中证500股指期货对股票市场波动性影响分析

发布时间：2018-01-12 10:06

本文关键词：中证500股指期货对股票市场波动性影响分析　出处：《内蒙古大学》2017年硕士论文　论文类型：学位论文

【摘要】：股指期货上市对标的股票市场波动性的研究,在相关金融文献一直存在争议。2015年4月,中证500股指期货上市开始交易,这是首次以小盘股为标的指数的股指期货。本文研究调查了引入中证500股指期货交易对其标的指数价格波动的影响,同时对后续的发展提供建议。文章首先对关于股指期货对标的股票市场波动性影响的国内外相关研究进行了文献综述,比较了主要的各类研究结果、分析了现有的研究方法及各种方法的优劣。文章基于股指期货市场和标的股票市场的跨市场相关性,采用Hsiao(2011)面板数据政策评估方法[1],构建标的股票市场的反事实方法,即利用中证500股票指数和其他指数和宏观经济变量的相关性,预测出如果股指期货没有在上市时间后上市交易的现货市场月波动率,通过对实际值和预测值做出对比。通过实证研究发现,中证500股指期货上市交易,在绝大多数月份实现平抑标的股票市场波动性作用。在对于反事实效应分析时,预测值和实际值个20个样本月的结果显示,12个月中股指期货上市降低标的现货指数的波动性,表明我国第一个小盘股为标的的股指期货基本实现了其平抑市场波动的功能。同时在实证部分后面进行了稳健性检验,采用主成分分析法和GARCH模型方法进行,和实证分析的结论一致。在结论部分进行了总结,并给出了相应的建议。
[Abstract]:The research on the volatility of the underlying stock market by the listing of stock index futures has always been controversial in the relevant financial literature. On April 2015, the stock index futures of China Stock Exchange 500 began to trade. This is the first stock index futures with small-cap stocks as the target index. This paper investigates the influence of the introduction of China Stock Index 500 stock index futures on the price fluctuation of its underlying index. At the same time, to provide suggestions for the follow-up development. Firstly, this paper reviews the domestic and foreign research on the impact of stock index futures on volatility of the underlying stock market, and compares the main results. This paper analyzes the advantages and disadvantages of the existing research methods. Based on the cross-market correlation between the stock index futures market and the underlying stock market, the paper adopts Hsiaoqi 2011) panel data policy evaluation method. [1], the counterfactual method of constructing the underlying stock market, that is, using the correlation between CSE500 stock index and other indexes and macroeconomic variables. If the stock index futures are not listed after the time of listing the spot market volatility, by comparing the actual value and the predicted value. Through empirical research, we found that the stock index futures listed in China 500 stock index futures trading. In most months, the volatility of the underlying stock market is calmed. In the analysis of counterfactual effects, the results of 20 sample months of predicted and actual values show. The listing of stock index futures in 12 months reduces the volatility of the underlying spot index. It shows that the stock index futures with the first small-cap stock as the target have basically achieved the function of stabilizing the market volatility. At the same time, the robustness test has been carried out after the empirical part. The principal component analysis (PCA) and GARCH model are used in this paper, which are consistent with the conclusions of the empirical analysis. In the conclusion part, the conclusions are summarized and the corresponding suggestions are given.
【学位授予单位】：内蒙古大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F724.5

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