and is a new thing in our country, there are still many problems that have not been studied clearly, so it is very necessary to discuss and study the relationship between stock index futures and stock market.This paper focuses on the average spillover and volatility spillover effects of stock index futures and spot markets.Taking the stock index futures listed on the China Financial Futures Exchange and the Shanghai and Shenzhen 300 Index published jointly by the Shanghai and Shenzhen Stock Exchange as the research objects, and referring to the international research results, the paper discusses the relationship between the two.The relationship between them is mainly expressed as spillover effect, including mean spillover effect and volatility spillover effect. In the study, the mean spillover effect is expressed by the first-order moment relation, and the volatility spillover effect is reflected by the second-order moment.First, the background, purpose and significance of the research, research content and methods, as well as the main innovation points, as the introduction of this paper.The second chapter reviews the research history of volatility spillover effects at home and abroad, and analyzes the research trends and characteristics at home and abroad, which serves as a foreshadowing role for the empirical research in the later chapters of this paper.In the third chapter, we explain the mechanism of volatility spillover with behavioral finance theory, explain the origin, characteristics, transmission and diffusion mode of volatility, and make a qualitative analysis of volatility spillover, which is helpful to better understand the effect of volatility spillover.In chapter 4, the current situation of econometric models used in volatility spillover study is analyzed.The fifth chapter is the focus of this paper, the stock index futures and spot market in China mean spillover and volatility spillover empirical analysis and test.In this part, VAR equation and GARCH-BEKK model based on VAR are used to describe the mean value and volatility spillover effect between futures market and spot market.In the last chapter of this paper, on the basis of the conclusions of empirical analysis, this paper expounds the enlightenment of the conclusions to China's stock index futures, and describes the prospect of the research on volatility spillover effect.
【学位授予单位】：西南政法大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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