本文選題：物價周期 + 股指期貨�。� 參考：《吉林財經(jīng)大學(xué)》2012年碩士論文

【摘要】：2010年4月16日，在經(jīng)歷了近10年的研究討論后我國正式推出了以滬深300指數(shù)為標(biāo)的物的股指期貨合約,作為我國首個金融期貨品種，正逐步通過其價值發(fā)現(xiàn)、套期保值和投機(jī)功能發(fā)揮著重要的作用。然而，如何發(fā)揮股指期貨的上述功能，規(guī)避宏觀環(huán)境運(yùn)行風(fēng)險，不但要深入研究股指運(yùn)行的宏觀經(jīng)濟(jì)指標(biāo)，還需要將宏觀經(jīng)濟(jì)指標(biāo)量化分析獲得準(zhǔn)確的影響結(jié)論，才能建立基于宏觀經(jīng)濟(jì)運(yùn)行環(huán)境的套利模型，交易策略進(jìn)行風(fēng)險提示及規(guī)避。 本文正是基于這一背景而展開深入的研究，通過研究宏觀經(jīng)濟(jì)運(yùn)行的物價水平指標(biāo)CPI的周期性波動關(guān)系以及對股票價格的相互影響關(guān)系，建立量化模型，揭示物價水平對股票價格指數(shù)的運(yùn)行影響關(guān)系大小以及如何通過物價水平來預(yù)測股票價格指數(shù)，最終轉(zhuǎn)化為運(yùn)用股指期貨來規(guī)避由于物價大幅波動引起的資產(chǎn)價格的波動風(fēng)險。 首先將經(jīng)濟(jì)周期這一概念延伸到我國物價水平的周期波動上，并將物價周期劃分為四個階段，以2%的警戒線作為通脹開始的標(biāo)志。物價周期波動與股票指數(shù)的周期波動存在一些共同的特征。物價是對居民消費(fèi)品價格的指數(shù)表示，而股票價格指數(shù)是對資本價格指數(shù)的表示，同作為資產(chǎn)的價格表現(xiàn)形式來看，兩者上漲與下跌的趨勢具有同向的關(guān)系，不同的僅是時間先后關(guān)系而已。 其次通過對序列的單位根檢驗，相關(guān)關(guān)系等的測試后，建立分?jǐn)?shù)階差分預(yù)期協(xié)整模型用物價指數(shù)對股票價格指數(shù)的擬合模型，并對預(yù)留數(shù)據(jù)進(jìn)行預(yù)測效果的測試，，并獲得了較好預(yù)測效果。 最后，由于本文所建模型是建立在預(yù)期因素基礎(chǔ)上進(jìn)行的建模。因此需要解決一個理論前提：能準(zhǔn)確預(yù)測因變量指標(biāo)未來的趨勢，只要趨勢準(zhǔn)確，就能把握住作為領(lǐng)先指標(biāo)的股票價格指數(shù)的未來趨勢。
[Abstract]:On April 16, 2010, after nearly 10 years of research and discussion, China officially launched the stock index futures contract with the Shanghai and Shenzhen 300 index as the subject matter. As the first financial futures variety in China, it is gradually found through its value.Hedging and speculative functions play an important role.However, how to give full play to the above function of stock index futures and avoid the risk of macro environment operation, we should not only deeply study the macro economic indexes of stock index operation, but also need to get accurate conclusions by quantifying the macro economic indexes.Only in this way can we establish the arbitrage model based on the macro-economic operating environment and trade strategy to prompt and avoid the risks.This paper is based on this background to carry out in-depth research, through the study of the macro-economic operation of the price level index CPI periodic fluctuations and the mutual impact on stock prices, the establishment of a quantitative model,This paper reveals the influence of price level on the operation of stock price index and how to predict stock price index through price level, which is transformed into using stock index futures to avoid the risk of asset price fluctuation caused by large price fluctuation.Firstly, the concept of economic cycle is extended to the periodic fluctuation of the price level in China, and the price cycle is divided into four stages, and the warning line of 2% is taken as the sign of the beginning of inflation.There are some common characteristics between price cycle fluctuation and stock index cycle fluctuation.The price of goods is the index of the consumer price of the residents, while the stock price index is the expression of the capital price index. As a form of expression of the price of assets, the rising and falling trends of both are in the same direction.The difference is only a matter of time and order.Secondly, after testing the unit root test and correlation relation of the series, the fractional differential expectation cointegration model is established to fit the stock price index with the price index, and the prediction effect of the reserved data is tested.Good prediction results are obtained.Finally, because the model is built on the basis of expected factors.Therefore, we need to solve a theoretical premise: we can accurately predict the future trend of the dependent variable index, so long as the trend is accurate, we can grasp the future trend of the stock price index as the leading index.
【學(xué)位授予單位】：吉林財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F726;F832.51

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