本文關(guān)鍵詞： 股指期貨 波動性 GARCH模型 Granger因果檢驗　出處：《遼寧大學》2013年碩士論文　論文類型：學位論文

【摘要】：在國際金融危機期間，國內(nèi)A股市場經(jīng)歷了較大的震蕩，，給投資者帶來巨大的投資風險。人們越來越意識到股指期貨作為避險工具穩(wěn)定股市的重要性。2010年4月16日起，中國大陸正式推出了滬深300股指期貨。股指期貨在我國運行兩年多來，是否真的起到了“股市減震器”的作用，則有待于實證檢驗。 本文旨在通過對股指期貨推出前后滬深300指數(shù)的波動性對比的研究對此問題進行說明。在本文研究過程中建立了GARCH模型，并通過該模型進行檢驗，試圖發(fā)現(xiàn)滬深300股指期貨對標的指數(shù)波動性的影響。經(jīng)過檢驗之后發(fā)現(xiàn)，滬深300股指期貨在改變股市波動方面并沒有起到顯著作用，也沒有提高市場信息的傳遞效率。接著本文又用協(xié)整檢驗證明滬深300股指期貨和現(xiàn)貨存在長期線性均衡關(guān)系，并在此基礎(chǔ)上進行了Granger因果檢驗，獲得的結(jié)果為，滬深300股指期貨價格不是滬深300指數(shù)的Granger原因，而滬深300指數(shù)是其股指期貨價格的Granger原因。說明股市的價格波動主要還是來自自身的因素。本文還通過廣義脈沖響應(yīng)函數(shù)分析進一步了解期現(xiàn)貨市場在沖擊反應(yīng)方面的差異。比較后可以發(fā)現(xiàn)，現(xiàn)貨價格的影響更為強烈和持久。這也更進一步印證了從Granger因果檢驗得到的結(jié)論：現(xiàn)貨市場在定價方面比期貨市場起著更為主導的作用。 本文最后部分從實證檢驗結(jié)果出發(fā)，分析了我國股指期貨的運行機制與環(huán)境，認為只有進一步改革相應(yīng)制度、完善法律法規(guī)、創(chuàng)造更寬松的環(huán)境，股指期貨和資本市場才能相輔相成，協(xié)調(diào)發(fā)展。
[Abstract]:During the international financial crisis, the domestic A-share market experienced a great shock. It brings huge investment risk to investors. People are increasingly aware of the importance of stock index futures as a hedge tool to stabilize the stock market. Since April 16th 2010. The Chinese mainland officially launched the Shanghai and Shenzhen 300 stock index futures. Whether the stock index futures have really played the role of "stock market shock absorber" in China for more than two years has yet to be tested empirically. The purpose of this paper is to explain this problem by comparing the volatility of Shanghai and Shenzhen 300 index before and after the launch of stock index futures. In the course of this study, the GARCH model is established. And through this model to test, trying to find the Shanghai and Shenzhen 300 stock index futures on the volatility of the underlying index. Shanghai and Shenzhen 300 stock index futures have not played a significant role in changing the volatility of the stock market. This paper also uses cointegration test to prove that there is a long-term linear equilibrium relationship between Shanghai and Shenzhen 300 stock index futures and spot. On this basis, the Granger causality test is carried out, and the result is that the futures price of Shanghai and Shenzhen 300 stock index is not the Granger cause of CSI 300 index. The Shanghai and Shenzhen 300 index is the Granger reason of the stock index futures price. It shows that the price fluctuation of the stock market is mainly from its own factors. This paper also makes a further understanding of the current period through the generalized impulse response function analysis. Differences in impact response in the goods market. Comparison can be found. The impact of spot prices is stronger and longer. This further confirms the conclusion from the Granger causality test that the spot market plays a more dominant role in pricing than the futures market. In the last part of this paper, the author analyzes the operating mechanism and environment of stock index futures in China from the empirical test results, and thinks that only by further reforming the corresponding system, perfecting the laws and regulations, creating a more relaxed environment. Stock index futures and capital market can complement each other, coordinate development.
【學位授予單位】：遼寧大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

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