【摘要】：股指期貨交易在中國推出不久，相關(guān)的法制法規(guī)和監(jiān)管措施尚不完善，加上交易自身具有的投機(jī)性及高杠桿性，這使得投資者會(huì)面臨較大的風(fēng)險(xiǎn)。為了防止股指期貨交易風(fēng)險(xiǎn)向股票融資市場和實(shí)體經(jīng)濟(jì)擴(kuò)散，必須穩(wěn)定股指期貨市場收益，降低股指期貨市場的投資風(fēng)險(xiǎn)。 通過選取2010年4月到2011年12月期間內(nèi)五只典型股指期貨合約進(jìn)行統(tǒng)計(jì)特征分析，可以看到其收益序列符合基本的正態(tài)分布，樣本數(shù)據(jù)具備一階自相關(guān)和偏自相關(guān)，，且通過了ARCH效應(yīng)檢驗(yàn)，可以用于GARCH-M模型的構(gòu)建。此外，通過選取10個(gè)重要的宏觀經(jīng)濟(jì)指標(biāo)進(jìn)行最小二乘法和單位根檢驗(yàn)，從中發(fā)現(xiàn)對(duì)股指期貨市場有顯著長期影響的指標(biāo)和短期影響指標(biāo)，可以運(yùn)用于中國股指期貨市場風(fēng)險(xiǎn)的度量。 在將對(duì)股指期貨市場有顯著影響的宏觀經(jīng)濟(jì)指標(biāo)加入GARCH-M模型后對(duì)其進(jìn)行優(yōu)化，可以看出在我國股指期貨推出之初，因市場的規(guī)章制度尚不完善，影響合約收益的不確定性因素較多，運(yùn)用該模型進(jìn)行擬合和預(yù)測的效果并不理想。而從2011年開始，在股指期貨市場有效運(yùn)行幾個(gè)季度后，股指期貨的市場成熟度提高，殘差始終在兩個(gè)標(biāo)準(zhǔn)差的范圍內(nèi)，擬合和預(yù)測結(jié)果較好。 而以GARCH-M模型為基礎(chǔ)，在GED分布下以CVaR方法計(jì)算出每個(gè)月的最大損失值，并進(jìn)行了2012年1月份最大損失值的預(yù)測后，在風(fēng)險(xiǎn)度量的基礎(chǔ)上進(jìn)行風(fēng)險(xiǎn)分離，得出CPI、匯率等因素對(duì)中國股指期貨收益的變動(dòng)有較大的影響，進(jìn)而有針對(duì)性的從抑制通貨膨脹、穩(wěn)定人民幣匯率和控制流通中的貨幣供應(yīng)量三方面進(jìn)行宏觀經(jīng)濟(jì)調(diào)控，從而穩(wěn)定股指期貨市場收益，降低股指期貨市場的投資風(fēng)險(xiǎn)。
[Abstract]:Not long after the launch of stock index futures trading in China, the relevant legal regulations and regulatory measures are not perfect, plus the speculative and highly leveraged nature of the trading itself, which makes investors face greater risks. In order to prevent the stock index futures trading risk from spreading to the stock financing market and the real economy, it is necessary to stabilize the income of the stock index futures market and reduce the investment risk of the stock index futures market. Through the statistical analysis of five typical stock index futures contracts from April 2010 to December 2011, we can see that the return sequence accords with the basic normal distribution, and the sample data have first order autocorrelation and partial autocorrelation. Through the ARCH effect test, it can be used in the construction of GARCH-M model. In addition, by selecting 10 important macroeconomic indicators for the least square method and unit root test, we find that there are significant long-term and short-term impact indicators on the stock index futures market. It can be used to measure the risk of Chinese stock index futures market. After adding the macroeconomic index which has significant influence on the stock index futures market into the GARCH-M model, we can see that at the beginning of the introduction of stock index futures in our country, the rules and regulations of the market are not perfect. There are many uncertain factors influencing contract income, and the effect of fitting and forecasting by this model is not ideal. Since 2011, the market maturity of stock index futures has been improved, and the residual error has always been within the range of two standard deviations, and the fitting and forecasting results are better. On the basis of GARCH-M model, the maximum loss value of each month is calculated by CVaR method under GED distribution. After forecasting the maximum loss value in January 2012, the risk is separated on the basis of risk measurement, and CPI, is obtained. Exchange rate and other factors have great influence on the change of stock index futures income in China, and then carry out macroeconomic regulation and control from three aspects: restraining inflation, stabilizing the RMB exchange rate and controlling the money supply in circulation. In order to stabilize the income of stock index futures market, reduce the investment risk of stock index futures market.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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