沪深300股指期货价格发现功能及波动溢出效应研究

发布时间：2018-04-01 12:37

本文选题：股指期货　切入点：价格发现　出处：《贵州财经大学》2017年硕士论文

【摘要】：股指期货诞生最初是为了满足市场上交易者在面对投资风险时缺少避险工具的需求。30多年以来,股指期货的发展突飞猛进,沪深300股指期货的正式推出,无论从投资者避险需要还是从我国金融市场的长久发展来看,都具有历史性的意义。回顾2015年,对于A股市场及股指期货来说是一个牛熊转换相当快的一年,让绝大部分投资者惊心动魄的一年管理层为了稳定市场,尽可能的减少广大投资者蒙受的损失,在股灾出现后推出了很多针对性的政策措施,例如加大对涉嫌操纵市场的不法分子的打击,出台对股指期货限仓的规定等等,在各种措施的稳定下,目前市场已基本趋于正常。本研究采用理论分析与实证分析相结合的方法,查阅国内外对期货市场功能研究的相关文献,在综合分析已有研究成果的基础上,对我国股指期货上市六年以来的实际表现进行了理论分析,通过平稳性检验,单位根检验及格兰杰因果检验,广义自回归条件异方差模型的衍生模型(EGARCH模型)对沪深300股指期货波动溢出效应进行了实证分析。本文在理论分析和实证检验的基础上,针对我国股指期货的运行现状以及存在的不足,对实证研究的结论加以符合经济意义和现实意义的解释,最后提出相应的合理建议及展望。
[Abstract]:The birth of stock index futures was originally to meet the demand of traders in the market for lack of hedging tools in the face of investment risks. Since more than 30 years ago, the development of stock index futures has been advancing by leaps and bounds, and the Shanghai and Shenzhen 300 stock index futures have been officially launched.It is of historic significance not only from the needs of investors to avoid risk, but also from the long-term development of our financial market.Looking back at 2015, for the A-share market and stock index futures, it was a very fast year for the A-share market and stock index futures. In order to stabilize the market, the management of the vast majority of investors had to reduce the losses suffered by the vast number of investors as much as possible, in order to stabilize the market.After the stock market crash, many targeted policies and measures were put forward, such as increasing the crackdown on the illegal elements suspected of manipulating the market, introducing the regulations on limiting stock index futures, and so on. Under the stability of various measures, the current market has basically tended to be normal.This research adopts the method of combining theoretical analysis and empirical analysis to consult the relevant literature on the function of futures market at home and abroad, on the basis of comprehensive analysis of the existing research results.This paper makes a theoretical analysis of the actual performance of stock index futures in our country since they have been listed for six years, through the stability test, unit root test and Granger causality test.The derivative model of generalized autoregressive conditional heteroscedasticity model (EGARCH) is used to analyze the volatility spillover effect of Shanghai and Shenzhen 300 stock index futures.On the basis of theoretical analysis and empirical test, aiming at the current situation of stock index futures in China and its shortcomings, this paper gives an explanation of the conclusions of the empirical research in line with the economic and practical significance.Finally, the corresponding reasonable suggestions and prospects are put forward.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F724.5

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