沪深300股指期货上市对股市波动性及动量效应影响的研究

发布时间：2018-05-13 09:48

本文选题：沪深300股指期货上市 + 波动性　；参考：《华中科技大学》2013年硕士论文

【摘要】：2010年4月16日，沪深300股票期货正式在中国金融期货交易所挂牌交易，这是我国金融市场发展的一个重要里程。在回顾国内学者的文章以后，我们发现我国对波动性的研究层次多集中在定性的层面上，对动量效应的研究国内较多的研究集中在个股层面，对形成期和持有期的选择基本采用直接照搬JegadeeshTitlnan的研究方法，并且由于时间跨度和研究标的选择上的不同，对中国股市中的动量效应研究没有统一的结论。鉴于此，本文研究十个行业以及从每个行业中选出的一只股票，主要运用GARCH模型、EGARCH模型，随机占优的检验以及行业动量效应，分别研究了沪深300股指期货上市前后的影响。通过分析，，得到以下结论：1.通过对个股及行业的波动及非对性分析得出，沪深300股指期货的上市对总行业没有多大影响，电信，公用，可选行业具有一定的影响，但它们在行业中占得权重比较少，所以对总的行业没有什么影响。2.通过占优检验，得出沪深300股指期货的上市对A股、H股以及行业并没有占优关系。3.对整个区间短期行业存在一定的动量效应，长期行业不存在动量效应。沪深300股指期货上市前，短期行业存在一定的动量效应，长期行业不存在动量效应。沪深300股指期货上市后，短期行业动量效应加强，同时长期存在动量效应。说明沪深300股指期货的上市使行业动量效应加强。4.上市前后相对比，整个区间的短期输者和赢者组合出现部分反转现象，中长期都具有较大的收益惯性。多数统计量显著性不高。5.对系数的不同值，系统性风险与股票的平均收益并不是严格的CAPM模型预期的线性关系，因而它并不是决定股票收益的唯一因素，中国股票市场是不够成熟的好并且带有投机特征高风险市场。
[Abstract]:On April 16, 2010, Shanghai and Shenzhen 300 stock futures were officially traded on the China Financial Futures Exchange, which is an important mileage in the development of China's financial market. After reviewing the articles of domestic scholars, we find that the research level of volatility in our country is mostly qualitative, and the momentum effect is mainly focused on individual stock in our country. The research method of direct copying JegadeeshTitlnan is adopted to choose the forming period and the holding period, and there is no uniform conclusion on the momentum effect in Chinese stock market because of the different time span and the choice of the research target. In view of this, this paper studies ten industries and one stock selected from each industry, mainly using GARCH model, random dominant test and industry momentum effect to study the influence of Shanghai and Shenzhen 300 stock index futures before and after listing. Through analysis, we get the following conclusion: 1. By analyzing the fluctuation of individual stock and industry and non-contrast, it is concluded that the listing of Shanghai and Shenzhen 300 stock index futures has no great influence on the whole industry. The telecom, public and optional industries have some influence, but they have less weight in the industry. So it has no impact on the industry as a whole. Through dominance test, it is concluded that there is no dominant relationship between Shanghai and Shenzhen 300 stock index futures and A shares, H shares and industries. There is a momentum effect for the short-term industry and no momentum effect for the long-term industry. Before the listing of Shanghai and Shenzhen 300 stock index futures, there is momentum effect in short-term industry and no momentum effect in long-term industry. After the listing of Shanghai and Shenzhen 300 stock index futures, the short-term industry momentum effect is strengthened, and there is momentum effect for a long time. It shows that the listing of Shanghai and Shenzhen 300 stock index futures strengthens the momentum effect of the industry. Compared with before and after listing, the combination of short term losers and winners in the whole period has a partial reversal phenomenon, and the medium and long term returns have greater inertia. Most statistics are not significant. For different coefficients, systemic risk and average return of stock are not the linear relation expected by strict CAPM model, so it is not the only factor that determines stock return. China's stock market is not mature and has speculative characteristics of high risk markets.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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