我国沪深300股指期货与现货市场间风险传染效应的实证研究

发布时间：2018-04-06 21:27

本文选题：沪深300股指期货　切入点：风险传染效应　出处：《山西财经大学》2017年硕士论文

【摘要】：随着经济全球化进程的不断推进,世界各国或地区金融市场的开放程度也在不断深化,有效地促进了金融资本在全球自由流动。同时,市场信息的传递效率随着信息技术的快速发展变得更加的高效,可以通过多渠道、多方位的形式,由一个市场传递到其他市场中,大大提高现代金融市场的效率。世界经济联系的不断加强和互相依存关系的加强,也给金融市场间风险传染带来了极大地隐患。在此背景下,如何识别金融市场风险的存在,有效地预防风险在金融市场间的传染,并通过制定相关政策及法律法规来保证资本市场平稳的向前发展,已经成为了下一步需要重点关注的主题。基于上述背景,本文选取上海和深圳300指数期货(IF)作为研究对象,通过选取最新、最有代表性的数据,运用更加有效地实证模型,分别分析研究沪深300股指期货与沪深300股票指数现货(HS)以及其他现货市场股票指数之间的风险传染效应,在一定程度上丰富我国在股指期现货风险传染方面的研究。首先从理论角度分析我国股指期货市场与现货市场之间的关系,并详细阐述了风险传染的相关概念及风险传染机制。其次通过构建GARCH模型和运用格兰杰因果关系检验,实证结果表明沪深300股指期货的引入在一定程度上抑制了现货市场的波动,减弱了市场间的风险传染效应。最后引入国内外其他金融市场上股票指数数据,运用因子分析将其归纳为国内市场因子(IM)与国外市场因子(FM),然后分别用沪深300股指期货收益率序列与国内市场因子、国外市场因子构建二元BEKK-GARCH模型,从实证角度分析研讨沪深300股指期货与国内外现货市场之间的风险传染效应。结果表明,沪深300股指期货与现货市场间的风险传染效应是双向的,而相比较于沪深300股指期货对其他现货市场波动性的影响而言,其更容易受到来自现货市场波动性的影响。因此,本文从实证结果出发,就如何如何改善中国股指期货市场发展,提高金融市场效率,建立协调统一监管体系等方面提出政策建议。
[Abstract]:With the development of economic globalization, the opening degree of financial markets in various countries and regions of the world is deepening, which effectively promotes the free flow of financial capital in the world.At the same time, with the rapid development of information technology, the transmission efficiency of market information becomes more efficient. It can be transferred from one market to other markets through multi-channel and multi-directional form, which greatly improves the efficiency of modern financial market.The continuous strengthening of the world economic ties and the strengthening of interdependence have also brought great hidden dangers to the risk contagion among financial markets.In this context, how to identify the existence of financial market risks, effectively prevent the contagion between financial markets, and make relevant policies and laws to ensure the smooth development of capital markets.Has become the next step to focus on the theme.Based on the above background, this paper selects Shanghai and Shenzhen 300 Index Futures as the research object, through the selection of the latest, most representative data, using more effective empirical model,This paper analyzes the risk contagion effect between Shanghai and Shenzhen 300 stock index futures, Shanghai and Shenzhen 300 stock index spot index and other spot market stock indexes, to a certain extent, it enriches the research on spot risk contagion in stock index period in China.Firstly, the relationship between stock index futures market and spot market is analyzed theoretically, and the concept of risk contagion and the mechanism of risk contagion are expounded in detail.Secondly, by constructing GARCH model and using Granger causality test, the empirical results show that the introduction of Shanghai and Shenzhen 300 stock index futures to some extent has restrained the volatility of the spot market and weakened the risk contagion effect between the markets.Finally, we introduce stock index data from other financial markets at home and abroad, and use factor analysis to summarize them into domestic market factors (IMM) and foreign market factors (FMN), and then use CSI 300 stock index futures yield series and domestic market factors respectively.This paper constructs a dual BEKK-GARCH model of foreign market factors and analyzes the risk contagion effect between Shanghai and Shenzhen 300 stock index futures and spot market at home and abroad from an empirical point of view.The results show that the risk contagion effect between Shanghai and Shenzhen 300 stock index futures and spot market is two-way, but compared with the impact of Shanghai and Shenzhen 300 stock index futures on other spot market volatility, it is more vulnerable to the impact of spot market volatility.Therefore, based on the empirical results, this paper puts forward some policy suggestions on how to improve the development of China's stock index futures market, improve the efficiency of financial markets, and establish a coordinated and unified regulatory system.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5;F832.51

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