沪深300股指期货对股票市场波动性的影响研究
发布时间：2018-09-18 15:25
【摘要】：沪深300股指期货不仅是中国金融期货交易所的第一个产品，也是我国第一个股票指数期货。它的顺利推出，标志着我国资本市场进入一个崭新时代，我国的投资者拥有了避险的工具，资本市场得到了完善，市场运行效率也获得了提高。但是，，股指期货的做空机制和高杠杆效应，也为证券市场带来了巨大的风险。股指期货是以股票指数为标的的金融创新，当股票指数发生变动时，股指期货的价格也随着变动，同时股指期货的变动又反过来影响股票指数的变动，股指期货与股票市场之间的双向波动甚至会影响整个资本市场的运行情况。因此研究股指期货对股票市场波动性的影响就显得十分有必要了。 本文采用沪深300股票指数的5分钟高频数据为样本，对股指期货推出前后现货市场的波动性的影响进行实证研究。实证检验分为两个阶段，第一阶段是对整个样本区间的进行建模，以沪深300股指期货的推出为分界线，分别研究推出前后沪深300股票指数的波动性，再对整个沪深300股票指数进行GARCH建模，通过加入虚拟变量来判断股指期货的推出是否对现货市场的波动性产生了影响，第二阶段是对不同发展阶段进行研究，根据沪深300股指期货交易量的变化情况，将2010年4月16日-2013年3月6日分为三个不同的发展阶段，分别是初期、起步发展期、快速发展期，分析不同发展阶段的沪深300股指期货对现货市场波动性的影响。 实证检验的结果显示就全样本而言沪深300股指期货的推出减小了现货市场的波动，但是效果并不显著，同时市场信息的传递效率并没有得到提高，旧消息对市场的冲击要远远大于新消息；就不同发展阶段而言，当沪深300股指期货进入快速发展期后，相对于起步发展期而言，在更大程度上减小了现货市场的波动性。这说明股指期货的价格发现、规避风险等功能随着股指期货市场的发展正在逐渐得到充分的发挥，但是和国外成熟的市场相比我国股指期货市场仍然存在各种问题和缺陷。最后，笔者根据实证检验的结果提出了一些政策建议，希望能够为监管机构和投资者提供更多的信息。
[Abstract]:Shanghai and Shenzhen 300 stock index futures are not only the first product of China Financial Futures Exchange, but also the first stock index futures in China. Its smooth introduction marks that our capital market has entered a new era, the investors in our country have the tools to avoid risks, the capital market has been improved, and the efficiency of market operation has also been improved. However, the short-selling mechanism and high-leverage effect of stock index futures also bring huge risks to the securities market. Stock index futures are financial innovations based on stock indices. When the stock index changes, the price of stock index futures also changes, and the changes of stock index futures in turn affect the changes of stock indexes. The two-way fluctuation between stock index futures and stock market will even affect the operation of the whole capital market. Therefore, it is necessary to study the impact of stock index futures on stock market volatility. In this paper, we use the 5-minute high frequency data of Shanghai and Shenzhen 300 stock index as samples to study the influence of stock index futures on the volatility of spot market before and after the launch of stock index futures. The empirical test is divided into two stages. The first stage is to model the whole sample interval. Taking the introduction of Shanghai and Shenzhen 300 stock index futures as the dividing line, the volatility of Shanghai and Shenzhen 300 stock index is studied respectively before and after the launch. Then the GARCH model of the whole CSI 300 stock index is built to determine whether the introduction of the stock index futures has an impact on the volatility of the spot market by adding virtual variables. The second stage is to study the different stages of development. According to the change of the trading volume of the Shanghai and Shenzhen 300 stock index futures, the paper divides April 16, 2010 to March 6, 2013 into three different stages of development, namely, the initial stage, the initial development period, and the rapid development period. This paper analyzes the influence of Shanghai and Shenzhen 300 stock index futures on spot market volatility at different stages of development. The results of empirical test show that the introduction of CSI 300 stock index futures reduces the volatility of the spot market, but the effect is not significant, and the efficiency of market information transmission has not been improved. The impact of the old news on the market is much greater than that of the new news. As for the different stages of development, the volatility of the spot market is reduced to a greater extent when the Shanghai and Shenzhen 300 stock index futures enter the rapid development period, compared with the initial development period. This shows that the functions of price discovery and risk avoidance of stock index futures are being fully developed with the development of stock index futures market, but there are still various problems and defects in our stock index futures market compared with foreign mature markets. Finally, based on the empirical results, the author puts forward some policy recommendations, hoping to provide more information for regulators and investors.
【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51
本文编号：2248329
[Abstract]:Shanghai and Shenzhen 300 stock index futures are not only the first product of China Financial Futures Exchange, but also the first stock index futures in China. Its smooth introduction marks that our capital market has entered a new era, the investors in our country have the tools to avoid risks, the capital market has been improved, and the efficiency of market operation has also been improved. However, the short-selling mechanism and high-leverage effect of stock index futures also bring huge risks to the securities market. Stock index futures are financial innovations based on stock indices. When the stock index changes, the price of stock index futures also changes, and the changes of stock index futures in turn affect the changes of stock indexes. The two-way fluctuation between stock index futures and stock market will even affect the operation of the whole capital market. Therefore, it is necessary to study the impact of stock index futures on stock market volatility. In this paper, we use the 5-minute high frequency data of Shanghai and Shenzhen 300 stock index as samples to study the influence of stock index futures on the volatility of spot market before and after the launch of stock index futures. The empirical test is divided into two stages. The first stage is to model the whole sample interval. Taking the introduction of Shanghai and Shenzhen 300 stock index futures as the dividing line, the volatility of Shanghai and Shenzhen 300 stock index is studied respectively before and after the launch. Then the GARCH model of the whole CSI 300 stock index is built to determine whether the introduction of the stock index futures has an impact on the volatility of the spot market by adding virtual variables. The second stage is to study the different stages of development. According to the change of the trading volume of the Shanghai and Shenzhen 300 stock index futures, the paper divides April 16, 2010 to March 6, 2013 into three different stages of development, namely, the initial stage, the initial development period, and the rapid development period. This paper analyzes the influence of Shanghai and Shenzhen 300 stock index futures on spot market volatility at different stages of development. The results of empirical test show that the introduction of CSI 300 stock index futures reduces the volatility of the spot market, but the effect is not significant, and the efficiency of market information transmission has not been improved. The impact of the old news on the market is much greater than that of the new news. As for the different stages of development, the volatility of the spot market is reduced to a greater extent when the Shanghai and Shenzhen 300 stock index futures enter the rapid development period, compared with the initial development period. This shows that the functions of price discovery and risk avoidance of stock index futures are being fully developed with the development of stock index futures market, but there are still various problems and defects in our stock index futures market compared with foreign mature markets. Finally, based on the empirical results, the author puts forward some policy recommendations, hoping to provide more information for regulators and investors.
【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51
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