本文選題：股指期貨 + 股票現(xiàn)貨�。� 參考：《東北農(nóng)業(yè)大學(xué)》2012年碩士論文

【摘要】：伴隨通貨膨脹壓力不斷增大、人民幣持續(xù)升值、熱錢涌入等經(jīng)濟(jì)問題的出現(xiàn),我國經(jīng)濟(jì)發(fā)展面臨來自諸多方面的不確定因素的影響,而其中又以資本市場所受的風(fēng)險(xiǎn)沖擊最為顯著。因此,如何有效規(guī)避資本市場風(fēng)險(xiǎn)成為眾所關(guān)注的焦點(diǎn)。我國于2010年4月16日推出了股指期貨交易,這標(biāo)志著股票投資者可以利用股指期貨市場實(shí)現(xiàn)跨越期貨、現(xiàn)貨兩市的雙向交易,為防范股票現(xiàn)貨市場價(jià)格波動(dòng)風(fēng)險(xiǎn)提供了有效避險(xiǎn)工具。 股指期貨對股票市場具有“雙刃劍”效應(yīng)。一是股指期貨市場的避險(xiǎn)功能得以有效發(fā)揮,從而利于投資者規(guī)避股票市場風(fēng)險(xiǎn),穩(wěn)定股價(jià)并使之趨于合理；另一方面則是對股票市場的消極影響,即股指期貨可能會(huì)進(jìn)一步加劇股票市場的價(jià)格波動(dòng),給投資者的交易活動(dòng)帶來更大的風(fēng)險(xiǎn)。本文以我國股指期貨市場為研究對象,主要通過以下三方面考察其避險(xiǎn)功能的發(fā)揮效果。首先,我國股指期貨市場與股票現(xiàn)貨市場是否存在長期穩(wěn)定的均衡關(guān)系,原因在于這種長期均衡關(guān)系是進(jìn)行食期保值的前提保證。其次,股指期貨市場的交易活動(dòng)是否會(huì)加大股票市場價(jià)格波動(dòng)的風(fēng)險(xiǎn),對投資者而言是否存在較大的套利空間。這些因素是股指期貨市場避險(xiǎn)功能得以發(fā)揮的重要基礎(chǔ)。再次,由于我國目前僅推出了滬深300股指期貨一個(gè)交易品種,套期保值者的投資選擇有限。鑒于此,通過分析滬深300股指期貨的套期保值效果來衡量我國股指期貨市場避險(xiǎn)功能的發(fā)揮效果。 實(shí)證分析過程中,選擇股指期貨市場利股票現(xiàn)貨市場的日數(shù)據(jù)和1分鐘高頻數(shù)據(jù)對兩個(gè)市場間的聯(lián)動(dòng)關(guān)系進(jìn)行探究。研究發(fā)現(xiàn)：我國股票市場與股指期貨市場問存在聯(lián)動(dòng)性且價(jià)格變動(dòng)趨勢一致,即期、現(xiàn)兩市價(jià)格相互影響、不斷波動(dòng),最終呈現(xiàn)趨于一致的走勢。這種長期穩(wěn)定的均衡關(guān)系為套期保值,或者說股指期貨市場充分發(fā)揮避險(xiǎn)功能提供了前提保證。其次,從股指期貨市場與股票市場不同指標(biāo)間的相對變化關(guān)系中可以發(fā)現(xiàn)如下規(guī)律。第一、股票市場和股指期貨市場的價(jià)格變動(dòng)存在非均衡狀態(tài),這說明某一時(shí)點(diǎn)上股指期貨市場價(jià)格的變動(dòng)幅度要大于股票現(xiàn)貨市場的波幅,即在同一經(jīng)濟(jì)環(huán)境下股指期貨價(jià)格的短期波動(dòng)更為劇烈。第二、股指期貨日交易量的異常變化會(huì)引起股票現(xiàn)貨市場價(jià)格的劇烈波動(dòng)。同時(shí)股指期貨日交易量并不受股票市場價(jià)格波動(dòng)的影響。這表明投資者在股指期貨市場上進(jìn)行套期保值的需求有限,我國股指期貨市場的避險(xiǎn)功能有待進(jìn)一步加強(qiáng)。在此基礎(chǔ)上,運(yùn)用傳統(tǒng)OLS模型和二元GARCH模型對滬深300股指期貨的套期保值效果進(jìn)行分析,研究發(fā)現(xiàn)二元GARCH模型具有較好的適用性,客觀的反映了滬深300股指期貨的避險(xiǎn)效果。 鑒于此,應(yīng)該從法規(guī)、制度、人才利技術(shù)等方面不斷完善,為吸引更多機(jī)構(gòu)投資者入市進(jìn)行,風(fēng)險(xiǎn)管理創(chuàng)造條件；同時(shí)不斷豐富交易標(biāo)的,在交易品種數(shù)量上滿足眾多股票現(xiàn)貨市場投資者的避險(xiǎn)需求,減小套期保值的技術(shù)難度,以期我國股指期貨市場的避險(xiǎn)功能得以充分發(fā)揮。
[Abstract]:With the increasing pressure of inflation, the continuous appreciation of the RMB, the emergence of economic problems such as the influx of hot money, China's economic development is facing the influence of uncertain factors from many aspects, and the risk of capital market is the most striking. Therefore, how to avoid the risk of capital market has become the focus of attention. China launched the stock index futures trading in April 16, 2010, which indicates that stock investors can use the stock index futures market to cross the futures, the two-way trading in two markets, and provide an effective hedge tool to prevent the risk of the stock market price volatility.
Stock index futures have a "double-edged sword" effect on the stock market. First, the risk avoidance function of the stock index futures market can be played effectively, which helps investors to avoid the risk of the stock market, stabilize the stock price and make it reasonable; on the other hand, the negative effect on the stock market, that is, stock index futures may further aggravate the stock market. Price fluctuations bring greater risks to the investors' trading activities. This paper takes China's stock index