股灾期间中国股指期货对股票市场波动影响研究

发布时间：2018-03-27 17:06

本文选题：股灾　切入点：沪深300　出处：《广西大学》2017年硕士论文

【摘要】：沪深300股指期货于2010年4月16日上市,是我国首个上市的股指期货。随着我国资本市场的不断发展,作为重要的金融衍生品的股指期货对其现货股票市场波动性影响的研究显得十分必要。而我国股票市场从2015年6月中旬到2016年2月底经历了多次断崖式的下跌,造成投资者的巨大损失,出现了沪深两市出现千股跌停的异常现象,甚至引发世界多处股票市场的暴跌。于是国内部分学者就认为股指期货是这次股票市场大跌的引火线,但是股指期货设计初衷是最大程度地对冲股票市场的系统性风险。在此背景下,本文收集了2010年到2016年的股指及其期货数据,采用GARCH模型分析了在2015年到2016年发生的股灾期间中国股指期货对现货股票市场波动影响。本文首先说明了股灾的界定范围,概述了股指期货的特征及其功能,并介绍了股指期货对现货股票市场波动性的影响机理。接着,详细介绍了 2015年至2016年我国发生的重大股灾事件的具体过程及原因分析。随后,针对股灾期间中国股指期货对现货股票市场波动影响进行了实证分析,具体是将股灾期间划分成三轮小股灾,并得出限仓政策在一定程度上降低了股指期货对股票市场的波动性的结论。同时,通过震荡期、牛市以及股灾期间的对比分析,得出了股灾期间股指期货在一定程度上降低了股票市场的波动性的结论。据此结论,提出了有关市场建设方面的政策建议。
[Abstract]:Shanghai and Shenzhen 300 stock index futures listed on April 16, 2010, is the first stock index futures listed in China. As an important financial derivative, it is necessary to study the influence of stock index futures on the volatility of its spot stock market. However, the stock market in China experienced several precipitous falls from mid-June 2015 to the end of February 2016. As a result of the huge losses of investors, the unusual phenomenon of thousands of stocks falling by the limit on the Shanghai and Shenzhen stock exchanges, and even the collapse of many stock markets around the world, some domestic scholars thought that stock index futures were the trigger for the stock market to plummet this time. But stock index futures were designed to hedge against the systemic risk of the stock market to the greatest extent. In this context, this paper collects the stock index and its futures data from 2010 to 2016. Using GARCH model, this paper analyzes the impact of stock index futures on the volatility of spot stock market during the period of stock disaster from 2015 to 2016. Firstly, this paper explains the definition scope of stock market disaster, and summarizes the characteristics and functions of stock index futures. The paper also introduces the influence mechanism of stock index futures on the volatility of spot stock market. Then, it introduces in detail the concrete process and cause analysis of the major stock disaster from 2015 to 2016 in China. This paper makes an empirical analysis on the impact of stock index futures on the volatility of the spot stock market during the period of the stock disaster, specifically divides the period of the stock disaster into three rounds of small stock disasters. At the same time, through the comparative analysis of shock period, bull market and stock disaster period, The paper draws the conclusion that stock index futures reduce the volatility of stock market to a certain extent during the period of stock disaster, and puts forward some policy suggestions on market construction.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F724.5

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