我國(guó)股指期貨價(jià)格發(fā)現(xiàn)功能及其對(duì)股市信息傳播效率影響研究
本文關(guān)鍵詞:我國(guó)股指期貨價(jià)格發(fā)現(xiàn)功能及其對(duì)股市信息傳播效率影響研究 出處:《河北大學(xué)》2012年碩士論文 論文類(lèi)型:學(xué)位論文
更多相關(guān)文章: 股指期貨 價(jià)格發(fā)現(xiàn) Granger 因果檢驗(yàn) 向量誤差修正模型 ARCH 類(lèi)模型
【摘要】:滬深300股指期貨合約以滬深300指數(shù)為標(biāo)的,是中國(guó)金融期貨交易所推出的首個(gè)金融期貨品種,于2010年4月16日正式上市交易。股指期貨的成功上市,是資本市場(chǎng)基礎(chǔ)制度建設(shè)的又一個(gè)里程碑,,對(duì)中國(guó)資本市場(chǎng)實(shí)現(xiàn)“多層次”、“多元化”發(fā)展目標(biāo)具有重要意義。一個(gè)規(guī)范、成熟的期貨市場(chǎng)對(duì)完善市場(chǎng)價(jià)格形成機(jī)制具有重要意義,而股指期貨是否具備價(jià)格發(fā)現(xiàn)功能,關(guān)系到股指期貨市場(chǎng)運(yùn)行的有效性如何。作為一個(gè)新成立的股指期貨市場(chǎng),我國(guó)的股指期貨市場(chǎng)的運(yùn)行有效性如何,是金融監(jiān)管部門(mén)和廣大金融市場(chǎng)參與者普遍關(guān)心的重要問(wèn)題。 本文選取了滬深300股指期貨上市以來(lái)兩年的“日間”(日收盤(pán)價(jià))及“日內(nèi)”(5分鐘收盤(pán)價(jià))數(shù)據(jù),采用Granger因果檢驗(yàn)、向量誤差修正模型、廣義脈沖響應(yīng)、方差分解分析以及GARCH模型、EGARCH模型等多種方法從滬深300股指期貨對(duì)現(xiàn)貨市場(chǎng)的價(jià)格發(fā)現(xiàn)作用的效果、股指期貨的推出對(duì)股票現(xiàn)貨市場(chǎng)信息傳播效率的影響兩方面進(jìn)行研究。研究結(jié)果表明滬深300股指期貨已經(jīng)具備日內(nèi)價(jià)格發(fā)現(xiàn)功能,并且在一定程度上弱化了股票市場(chǎng)的非對(duì)稱(chēng)效應(yīng),但沒(méi)能顯著降低股票市場(chǎng)的波動(dòng),沒(méi)有提高股票市場(chǎng)的信息傳播效率。說(shuō)明我國(guó)股指期貨市場(chǎng)運(yùn)行有效性較差,雖具備了價(jià)格發(fā)現(xiàn)功能,但沒(méi)有起到提高現(xiàn)貨市場(chǎng)運(yùn)行效率的作用,與國(guó)際上成熟的股指期貨市場(chǎng)還有較大差距。為提高我國(guó)股指期貨市場(chǎng)有效性,本文從增大我國(guó)股指期貨市場(chǎng)的廣度和深度出發(fā),提出了一些建議。
[Abstract]:The Shanghai and Shenzhen 300 stock index futures contracts are the first financial futures products launched by the China Financial Futures Exchange. On April 16th 2010, the successful listing of stock index futures is another milestone in the construction of capital market foundation system, and realizes "multi-level" to China's capital market. The goal of "diversification" is of great significance. A standardized and mature futures market is of great significance to the improvement of the market price formation mechanism, and whether the stock index futures have the function of price discovery. As a newly established stock index futures market, how effective is the stock index futures market in China? Is the financial supervision department and the broad financial market participant general concern important question. This paper selects the data of "day" (daily closing price) and "intra-day" (5-minute closing price) of Shanghai and Shenzhen 300 stock index futures, and adopts Granger causality test. Vector error correction model, generalized impulse response, variance decomposition analysis and GARCH model. EGARCH model and other methods from the Shanghai and Shenzhen 300 stock index futures on the spot market price discovery effect. The introduction of stock index futures on the stock spot market information transmission efficiency is studied in two aspects. The results show that the Shanghai and Shenzhen 300 stock index futures have the function of intraday price discovery. And to some extent weaken the asymmetric effect of the stock market, but can not significantly reduce the volatility of the stock market. It shows that the efficiency of stock index futures market is poor, although it has the function of price discovery, it does not play a role in improving the efficiency of spot market. In order to improve the effectiveness of China's stock index futures market, this paper puts forward some suggestions in order to increase the breadth and depth of China's stock index futures market.
【學(xué)位授予單位】:河北大學(xué)
【學(xué)位級(jí)別】:碩士
【學(xué)位授予年份】:2012
【分類(lèi)號(hào)】:F224;F832.5
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