股指期货对我国股票市场波动性的影响研究

发布时间：2018-02-22 19:27

本文关键词： 股指期货股票市场波动性　出处：《中央民族大学》2017年硕士论文　论文类型：学位论文

【摘要】：股指期货是一种类型的期货,不同于商品期货把特定商品作为标的物,它是把股票价格指数作为标的物,它与股票市场紧密的关系决定了它是一种非常重要的衍生工具。成立之初,对于二者相互作用和影响的探讨就从未停止,研究者主要聚焦于针对国外发达资本市场的实证研究,同时市场的发展情况也让投资者和研究者对两者的关系的认识进行了提升,1982年美国市场推出了股指期货,成立之初由于其补充性优势得到了蓬勃发展,但是1987年美国股灾让它陷入了发展的困境,舆论纷纷指责股指期货是市场暴跌的元凶,监管机构也对它的运转和管理进行了整顿和加强。在此背景之下,我国深入借鉴相关经验,在经过数年的研究探讨之后,2010年建立股指期货市场。随后,我国学者对于股指期货和股票市场的研究逐渐增多。2015年,我国股票市场经历了史无前例的大涨和大跌,也对上市不久的股指期货市场进行了限制交易,在此背景下,本文以2015年到2016年中国三大股指期货的日成交价格数据作为研究对象,探讨在此期间限制交易对股票市场波动性的影响。并得出结论:第一,在9月2日中金所发布限制之后,三种股指的标准差减小,波动性得到减弱,信息传递效率降低,这说明在受限之后,对股票市场的影响受到了束缚和制约;在受限之前,对股票市场有一定影响作用,至于影响程度和时间,在我国投机者为主的市场环境中,预测在极端大跌时有一定推动作用。第二,2016年初我国股票现货市场实行熔断机制,然后市场却频繁跌停、流动性枯竭一再触发熔断值,在涨跌停板限制的基础上增加熔断机制给予了空方市场机会,熔断机制很快被废除,同时,监管机构开展了一系列打击内幕交易的行动,以徐翔和中信证券高管被关押调查为代表的事件给予了市场以正面信心,股票市场逐渐趋于平稳,2017年2月16日中金所适时对三大品种进行了松绑调整,虽然截止目前交易数据有限,文章将松绑后的2017.2.17到2017.3.10的数据进行了补充检验,发现在得到一定恢复后,指数标准差变小,波动性同样也得到降低。2016年以来,国家陆续出台多项措施,主动对股票市场进行降杠杆,打击投机和内幕交易,对"害人精、妖精"的保险资金进行了严厉处罚,使得市场走上较为良性的发展轨道,期货的避险功能也得以修复,因此出现了股票市场波动性降低的情况。文章最后,提出了对我国股指期货和股票现货市场成长的启示。主要是要加大改善市场风险应对举措和建立完善全面的制度设计,连续有序发展资本市场。另外,由于篇幅和研究所限,本文在数据选取、分析工具和完备性上仍有待提升,在以后的研究中进行进一步的丰富和完善。
[Abstract]:The stock index futures is a kind of futures, which is different from the commodity futures that take the specific commodity as the subject matter, it is to take the stock price index as the subject matter, The close relationship between it and the stock market determines that it is a very important derivative instrument. At the beginning of its establishment, the discussion on the interaction and influence of the two has never stopped. Researchers mainly focus on empirical research on developed capital markets abroad. At the same time, the development of the market also promotes the understanding of the relationship between investors and researchers. In 1982, the American market launched stock index futures, and at the beginning of its establishment, due to its complementary advantages, the stock index futures developed vigorously. However, in 1987, the US stock market crash put it in a difficult position of development. Public opinion accused stock index futures of being the culprit of the market collapse, and regulators also rectified and strengthened its operation and management. Against this background, The stock index futures market was established in 2010 after several years of research and discussion. Subsequently, the research on stock index futures and stock market gradually increased in our country. In 2015, the research on stock index futures and stock market increased gradually. China's stock market has experienced an unprecedented rise and fall, and has also restricted trading in the stock index futures market, which is not long listed. Based on the daily transaction price data of China's three major stock index futures from 2015 to 2016, this paper explores the impact of restricted trading on the volatility of the stock market during this period. The conclusions are as follows: first, after the restrictions issued by CICC on September 2nd, The standard deviation of the three stock indexes is reduced, the volatility is weakened, and the efficiency of information transmission is reduced, which shows that after the restriction, the influence on the stock market is bound and restricted, and before the restriction, it has a certain effect on the stock market. As to the degree and time of influence, in the market environment dominated by speculators, the forecast will play a certain role in promoting extreme falls. Second, in early 2016, the spot stock market of our country implemented the melting mechanism, and then the market frequently fell by a limit. Liquidity exhaustion has repeatedly triggered fuse breakers, giving empty markets an opportunity to add to the price limit, which was quickly scrapped, and a series of regulatory actions to crack down on insider trading. The incident, represented by the detention and investigation of Xu Xiang and Citic Securities executives, gave the market positive confidence, and the stock market gradually levelled off. In February 16th 2017, CICC adjusted the three major varieties at the right time. Although trading data are limited so far, the article makes a supplementary test of the data from 17 July to 10 March, 2017.2.17, and finds that after recovery, the standard deviation of the index becomes smaller and the volatility is also reduced. Since 2016, The state has successively introduced a number of measures to take the initiative to reduce the leverage of the stock market, crack down on speculation and insider trading, and severely penalize the insurance funds of "pernicious and goblins", thus putting the market on a more benign track of development. The hedging function of futures has also been repaired, so the volatility of the stock market has been reduced. Finally, This paper puts forward the enlightenment to the growth of stock index futures and stock spot market in China. It is mainly to strengthen the measures to improve the market risk response, to establish a perfect and comprehensive system design, and to develop the capital market in an orderly manner. In addition, due to space and research limitations, In this paper, data selection, analysis tools and completeness still need to be improved, and further enrichment and improvement in the future research.
【学位授予单位】：中央民族大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5

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