【摘要】：中金所在2010年4月16日正式推出滬深300指數(shù)期貨,它的引入是我國金融市場發(fā)展的重要標志,對促進我國資本市場持續(xù)健康的發(fā)展具有重要意義。 滬深300股指期貨推出后便得到快速發(fā)展,但這也引起了監(jiān)管者、投資者的高度關注。我們關注的是,股指期貨的推出這一事件對股票市場波動有何種影響?股指現(xiàn)貨和期貨市場的聯(lián)動關系(均值溢出和波動溢出效應)如何?本文利用股指期貨的真實交易數(shù)據(jù),分別建立一元GARCH(GARCH(1,1)模型)、VEC模型以及多元GARCH(DCC模型和BEKK模型)為基礎的實證模型,對以上問題進行了回答。 研究發(fā)現(xiàn),股指期貨的引入在一定程度上提高了現(xiàn)貨市場的運行質(zhì)量,具體來說,它的推出有以下幾個方面的作用：(1)現(xiàn)貨市場波動率受股指期貨推出的影響有一定程度下降,下降的幅度在統(tǒng)計意義上顯著,但卻不具有經(jīng)濟顯著性。同時,股指期貨的推出使市場信息的傳遞效率加快,也就是說,新信息可以很快到反應到價格中,而舊信息對市場波動的影響被削弱。(2)通過研究現(xiàn)貨的交易量效應和期貨的持倉量效應,我們發(fā)現(xiàn),股指期貨推出后不僅現(xiàn)貨市場的波動性有所降低,波動中所含的信息成分有所增加,同時,現(xiàn)貨市場深度也有顯著提升,也就是說市場吸收劇烈波動而保持穩(wěn)定的能力有了顯著提高。(3)股指期貨和現(xiàn)貨的高頻價格序列存在協(xié)整關系,同時,期現(xiàn)兩市間的信息傳導是雙向的,從長期的角度來看,兩市場間的非均衡狀態(tài)可以得到一定的調(diào)整,這證實了股指期貨和現(xiàn)貨市場間存在均值溢出效應。(4)股指期貨市場與股票現(xiàn)貨市場的收益率并不是完全正相關的,短期內(nèi)可出現(xiàn)較大幅度調(diào)整,同時,股指現(xiàn)貨與股指期貨之間存在顯著的波動溢出現(xiàn)象,且這種波動溢出效應是非對稱的,也具有長期的持續(xù)性。股指期貨與現(xiàn)貨指數(shù)間的波動溢出效應證明了,兩市之間存在信息傳遞,期貨市場將額外的信息傳遞至股票現(xiàn)貨市場。
[Abstract]:CSI 300 Index Futures was officially launched by CICC on April 16, 2010. Its introduction is an important symbol of the development of China's financial market and plays an important role in promoting the sustainable and healthy development of China's capital market. Shanghai and Shenzhen 300 stock index futures after the introduction of rapid development, but this has also attracted the attention of regulators and investors. What we are concerned about is the impact of the launch of stock index futures on the volatility of the stock market. How about the linkage relationship between stock index spot and futures market (mean spillover and volatility spillover)? Based on the real trading data of stock index futures, this paper establishes the univariate GARCH (GARCH) VEC model and the multivariate GARCH (DCC model and BEKK model) as the empirical models, and answers the above questions. It is found that the introduction of stock index futures improves the operating quality of the spot market to a certain extent. Specifically, the introduction of stock index futures has the following functions: (1) the volatility of the spot market is affected by the introduction of the stock index futures to a certain extent. The decline was statistically significant, but not economically significant. At the same time, the introduction of stock index futures speeds up the transmission efficiency of market information, that is, new information can be quickly reflected to the price. However, the influence of old information on market volatility is weakened. (2) by studying the spot trading volume effect and the position effect of futures, we find that not only the volatility of spot market has been reduced after the introduction of stock index futures, The information component contained in the fluctuations has increased, while the depth of the spot market has also increased significantly. That is to say, the ability of the market to absorb violent fluctuations and maintain stability has been significantly improved. (3) there is a cointegration relationship between the high-frequency price sequences of stock index futures and spot prices. At the same time, the information transmission between the two cities is two-way, from a long-term perspective, The disequilibrium state between the two markets can be adjusted to a certain extent, which proves that there is a mean spillover effect between stock index futures and spot market. (4) the return of stock index futures market and stock spot market is not completely positive correlation. At the same time, there is a significant volatility spillover between stock index spot and stock index futures, and this volatility spillover effect is asymmetrical and has long-term persistence. The volatility spillover effect between stock index futures and spot index proves that there is information transmission between the two markets, and the futures market transfers additional information to the stock spot market.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

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