我国股指期货与现货市场的联动性研究

发布时间：2018-04-22 01:36

本文选题：股指期货 + 现货市场　；参考：《哈尔滨工程大学》2014年硕士论文

【摘要】：股指期货是一种以股票价格指数为标的物的进行交易的金融期货,是在过去的三十年间,国际金融市场创新发展的代表性产品。2010年4月16日,我国也推出了股指期货产品,经过短短的四年发展,已经在我国金融市场中有了举足轻重的地位。作为一种特殊的金融工具,股指期货因其独特的性质导致了与股指现货市场联系紧密,本文主要研究股指期货推出四年以来与现货市场的联动性关系。本文应用了向量自回归模型、向量误差修正模型及脉冲响应分析对股指期货市场与现货市场的联动性进行了分析。首先论文介绍了国际市场与我国市场的股指期货发展与现状;其次选择了 2012年末至2014年两年间的股指期货与现货指数日数据以及2014年2月份的股指期货与现货指数五分钟高频数据进行了计量处理,分别对收盘价及对数收益率进行了单位根检验、协整检验、Granger因果检验、向量误差修正分析、脉冲响应分析及方差分解。通过对实证结果的分析以及对比,得出了股指期货市场与现货市场的联动性结论。在此基础上,结合我国证券期货市场的特殊现状,对我国股指期货市场以及现货市场的健康稳定发展提出了相应的对策建议。
[Abstract]:Stock index futures is a kind of financial futures traded on the basis of stock price index. It is a representative product of the innovation and development of international financial market in the past 30 years. On April 16, 2010, China also launched stock index futures products. After four short years of development, has played a pivotal role in our financial market. As a special financial tool, stock index futures are closely related to the spot stock index market because of its unique nature. This paper mainly studies the linkage between stock index futures and the spot market since the launch of stock index futures for four years. This paper applies vector autoregressive model, vector error correction model and impulse response analysis to analyze the interaction between stock index futures market and spot market. Firstly, the paper introduces the development and present situation of stock index futures in international market and Chinese market. Secondly, the daily data of stock index futures and spot indices from the end of 2012 to 2014 and the five-minute high frequency data of stock index futures and spot indices in February 2014 were selected to be measured and processed. The unit root test, cointegration test and Granger causality test, vector error correction analysis, impulse response analysis and variance decomposition are carried out for closing price and logarithmic rate of return respectively. Through the analysis and comparison of the empirical results, the paper draws the conclusion of the linkage between the stock index futures market and the spot market. On this basis, combined with the special situation of China's securities and futures market, the corresponding countermeasures and suggestions for the healthy and stable development of China's stock index futures market and spot market are put forward.
【学位授予单位】：哈尔滨工程大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51;F724.5

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