沪深300股指期货与沪深300股票指数的相关性研究

发布时间：2018-01-30 00:35

本文关键词： 误差修正模型波动性分析日内效应已过滤收益　出处：《华东理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文主要研究了沪深300股指期货推出后,股指期货和股指的相关性。文章首先检验了沪深300股指期货和股指的价格关系,接着分析了沪深300股指期货的推出对股指市场波动性的影响。然后文章是对沪深300股指期货和股指两个市场日内效应的研究,最后研究了消除日内效应后,沪深300股指期货的推出对股指市场波动性的影响。通过实证研究我们发现：(1)两个市场具有协整关系,股指期货对股票指数具有价格发现的功能；期货市场基本上是受自身冲击影响,而股指市场不仅是受自身冲击的影响,还受到期货市场冲击的影响。(2)沪深300股指期货的推出在一定程度上减小了股指市场的波动性。(3)沪深300股指期货和股指1分钟平均绝对收益率呈现出“L”型特征；沪深300股指期货的交易量呈现出类“W”型,股指的交易量呈现出“U”型特征。(4)消除日内效应后,沪深300股指期货的推出增大了股指市场波动性。
[Abstract]:This paper mainly studies the correlation between stock index futures and stock index after the introduction of Shanghai and Shenzhen 300 stock index futures. Firstly, the paper examines the price relationship between Shanghai and Shenzhen 300 stock index futures and stock index. Then it analyzes the impact of the introduction of Shanghai and Shenzhen 300 stock index futures on the volatility of the stock index market. Then the paper studies the intraday effect of Shanghai and Shenzhen 300 stock index futures and stock index markets. Finally, after eliminating the intra-day effect, the impact of the introduction of Shanghai and Shenzhen 300 stock index futures on the volatility of the stock index market is studied. Through empirical research, we find that the two markets have cointegration relationship. Stock index futures have the function of price discovery to stock index; The futures market is basically affected by its own impact, and the stock index market is not only affected by its own impact. The introduction of Shanghai and Shenzhen 300 stock index futures to some extent reduces the volatility of the stock index market. The average absolute return rate of Shanghai and Shenzhen 300 stock index futures and stock index in one minute shows "L" pattern. The trading volume of Shanghai and Shenzhen 300 stock index futures shows "W" type, and the trading volume of stock index shows "U" type characteristic. The introduction of Shanghai and Shenzhen 300 stock index futures increased the volatility of the stock index market.
【学位授予单位】：华东理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F224

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