我国股指期货对股票市场波动性影响研究

发布时间：2018-02-14 14:37

本文关键词： 股指期货波动性 GARCH模型股灾　出处：《山东工商学院》2017年硕士论文　论文类型：学位论文

【摘要】：股指期货是一项伟大的金融创新,其对金融领域防范风险方面的发展具有重要意义。股指期货所具有的套期保值等功能可以帮助投资者对冲风险,还可以丰富投资组合,获取更理想的收益。然而从另一方面考虑,由于股指期货市场交易的高杠杆性以及市场内存在众多投机者,又往往导致一个较小的冲击被数倍放大,进而对整个资本市场造成一定冲击。正是由于这两个方面的作用,股指期货受到众多投资者的广泛关注,同时也吸引很多学者对股指期货进行深入的研究。股指期货对股票市场具有重要影响,股指期货本身的强波动性,使得投资者将股票市场的大幅震荡也归因于股指期货,各种质疑使股指期货经常处于监管层与投资者目光聚集的焦点。自沪深300股指期货推出,到现在已有7年时间,并且目前已是沪深300,上证50与中证500三大股指期货并行发展的局面,然而在我国这样一个新兴市场国家,股指期货市场的发展并非一路顺畅,尤其是在资本市场出现重大事件的情况下,股指期货便备受质疑。就在2014年下半年开始,到2015年6月,我国股票市场经历了一轮大牛市,股指从2000点短短一年时间最高涨到5178点,而跟随大牛市之后而来的便是惨烈的股灾,在这样的一个背景下,股指期货被众多投资者视为是引发股灾的“罪魁祸首”。作为一项救市措施,监管层于2015年9月2日发布公告,限制三大股指期货交易,由此股指期货市场“名存实亡”。本文首先分析了股票市场波动性的特征和影响因素,接着分析了境外国家和地区在推出股指期货之后,股票市场波动性的变化情况,由此对比我国情况进行分析。本文还对股指期货对股灾影响的机理进行了分析,接着结合实际交易数据进一步分析我国2015年股灾的情况,论证股指期货在股灾中扮演的角色,并分析了限制股指期货交易所带来的影响。计量分析部分对沪深300指数收益率序列数据先后运用GA RCH模型,和带有虚拟变量区分股指期货推出与否的GARCH模型,对股指期货对于股票市场波动性的影响进行双重分析,又通过建立短期与长期数据带有虚拟变量的GA RCH模型,考察是否短期内的投机因素在长期内将会回归理性,并通过建立EGARCH模型,研究股票市场受利好利空信息冲击的变化情况。经过机理分析,事件分析以及计量分析,本文最后得出结论股指期货并非是发生股灾的“元凶”,并且股指期货对于股票市场可以起到稳定的作用。文章最后结合研究结论,就是否应当恢复股指期货交易,以及如何更有效地发展股票市场与股指期货,提出了合理建议,希望能够为监管层和投资者带来帮助。
[Abstract]:Stock index futures is a great financial innovation, which is of great significance to the development of risk prevention in the financial field. The hedging function of stock index futures can help investors to hedge risks, and can also enrich the investment portfolio. On the other hand, because of the high level of leverage in the stock index futures market and the presence of many speculators in the market, a smaller impact is often magnified several times. It is precisely because of these two roles that stock index futures have received extensive attention from many investors. At the same time, it also attracts many scholars to conduct in-depth research on stock index futures. Stock index futures have an important impact on the stock market. The strong volatility of stock index futures makes investors attribute the large volatility of the stock market to stock index futures. Stock index futures have often been under the spotlight of regulators and investors due to various doubts. It has been seven years since the launch of the Shanghai and Shenzhen 300 stock index futures. At present, the stock index futures of Shanghai and Shenzhen 300, Shanghai Stock Exchange 50 and China Stock Exchange 500 have developed in parallel. However, in an emerging market like China, the stock index futures market has not developed smoothly all the way. Especially in the case of major events in the capital market, stock index futures have been questioned. Since the second half of 2014, by June 2015, China's stock market has experienced a great bull market. The stock index rose to 5178 points from 2000 to 5178 points in a short period of one year, and following the bull market came a tragic stock market disaster. Against such a background, Stock index futures are regarded by many investors as the "chief culprits" of the stock market disaster. As a rescue measure, regulators issued a notice on September 2nd 2015 to restrict the trading of the three major stock index futures. This paper first analyzes the characteristics and influencing factors of stock market volatility, and then analyzes the changes of stock market volatility in foreign countries and regions after the introduction of stock index futures. This paper also analyzes the mechanism of stock index futures' influence on stock market disaster, then further analyzes the situation of China's stock market disaster in 2015 with actual transaction data, and demonstrates the role of stock index futures in the stock market disaster. The paper also analyzes the influence of the limited stock index futures exchange. The econometric analysis applies GARCH model to the series data of Shanghai and Shenzhen 300 index returns successively, and the GARCH model with virtual variables to distinguish whether the stock index futures are coming out or not. This paper makes a double analysis on the influence of stock index futures on the volatility of stock market, and by establishing GA RCH model of short-term and long-term data with fictitious variables, it investigates whether the short-term speculative factors will return to rationality in the long run. Through the establishment of EGARCH model, this paper studies the change of stock market under the impact of positive and negative information, through mechanism analysis, event analysis and econometric analysis. This paper concludes that stock index futures are not the culprit of the stock disaster, and stock index futures can play a stable role in the stock market. And how to develop stock market and stock index futures more effectively, this paper puts forward some reasonable suggestions, hoping to help regulators and investors.
【学位授予单位】：山东工商学院
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F724.5

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