沪深300股指期货对沪深300指数股票市场的波动性影响研究

发布时间：2018-05-20 18:20

本文选题：股指期货 + 波动性　；参考：《云南财经大学》2017年硕士论文

【摘要】：自2010年来,股指期货已经在中国推出已有七年,股指期货相对推出时已经取得了很大的进步,在发展国家的金融市场的过程中扮演着重要角色,股指期货本是为了规避系统性风险、完善资金的配置和股市的稳定器而能上市交易,然而在2015年股票现货市场出现了新的一轮股灾,沪深两大股市绝大多数个股都经历了大幅震荡,股市被重新洗牌。而这时的股指期货成为首要质疑对象被推向风口,在1987年时也同样出现此问题,当时的美国及全球范围内股市崩盘爆发,投资者们对期指的信任在股灾后几乎一去不复返。近年来,分析股指期货是否真是股票市场暴跌首要元凶成为热门研究话题。波动性则是这个研究话题的核心,波动性反映就是市场的风险,对研究期货是否发挥了其本身的功能作用是十分重要的。本文以沪深300期现货市场为标的,研究时使用理论先行,然后与实证分析有机结合方法来研究波动性及二者价格之间的相关性问题,波动性研究部分选择的样本数据时间段是2005年4月8日至2016年12月31日,采用的是沪深300指数交易日的日收盘价数据,先通过构建GARCH模型对所选样本空间做检验分析,采用EGARCH、PGARCH等非对称性GARCH模型对输出结论验证。在考察期现相关性部分选择样本数据的时间段是2010年4月16日至2016年12月31日,选用沪深300指数交易日的日收盘价,以及沪深300期指主力合约连续日的日收盘价,在做实证分析时,先做平稳性ADF检验,用Granger因果检验来说明期现价格间短期关系,然后通过协整检验和误差修正模型得出二者之间的长期关系。本文研究结论:(1)启动沪深300股指期货正式交易后其对应的指数现货市场的波动性的减弱。(2)限制沪深300期指交易后同样也减小现货市场的波动性,但影响不是很显著,这可能跟研究阶段时正处于股市低迷时期、监管力度、去杠杆等因素有关。(3)沪深300市场的期现价格在短期、长期中都保持一种均衡关系,并且从长期看,股指期货比现货指数市场更能发挥发现价格的功能,也可理解为期货市场的价格要领先于现货市场指数指标。
[Abstract]:Since 2010, stock index futures have been launched in China for seven years. Stock index futures have made great progress when they were relatively launched, and have played an important role in the process of developing the country's financial markets. Stock index futures could be traded in order to avoid systemic risks, improve the allocation of funds and stabilize the stock market. However, in 2015, there was a new round of stock market disasters in the spot stock market. Shanghai and Shenzhen stock markets are the vast majority of stocks have experienced a major shock, the stock market was reshuffled. At this time, stock index futures were pushed into the air, as was the case in 1987, when the stock market crash broke out in the United States and around the world, and investors' trust in the index was almost gone after the crash. In recent years, it has become a hot topic to analyze whether stock index futures are the main culprit of the stock market collapse. Volatility is the core of this research topic, volatility reflection is the risk of the market, and it is very important to study whether futures play its own function. This paper takes the Shanghai and Shenzhen 300 spot market as the target, uses the theory first when the research, then combines the method with the empirical analysis to study the volatility and the correlation between the two prices. The period of sample data selected in the volatility study is from April 8, 2005 to December 31, 2016. It adopts the data of daily closing price of the Shanghai and Shenzhen 300 Index trading days. Firstly, the selected sample space is tested and analyzed by constructing the GARCH model. The asymmetric GARCH model was used to verify the output results. The period from April 16, 2010 to December 31, 2016, is the time period for selecting the sample data in the relevant part of the survey period. The daily closing price of the Shanghai and Shenzhen 300 Index trading days and the daily closing price of the main contracts of the Shanghai and Shenzhen 300 futures index are selected. In the empirical analysis, the stationary ADF test and Granger causality test are used to illustrate the short-term relationship between current prices, and then the long-term relationship between them is obtained by cointegration test and error correction model. This paper concludes that: 1) the volatility of the corresponding index spot market is weakened after the launch of the Shanghai and Shenzhen 300 stock index futures trading. (2) limiting the Shanghai and Shenzhen 300 futures index to reduce the volatility of the spot market after trading, but the impact is not very significant. This may be related to the fact that the current price of the Shanghai-Shenzhen 300 market is in a balanced relationship in the short and long term, and in the long run, is related to factors such as the intensity of supervision, deleveraging, and other factors in the stock market downturn at the time of the research stage. Stock index futures can play a more important role in discovering prices than spot index markets, and it can also be understood that the price of futures market is ahead of the index of spot market.
【学位授予单位】：云南财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F724.5

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