沪深300股指期货对沪深300指数价格和波动率的影响

发布时间：2018-01-21 17:57

本文关键词： 沪深300股指期货 ECM模型 EGARCH模型价格引领波动性　出处：《暨南大学》2013年硕士论文　论文类型：学位论文

【摘要】：股指期货是期货一个种类，是非常重要的金融衍生品，起着稳定股票市场、风险规避、价格发现的作用。1993年中国大陆第一次推出股指期货，但未经几个月就因种种原因匆匆收摊。后来，随着现货市场的成熟，中国金融期货交易所在经过四年的仿真交易演练之后，在2010年4月16日正式推出了沪深300股指期货。沪深300股指期货的正式引入对股票市场的波动性和价格走势多多少少有影响是经济学者普遍认同的，然而，我们有必要研究出生在我国这个不成熟市场经济环境还不到三周岁的沪深300股指期货对股票现货市场的影响，为监管者提供参考。本文在前贤研究方法的基础上与我国现状结合，用不同的样本分别对沪深300股指期货对沪深300指数在价格与波动性两方面的影响进行研究。价格关系方面，选取股指期货推出后半年里期货与基础现货的两部分样本，采用误差修正模型（ECM）进行建模，分析得到现货和期货价格相互引导但现货起决定性作用等等结论。波动性方面，，选取三年沪深300指数收盘价为样本，将研究期间划分为正式引入期货前、后，对以常数为均值方程的EGARCH(1,1)模型通过引入虚拟变量D修正后进行建模。最后我们分析知道股指期货降低了股票的波动性，起到稳定股票市场的作用种种结论。最后，在实证结果的基础上，我们给科学发展股指期货、完善成熟的现货市场、投资风险控制等等政策性建议。
[Abstract]:Stock index futures is a kind of futures, is a very important financial derivatives, plays a role in stabilizing the stock market, risk aversion, price discovery. 1993, mainland China introduced stock index futures for the first time. But for a variety of reasons, it was not months away. Later, as the spot market matured, China's financial futures exchange went through four years of simulation trading exercises. In April 16th 2010, the Shanghai and Shenzhen 300 stock index futures were officially introduced. The introduction of Shanghai and Shenzhen 300 stock index futures has more or less influence on the volatility and price trend of the stock market, which is generally accepted by economists. Of. However, it is necessary to study the impact of Shanghai and Shenzhen 300 stock index futures on the spot stock market, which was born in this immature market economy environment of our country. This paper combines the former research method with the present situation of our country. The influence of Shanghai and Shenzhen 300 stock index futures on price and volatility is studied with different samples. In terms of price relationship, two samples of stock index futures and basic spot are selected for half a year after the introduction of stock index futures, and the error correction model ECM is used to model the model. The conclusion is that spot and futures price guide each other, but spot plays a decisive role. In terms of volatility, the closing price of CSI 300 index for three years is selected as the sample, and the research period is divided into two parts: before and after the introduction of futures, the EGARCH(1 with constant as the mean equation. Finally, we find that stock index futures reduce the volatility of stocks and play a role in stabilizing the stock market. Finally, on the basis of empirical results, we give scientific development of stock index futures, improve the mature spot market, investment risk control and other policy recommendations.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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