【摘要】：本文借鑒國內(nèi)外學(xué)者的研究經(jīng)驗(yàn)，以股指期貨的發(fā)展?fàn)顩r和相關(guān)理論為基礎(chǔ)，采用了定性分析與實(shí)證研究相結(jié)合的方法，在闡述股指期貨在國際和國內(nèi)的發(fā)展背景的基礎(chǔ)上，首先介紹了滬深300股指期貨的概念、特點(diǎn)、功能及其與股票交易的區(qū)別；其次，運(yùn)用事件分析法：篩選在所研究的時(shí)間范圍內(nèi)國內(nèi)外對(duì)股票市場(chǎng)影響較大的一系列事件，并就這些事件對(duì)我國上證指數(shù)的影響進(jìn)行分析；篩選事件因素后，僅僅考察滬深300股指期貨推出對(duì)我國股市的影響并作對(duì)比分析，結(jié)論表明，股指期貨的上市對(duì)抑制我國股票市場(chǎng)指數(shù)有影響，可以平抑股市大幅漲跌，且有較強(qiáng)的杠桿作用，對(duì)投資者規(guī)避風(fēng)險(xiǎn)，，獲得較高盈利有幫助。本文研究的重點(diǎn)部分是運(yùn)用事件分析法對(duì)滬深300股指期貨上市前后的市場(chǎng)環(huán)境及事件進(jìn)行篩選并剔除，僅考慮滬深300股指期貨推出前后股票市場(chǎng)波動(dòng)性對(duì)比。運(yùn)用ARCH效應(yīng)分時(shí)期檢驗(yàn)滬深300股指期貨上市前后上證指數(shù)的收益率是否存在條件異方差性，當(dāng)殘差存在ARCH效應(yīng)時(shí)，需運(yùn)用ARCH模型或者其擴(kuò)展形式刻畫殘差A(yù)RCH效應(yīng)的這種特征。GARCH(p，q)模型實(shí)證分析了滬深300指數(shù)期貨推出對(duì)我國股票市場(chǎng)波動(dòng)性的影響，得出我國股票市場(chǎng)波動(dòng)性的現(xiàn)狀。最后提出了應(yīng)對(duì)我國股指期貨風(fēng)險(xiǎn)的對(duì)策建議。
[Abstract]:Based on the development of stock index futures and related theories, this paper uses the method of qualitative analysis and empirical research to illustrate the development background of stock index futures both at home and abroad. This paper first introduces the concept, characteristics, functions and differences between Shanghai and Shenzhen 300 stock index futures and stock trading. Secondly, it uses event analysis method to screen a series of events that have a great impact on stock market in the time range studied. The influence of these events on the Shanghai stock index is analyzed. After screening the event factors, only the impact of Shanghai and Shenzhen 300 stock index futures on China's stock market is investigated and compared. The conclusion shows that, The listing of stock index futures has an influence on restraining the stock market index of our country, can restrain the stock market to rise and fall by a large margin, and has the stronger leverage function, which is helpful to the investors to avoid the risk and to obtain the higher profit. The key part of this paper is to use event analysis method to screen and eliminate the market environment and events before and after the listing of CSI 300 stock index futures, and only consider the stock market volatility comparison before and after the launch of CSI 300 stock index futures. Using ARCH effect to test whether there is conditional heteroscedasticity of Shanghai stock index yield before and after Shanghai stock index futures listing, when the residual error exists ARCH effect, It is necessary to use ARCH model or its extended form to characterize the residual ARCH effect. GARCH (papq) model is used to empirically analyze the impact of Shanghai and Shenzhen 300 index futures on the volatility of China's stock market, and the present situation of the volatility of China's stock market is obtained. Finally, the countermeasures and suggestions to deal with the risk of stock index futures in China are put forward.
【學(xué)位授予單位】：西安科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.5;F224

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