中国股指期货市场对现货市场影响的实证研究

发布时间：2018-09-07 18:22

【摘要】：19世纪80年代以后股指期货在西方发达国家推出以后,很多国家陆续推出了具有本国特色的期货产品,股指期货作为一种重要的风险规避工具迅速的发展起来,现今股指期货已经成为了我国金融市场上进行投机和套利必不可少的部分。我国于2010年4月推出沪深300股指期货,这标志着我国的金融发展进入了一个新的时期,金融市场进入了注重资本运行效率和风险合理规避的重要阶段。本文旨在研究股指期货和现货之间的联动关系和套期保值作用的实现问题,进一步研究在不同的市场行情下股指期货推出对现货市场的波动性、流动性的影响以及两个市场之间的波动溢出效应,同时通过不同的模型研究股指期货套期保值作用的效果,期望能够对金融市场有一个良好的认识和把握,为市场的监管和经济政策制定提供一定的依据。研究结果显示,股指期货的正式运行之后,牛市阶段的现货市场波动性没有显著的变化,流动性明显增加,熊市阶段的现货市场波动性明显增加,流动性没有显著变化。两个市场的收益率在横盘和牛市阶段存在着显著地单向溢出,在熊市阶段不存在溢出。两个市场之间存在着显著地双向波动溢出效应,由期货市场变化引起的对方市场波动性的变化远远大于现货市场变化所引起的对方市场波动性的变化。通过建立不同的模型进行套期保值研究,结果表明动态模型的套期保值效果要好于静态模型,近期合约的套期保值效果好于远期合约,这表明近期合约更能够有效地规避市场中的风险,进行套期保值投资。
[Abstract]:After the introduction of stock index futures in western developed countries in the 1880s, many countries have launched futures products with their own characteristics one after another. Stock index futures, as an important tool of risk aversion, have developed rapidly. Now stock index futures have become an essential part of speculation and arbitrage in our financial market. China launched Shanghai and Shenzhen 300 stock index futures in April 2010, which indicates that the financial development of our country has entered a new period, and the financial market has entered an important stage of paying attention to the efficiency of capital operation and the reasonable evasion of risks. The purpose of this paper is to study the linkage relationship between stock index futures and spot and the realization of hedging, and to further study the volatility of stock index futures on the spot market under different market conditions. The influence of liquidity and the volatility spillover effect between the two markets. At the same time, through different models to study the effect of the hedging effect of stock index futures, we hope to have a good understanding and grasp of the financial market. For the market regulation and economic policy formulation to provide a certain basis. The results show that after the stock index futures run formally, the volatility of spot market in bull market has no significant change, the liquidity has increased obviously, the volatility of spot market in bear market has obviously increased, and the liquidity has not changed significantly. The yields of the two markets have significant one-way spillovers in the horizontal and bull markets, but no spillovers in the bear market. There is a significant two-way volatility spillover effect between the two markets. The volatility of the other market caused by the change of the futures market is far greater than that of the other market caused by the change of the spot market. The results show that the hedging effect of the dynamic model is better than that of the static model, and the hedging effect of the short-term contract is better than that of the forward contract. This shows that recent contracts can more effectively avoid market risks and hedge investment.
【学位授予单位】：新疆财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F724.5

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