我国股指期货与股市波动的关系研究

发布时间：2018-05-21 00:40

本文选题：股指期货 + 股市波动　；参考：《江苏大学》2017年硕士论文

【摘要】：2010年4月16日我国正式推出沪深300股指期货。在沪深300股指期货刚推出时,我国股市经历了大幅度的波动,2015年我国股市剧烈震荡时也有观点认为股指期货是引起股票市场剧烈波动的原因,在此背景下本文就沪深300股指期货与我国股票市场波动性的关系,进行了理论和实证分析。本文在梳理国内外股指期货与股市波动关系的相关文献的基础上,对我国股指期货和股票市场的现状进行分析,利用协整检验、Granger因果检验、误差修正模型的方法,对我国股指期货与股票现货的价格之间的关系进行了实证检验,接着用EGARCH模型,进一步测量了我国股指期货对股市波动性的影响。研究表明,我国股指期货与股票现货的价格之间存在长期均衡关系,股指期货对股票市场具有价格发现和引导作用,股指期货降低了股票市场的波动性,包括:股指期货提高了股票市场的信息传递速度,降低了股票市场的非对称性效应,降低了信息对股市波动性影响的持续性。而股指期货的严格管制却增加了股票市场的波动性。最后提出建议:对市场监管方面,要完善金融期货市场的监管体制,加强股指期货监管机构的信息交流,提高监管效率,增强股指期货异常交易的风险控制;对市场交易方面,要完善套期保值的市场机制,改善投资者结构,加强行业自律性建设。
[Abstract]:April 16, 2010, China officially launched the Shanghai and Shenzhen 300 stock index futures. When the Shanghai and Shenzhen 300 stock index futures were first launched, the stock market in our country experienced a lot of fluctuations. When the stock market was volatile in 2015, there were also views that stock index futures were the cause of the sharp fluctuations in the stock market. In this context, this paper makes theoretical and empirical analysis on the relationship between Shanghai and Shenzhen 300 stock index futures and the volatility of China's stock market. This paper analyzes the current situation of stock index futures and stock market on the basis of combing the literature about the relationship between stock index futures and stock market volatility at home and abroad, using co-integration test, Granger causality test, error correction model method. The relationship between stock index futures and stock spot prices is tested empirically, and the influence of stock index futures on stock market volatility is further measured by using EGARCH model. The research shows that there is a long-term equilibrium relationship between stock index futures and spot prices in China. Stock index futures have the function of price discovery and guidance to the stock market, and stock index futures reduce the volatility of the stock market. Including: stock index futures improve the speed of information transmission in the stock market, reduce the asymmetric effect of the stock market, and reduce the persistence of information on the stock market volatility. But the strict control of stock index futures has increased the volatility of the stock market. Finally, some suggestions are put forward: in the aspect of market supervision, we should perfect the regulatory system of financial futures market, strengthen the information exchange of stock index futures regulatory bodies, improve the efficiency of supervision, and strengthen the risk control of abnormal trading of stock index futures. We should improve the market mechanism of hedging, improve the structure of investors, and strengthen the self-discipline construction of the industry.
【学位授予单位】：江苏大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F724.5

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