本文關鍵詞：股指期貨推出對股票相關性的影響研究　出處：《中南大學》2012年碩士論文　論文類型：學位論文

  更多相關文章： 股指期貨 相關性 系統(tǒng)性風險 DCC-GARCH

【摘要】：從90年代初上海證券交易所和深圳證券交易所成立至今,中國資本市場發(fā)生了翻天覆地的變化,一系列的金融改革和金融創(chuàng)新得到發(fā)展和運用,我國資本市場也取得了長足的進步。2010年4月我國推出的滬深300股指期貨就是其中最重要的一部分。股指期貨具有規(guī)避風險、價格發(fā)現(xiàn)、優(yōu)化資源配置等功能,其推出使得我國資本市場結構更為完善,投資品種更為豐富,投資策略更為多樣化,股指期貨的推出對我國建立多層次成熟的資本市場起到巨大的推動作用。但是由于股指期貨本身交易的特殊性,其產(chǎn)生和發(fā)展在世界范圍內(nèi)引起了很大的爭議,那么,股指期貨的推出能不能給現(xiàn)階段我國的資本市場帶來預期的效果?其對股票市場的影響又是怎樣的呢? 股票相關性是指在一段時間之內(nèi),兩類或者多類資產(chǎn)價格或者收益率之間的相關關系,通常用相關性系數(shù)表示。股票相關性與資本市場系統(tǒng)性風險和構建資產(chǎn)組合有著重要的聯(lián)系,股票之間的相關性越高,市場的系統(tǒng)性風險就越高,構建的資產(chǎn)組合有效性就越差。股票相關性的高低是一個國家資本市場成熟與否的表現(xiàn),伴隨著資本市場的不斷完善,股票相關性會呈現(xiàn)一個逐漸下降的過程。股指期貨是我國資本市場建設的一個重要步驟,那么股指期貨對股票相關性又會產(chǎn)生什么影響呢?本文就帶著以上的問題,從股指期貨與股票相關性關系的角度出發(fā),研究股指期貨對股票市場的影響。 本文把我國股指期貨的推出當做是一個循序漸進的過程,按照重要事件的時間點把整個過程分成三段,分別研究指數(shù)成立時間點前后、股指期貨正式推出前后股票相關性的變化。研究結果發(fā)現(xiàn),滬深300指數(shù)成立和滬深300股指期貨的推出都有效的提高了股票之間的相關性,并且滬深300股指期貨的推出還提高了滬深兩市之間的相關性。另外,本文對滬深300指數(shù)調(diào)整事件進行了研究,發(fā)現(xiàn)其存在指數(shù)效應。本文最后總結股指期貨在現(xiàn)階段我國資本市場的實施效果,為完善我國股指期貨制度,降低股票市場相關性提供了政策建議,并為后續(xù)的研究提供了思路。
[Abstract]:Since the establishment of Shanghai Stock Exchange and Shenzhen Stock Exchange at the beginning of 90s, China's capital market has undergone earth-shaking changes, and a series of financial reforms and financial innovations have been developed and applied. China's capital market has also made great progress. In April 2010, the Shanghai and Shenzhen 300 stock index futures is the most important part of the stock index futures. Stock index futures have the risk avoidance, price discovery. Optimization of resource allocation and other functions, its introduction makes our country's capital market structure more perfect, investment variety more abundant, investment strategy more diversified. The introduction of stock index futures plays a huge role in promoting the establishment of a multi-level and mature capital market in China. However, because of the particularity of stock index futures trading itself, the emergence and development of stock index futures has caused great controversy in the world. So, can the introduction of stock index futures bring the expected effect to the capital market of our country at this stage? What is its impact on the stock market? Stock correlation refers to the correlation between two or more asset prices or returns over a period of time. Usually expressed as correlation coefficient, stock correlation has an important relationship with capital market systemic risk and building asset portfolio. The higher the correlation between stocks, the higher the market systemic risk. The lower the validity of the asset portfolio, the worse the equity correlation is the maturity of a country's capital market, accompanied by the continuous improvement of the capital market. Stock index futures is an important step in the construction of capital market in China, so what influence will stock index futures have on stock correlation? With the above problems, this paper studies the influence of stock index futures on the stock market from the perspective of the correlation between stock index futures and stocks. This paper regards the introduction of stock index futures as a gradual process, divides the whole process into three sections according to the time points of important events, and studies the time points before and after the establishment of the index. Research results show that the establishment of CSI 300 index and the introduction of CSI 300 stock index futures can effectively improve the correlation between stocks. And the introduction of Shanghai and Shenzhen 300 stock index futures also improves the correlation between Shanghai and Shenzhen stock markets. In addition, this paper studies the Shanghai and Shenzhen 300 index adjustment events. Finally, this paper summarizes the implementation effect of stock index futures in China's capital market at the present stage, and provides policy recommendations for perfecting the stock index futures system and reducing the correlation of stock market. It also provides the train of thought for further research.
【學位授予單位】：中南大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51

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