本文關(guān)鍵詞：我國(guó)股指期貨推出對(duì)標(biāo)的成分股的影響　出處：《南京財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股指期貨 股票現(xiàn)貨 成分股 波動(dòng)性

【摘要】：我國(guó)股指期貨推出后，對(duì)股票市場(chǎng)產(chǎn)生了巨大影響，為機(jī)構(gòu)投資者和散戶投資者提供了一個(gè)有效的風(fēng)險(xiǎn)對(duì)沖工具，改變了股票市場(chǎng)的盈利模式，加大了國(guó)內(nèi)資本市場(chǎng)的深度。 股指期貨的套期保值、套利、價(jià)格發(fā)現(xiàn)、分散投資風(fēng)險(xiǎn)等功能，有助于規(guī)避系統(tǒng)風(fēng)險(xiǎn)，穩(wěn)定資本市場(chǎng)。國(guó)內(nèi)外已做多了大量關(guān)于股指期貨對(duì)股票現(xiàn)貨市場(chǎng)影響的研究，然而對(duì)股指期貨的推出對(duì)成分股的影響卻未作詳細(xì)研究。 本文將通過理論與實(shí)證分析研究我國(guó)股指期貨對(duì)指數(shù)成分股的影響，，結(jié)論表明，滬深300股指期貨的引入確實(shí)對(duì)成分股的估值產(chǎn)生了溢價(jià)現(xiàn)象，但是這種溢價(jià)現(xiàn)象在引入之前更為明顯，并且隨著時(shí)間的推移這種溢價(jià)會(huì)變的越來越弱；股指期貨的交易短期內(nèi)加大了標(biāo)的成分股股價(jià)的波動(dòng)，長(zhǎng)期來看這種波動(dòng)加大的現(xiàn)象可能會(huì)變?nèi)酢?br/>[Abstract]:After the introduction of stock index futures , the stock market has a great impact on the stock market , providing an effective risk hedging instrument for institutional investors and retail investors , changing the profit and profit pattern of the stock market and increasing the depth of the domestic capital market . The hedging , arbitrage , price discovery , diversification and investment risk of stock index futures can help to avoid system risk and stabilize the capital market . There are many researches on stock index futures on stock spot market at home and abroad . However , the effect of stock index futures on stock index futures has not been studied in detail . This paper will study the influence of stock index futures on the index of stock index futures by theory and empirical analysis . The conclusion shows that the introduction of Shanghai - Shenzhen - 300 index futures does have a premium on the valuation of stocks , but this premium phenomenon becomes more and weaker before the introduction of stock index futures , and as time goes on , the premium will become weaker ; the trading of stock index futures increases the fluctuation of the stock price of the subject in the short term , and the phenomenon of increased volatility can be weakened for a long time .

【學(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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