基于小波分解的股指期货对股市波动影响研究
发布时间：2018-08-12 16:07
【摘要】：价格波动是股市的基本特征,对于价格波动的研究一直都是资本市场研究的重点和热点。股指期货上市交易之后,我国股市的价格运行环境发生了巨大的改变,股价波动的性状特征必然也会受到影响。本文的研究也正是基于这样的背景。 在研究及整理大量文献的基础之上,本文首先对国内外的研究现状进行了梳理,总结出适合本文的研究方法。然后对实证所需的相关理论和研究方法进行简要阐述,利用沪深300指数的日收盘价格作实证研究：首先对整体样本数据进行分析与研究,以此检验模型的正确性,其次根据本文研究的需要,添加虚拟变量,然后在此基础上,进一步对样本数据进行实证分析,结果证明本文命题具有研究价值与意义,然后对样本数据进行小波分解,这也是全文的亮点所在,创新所在,随后对经过小波分解所生成的波动数据进行实证研究,最后发现它的存在使得本文的结论更具有说服力,可信度,科学性。 最后,根据实证研究得出结论：股指期货对我国的股市波动具有一定的积极影响,只是这种影响效果较小。针对这种情况,本文提出了加强对市场交易者的教育、完善股指期货合约的设计、优化投资者结构、协调期现货市场的交易制度、适时推出股指期权等其他配套金融创新等政策建议,以便更好地促进我国资本市场的发展。
[Abstract]:Price volatility is the basic characteristic of stock market, and the research on price volatility has always been the focus and hotspot of capital market research. After the stock index futures are listed and traded, the operating environment of stock price in our country has changed greatly, and the characteristics of stock price fluctuation will inevitably be affected. The research of this paper is based on this background. On the basis of studying and sorting out a large number of documents, this paper firstly combs the current research situation at home and abroad, and summarizes the research methods suitable for this paper. Then the relevant theories and research methods are briefly described, and the daily closing price of the CSI 300 index is used as an empirical study. Firstly, the whole sample data are analyzed and studied to verify the correctness of the model. Secondly, according to the need of this paper, add the virtual variable, and then further analyze the sample data. The result proves that the proposition of this paper has the research value and significance, and then decomposes the sample data by wavelet transform. This is also the highlight of the full text, innovation, and then through the wavelet decomposition generated fluctuation data empirical research, finally found that its existence makes the conclusion of this paper more convincing, reliable, scientific. Finally, according to the empirical study, it is concluded that stock index futures have a certain positive impact on the volatility of stock market in China, but this effect is relatively small. In view of this situation, this paper proposes to strengthen the education of market traders, to perfect the design of stock index futures contracts, to optimize the investor structure, and to coordinate the trading system in the spot market. In order to promote the development of China's capital market, policy suggestions such as stock index option and other supporting financial innovation should be put forward in good time.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224
本文编号：2179566
[Abstract]:Price volatility is the basic characteristic of stock market, and the research on price volatility has always been the focus and hotspot of capital market research. After the stock index futures are listed and traded, the operating environment of stock price in our country has changed greatly, and the characteristics of stock price fluctuation will inevitably be affected. The research of this paper is based on this background. On the basis of studying and sorting out a large number of documents, this paper firstly combs the current research situation at home and abroad, and summarizes the research methods suitable for this paper. Then the relevant theories and research methods are briefly described, and the daily closing price of the CSI 300 index is used as an empirical study. Firstly, the whole sample data are analyzed and studied to verify the correctness of the model. Secondly, according to the need of this paper, add the virtual variable, and then further analyze the sample data. The result proves that the proposition of this paper has the research value and significance, and then decomposes the sample data by wavelet transform. This is also the highlight of the full text, innovation, and then through the wavelet decomposition generated fluctuation data empirical research, finally found that its existence makes the conclusion of this paper more convincing, reliable, scientific. Finally, according to the empirical study, it is concluded that stock index futures have a certain positive impact on the volatility of stock market in China, but this effect is relatively small. In view of this situation, this paper proposes to strengthen the education of market traders, to perfect the design of stock index futures contracts, to optimize the investor structure, and to coordinate the trading system in the spot market. In order to promote the development of China's capital market, policy suggestions such as stock index option and other supporting financial innovation should be put forward in good time.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224
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