中国股指期货市场的发展路径及投资策略分析

发布时间：2018-04-17 14:33

本文选题：股指期货 + 沪深300　；参考：《天津科技大学》2012年硕士论文

【摘要】：2010年4月16日,是我国资本市场具有里程碑意义的一天,这一天,我国推出了第一只真正意义上的股指期货产品——沪深300股指期货。从沪深300股指期货上市一年多的时间里来看,市场运行平稳,投资者热情高涨,交易量不断攀升。目前为止,沪深300股指期货现已成为全球交易最为活跃的合约之一,在亚洲地区仅次于韩国KOSPI200指数合约。本文全面研究了中国股指期货的发展历程,并对其投资策略做出了简要的分析,主要研究内容如下：首先,本文从我国资本市场初期开始,全面研究中国股指期货的提出、上市和发展的过程。股指期货是在海外市场成功运行多年的股指类衍生品,主要用来管理风险、规避风险,以进行资产配置,它的产生是市场的需要,也是市场发展过程中必然要出现的。中国的资本市场开始于1990年,至今已20年有余,适时地推出适合中国的股指期货产品已显得非常有必要了,本文即从此处开始,全面地研究中国股指期货市场。其次,股指期货的推出到底会对市场造成怎样的波动呢?本文结合了沪深300股指期货仿真阶段的数据和沪深300股指期货上市以后的数据,并应用研究股票波动最经典的GARCH簇模型,分别对仿真期间和上市运行之后的市场初期和远期波动做了研究。结果表明,在股指期货上市初期,股票市场波动较大,随后,对市场的波动影响越来越小,中长期以后,随着股指期货功能的逐渐体现,它对股票市场的波动不会再造成影响,相反,它还能起到稳定市场的作用。最后,本文根据股指期货上市的实际情况,对沪深300股指期货三种主要的投资做了研究,并根据市场实际运行数据对套期保值策略和套利策略做了实证分析。同时,本文分别对个人投资者和机构投资者的投资策略进行了分析,以帮助不同的投资者做出了更好的选择。
[Abstract]:April 16, 2010, is a landmark day in China's capital market. On this day, China launched the first real stock index futures product-Shanghai and Shenzhen 300 stock index futures.Judging from the listing of Shanghai and Shenzhen 300 stock index futures for more than a year, the market is running smoothly, investors' enthusiasm is high and trading volume is rising.By far, CSI 300 futures have become one of the most active contracts in the world, second only to South Korea's KOSPI200 in the region.This paper comprehensively studies the development course of Chinese stock index futures, and makes a brief analysis of its investment strategy. The main research contents are as follows:First of all, this paper starts from the initial stage of China's capital market, and comprehensively studies the process of putting forward, listing and developing stock index futures in China.Stock index futures are stock index derivatives which have run successfully in overseas markets for many years. They are mainly used to manage risks, avoid risks and allocate assets. The emergence of stock index futures is the need of the market and inevitable in the process of market development.The capital market of China began in 1990 and has been more than 20 years so it is necessary to launch the stock index futures products suitable for China in good time. This paper starts from here and studies the stock index futures market of China comprehensively.Secondly, the introduction of stock index futures on the market will cause what kind of fluctuations?This paper combines the data of Shanghai and Shenzhen 300 stock index futures simulation stage and the data of Shanghai and Shenzhen 300 stock index futures after listing, and applies the GARCH cluster model, which is the most classical model to study stock volatility.The market initial and forward volatility during the simulation period and after the market operation are studied respectively.The results show that, at the initial stage of stock index futures listing, the stock market fluctuates greatly, then, the impact on the market volatility becomes smaller and smaller. After a long period of time, with the gradual embodiment of the function of stock index futures, it will not affect the stock market volatility.On the contrary, it can also play a stabilizing role in the market.Finally, according to the actual situation of stock index futures listing, this paper studies the three main investments of Shanghai and Shenzhen 300 stock index futures, and makes an empirical analysis on hedging strategy and arbitrage strategy according to the actual operation data of the market.At the same time, this paper analyzes the investment strategies of individual investors and institutional investors to help different investors to make better choices.
【学位授予单位】：天津科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】