沪深300股指期货对上海股票市场影响的实证分析
发布时间：2018-11-21 15:51
【摘要】：股指期货具有风险管理和价格发现的功能,它作为风险管理工具完善了股票市场体系,同时也可以预测股票市场的走势。我国的股指期货正式推出已有3年,其运行对股票市场究竟产生了怎样的影响,本文以此为出发点进行了分析研究。 本文对沪深300股指期货上市后对上海股票市场的影响进行了实证分析,以上证指数作为股票市场的代表,利用SAS数据分析软件分别从长短期关系、因果关系、互动关系三个方面分析。通过协整检验得到沪深300股指期货与上证指数间存在着长期均衡关系。由Granger因果检验得出沪深300股指期货是上证指数的Granger原因,而上证指数不是沪深300股指期货的Granger原因。最后建立VAR向量自回归模型,通过脉冲响应函数和方差分解分析得到沪深300股指期货对上证指数波动的贡献率很大。最后得出结论,认为沪深300股指期货的推出,降低了上海股票市场的波动性。
[Abstract]:Stock index futures have the function of risk management and price discovery. As a tool of risk management, stock index futures can perfect the stock market system and predict the trend of stock market. It has been three years since the stock index futures were officially launched in our country. What kind of influence has its operation had on the stock market? this paper makes an analysis and research on it. This paper makes an empirical analysis on the impact of Shanghai and Shenzhen 300 stock index futures on Shanghai stock market after listing. Taking the Shanghai stock market as the representative of the stock market, using SAS data analysis software respectively from the long-term and short-term relationship, causality. Three aspects of interaction analysis. By cointegration test, it is found that there is a long-term equilibrium relationship between shanghai and Shenzhen 300 stock index futures and Shanghai stock index. The Granger causality test shows that Shanghai and Shenzhen 300 stock index futures are the Granger cause of Shanghai stock index, but Shanghai stock index is not the Granger reason of Shanghai and Shenzhen 300 stock index futures. Finally, the VAR vector autoregressive model is established. By impulse response function and variance decomposition analysis, the contribution of Shanghai and Shenzhen 300 stock index futures to Shanghai stock index volatility is very large. Finally, the conclusion is drawn that the introduction of Shanghai and Shenzhen 300 stock index futures reduces the volatility of Shanghai stock market.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5;F832.51;F224
本文编号：2347427
[Abstract]:Stock index futures have the function of risk management and price discovery. As a tool of risk management, stock index futures can perfect the stock market system and predict the trend of stock market. It has been three years since the stock index futures were officially launched in our country. What kind of influence has its operation had on the stock market? this paper makes an analysis and research on it. This paper makes an empirical analysis on the impact of Shanghai and Shenzhen 300 stock index futures on Shanghai stock market after listing. Taking the Shanghai stock market as the representative of the stock market, using SAS data analysis software respectively from the long-term and short-term relationship, causality. Three aspects of interaction analysis. By cointegration test, it is found that there is a long-term equilibrium relationship between shanghai and Shenzhen 300 stock index futures and Shanghai stock index. The Granger causality test shows that Shanghai and Shenzhen 300 stock index futures are the Granger cause of Shanghai stock index, but Shanghai stock index is not the Granger reason of Shanghai and Shenzhen 300 stock index futures. Finally, the VAR vector autoregressive model is established. By impulse response function and variance decomposition analysis, the contribution of Shanghai and Shenzhen 300 stock index futures to Shanghai stock index volatility is very large. Finally, the conclusion is drawn that the introduction of Shanghai and Shenzhen 300 stock index futures reduces the volatility of Shanghai stock market.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5;F832.51;F224
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