我国股指期货对股票二级市场影响的实证研究
发布时间:2018-08-14 20:27
【摘要】:本文借鉴国内外学者的研究经验,以股指期货的发展状况和相关理论为基础,采用了定性分析与实证研究相结合的方法,在阐述股指期货在国际和国内的发展背景的基础上,首先介绍了沪深300股指期货的概念、特点、功能及其与股票交易的区别;其次,运用事件分析法:筛选在所研究的时间范围内国内外对股票市场影响较大的一系列事件,并就这些事件对我国上证指数的影响进行分析;筛选事件因素后,仅仅考察沪深300股指期货推出对我国股市的影响并作对比分析,结论表明,股指期货的上市对抑制我国股票市场指数有影响,可以平抑股市大幅涨跌,且有较强的杠杆作用,对投资者规避风险,,获得较高盈利有帮助。本文研究的重点部分是运用事件分析法对沪深300股指期货上市前后的市场环境及事件进行筛选并剔除,仅考虑沪深300股指期货推出前后股票市场波动性对比。运用ARCH效应分时期检验沪深300股指期货上市前后上证指数的收益率是否存在条件异方差性,当残差存在ARCH效应时,需运用ARCH模型或者其扩展形式刻画残差ARCH效应的这种特征。GARCH(p,q)模型实证分析了沪深300指数期货推出对我国股票市场波动性的影响,得出我国股票市场波动性的现状。最后提出了应对我国股指期货风险的对策建议。
[Abstract]:Based on the development of stock index futures and related theories, this paper uses the method of qualitative analysis and empirical research to illustrate the development background of stock index futures both at home and abroad. This paper first introduces the concept, characteristics, functions and differences between Shanghai and Shenzhen 300 stock index futures and stock trading. Secondly, it uses event analysis method to screen a series of events that have a great impact on stock market in the time range studied. The influence of these events on the Shanghai stock index is analyzed. After screening the event factors, only the impact of Shanghai and Shenzhen 300 stock index futures on China's stock market is investigated and compared. The conclusion shows that, The listing of stock index futures has an influence on restraining the stock market index of our country, can restrain the stock market to rise and fall by a large margin, and has the stronger leverage function, which is helpful to the investors to avoid the risk and to obtain the higher profit. The key part of this paper is to use event analysis method to screen and eliminate the market environment and events before and after the listing of CSI 300 stock index futures, and only consider the stock market volatility comparison before and after the launch of CSI 300 stock index futures. Using ARCH effect to test whether there is conditional heteroscedasticity of Shanghai stock index yield before and after Shanghai stock index futures listing, when the residual error exists ARCH effect, It is necessary to use ARCH model or its extended form to characterize the residual ARCH effect. GARCH (papq) model is used to empirically analyze the impact of Shanghai and Shenzhen 300 index futures on the volatility of China's stock market, and the present situation of the volatility of China's stock market is obtained. Finally, the countermeasures and suggestions to deal with the risk of stock index futures in China are put forward.
【学位授予单位】:西安科技大学
【学位级别】:硕士
【学位授予年份】:2012
【分类号】:F832.5;F224
本文编号:2184026
[Abstract]:Based on the development of stock index futures and related theories, this paper uses the method of qualitative analysis and empirical research to illustrate the development background of stock index futures both at home and abroad. This paper first introduces the concept, characteristics, functions and differences between Shanghai and Shenzhen 300 stock index futures and stock trading. Secondly, it uses event analysis method to screen a series of events that have a great impact on stock market in the time range studied. The influence of these events on the Shanghai stock index is analyzed. After screening the event factors, only the impact of Shanghai and Shenzhen 300 stock index futures on China's stock market is investigated and compared. The conclusion shows that, The listing of stock index futures has an influence on restraining the stock market index of our country, can restrain the stock market to rise and fall by a large margin, and has the stronger leverage function, which is helpful to the investors to avoid the risk and to obtain the higher profit. The key part of this paper is to use event analysis method to screen and eliminate the market environment and events before and after the listing of CSI 300 stock index futures, and only consider the stock market volatility comparison before and after the launch of CSI 300 stock index futures. Using ARCH effect to test whether there is conditional heteroscedasticity of Shanghai stock index yield before and after Shanghai stock index futures listing, when the residual error exists ARCH effect, It is necessary to use ARCH model or its extended form to characterize the residual ARCH effect. GARCH (papq) model is used to empirically analyze the impact of Shanghai and Shenzhen 300 index futures on the volatility of China's stock market, and the present situation of the volatility of China's stock market is obtained. Finally, the countermeasures and suggestions to deal with the risk of stock index futures in China are put forward.
【学位授予单位】:西安科技大学
【学位级别】:硕士
【学位授予年份】:2012
【分类号】:F832.5;F224
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