futures market as the research object, mainly through the following three aspects to examine the effect of its hedging function. First, whether there is a long-term stable equilibrium relationship between the stock index futures market and the stock spot market in China, the reason lies in this long-term equilibrium. The relationship is the premise of the precondition. Secondly, whether the trading activities of the stock index futures market will increase the risk of the stock market price fluctuation and whether there is a large arbitrage space for the investors. These factors are the important basis for the risk avoidance function of the stock index futures market. Deep 300 stock index futures trading variety, hedging is limited in investment choice. In view of this, the effect of hedging effect on the stock index futures market in China is measured by analyzing the hedging effect of Shanghai and Shenzhen 300 stock index futures.
In the process of empirical analysis, we choose the daily data of stock market in stock index futures market and the 1 minute high frequency data to explore the linkage relationship between the two markets. The long-term stable equilibrium relationship is the premise guarantee for the hedging, or the stock index futures market will give full play to the hedging function. Secondly, it can be found in the relative change relationship between the stock index futures market and the stock market. First, stock market and stock index futures market. There is a non equilibrium state of the price change of the field, which indicates that the fluctuation of the stock index futures market price at some point is greater than the volatility of the stock spot market, that is, the short-term fluctuation of the stock index futures price is more intense in the same economic environment. Second, the abnormal changes in the daily trading volume of the stock index futures will cause the stock spot market price play. The daily trading volume of stock index futures is not affected by the fluctuation of stock market price. It shows that the demand of hedging in stock index futures market is limited. The hedge function of stock index futures market in China needs to be further strengthened. On this basis, the traditional OLS model and two yuan GARCH model are applied to the Shanghai and Shenzhen stock index period 300 stock index period. The analysis of the hedging effect shows that the two yuan GARCH model has better applicability and objectively reflects the hedging effect of the Shanghai and Shenzhen 300 stock index futures.
In view of this, it should be perfected continuously from the aspects of regulations, systems, and talent and profit technology to attract more institutional investors to enter the market and create conditions for risk management; at the same time, it is necessary to enrich the trade mark, meet the hedge demand of many stock spot market investors and reduce the technical difficulty of hedging. It refers to the full play of the hedging function of the futures market.

【學(xué)位授予單位】：東北農(nóng)業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.5;F224

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