發(fā)布時(shí)間：2018-09-18 15:25

【摘要】：滬深300股指期貨不僅是中國(guó)金融期貨交易所的第一個(gè)產(chǎn)品，也是我國(guó)第一個(gè)股票指數(shù)期貨。它的順利推出，標(biāo)志著我國(guó)資本市場(chǎng)進(jìn)入一個(gè)嶄新時(shí)代，我國(guó)的投資者擁有了避險(xiǎn)的工具，資本市場(chǎng)得到了完善，市場(chǎng)運(yùn)行效率也獲得了提高。但是，，股指期貨的做空機(jī)制和高杠桿效應(yīng)，也為證券市場(chǎng)帶來了巨大的風(fēng)險(xiǎn)。股指期貨是以股票指數(shù)為標(biāo)的的金融創(chuàng)新，當(dāng)股票指數(shù)發(fā)生變動(dòng)時(shí)，股指期貨的價(jià)格也隨著變動(dòng)，同時(shí)股指期貨的變動(dòng)又反過來影響股票指數(shù)的變動(dòng)，股指期貨與股票市場(chǎng)之間的雙向波動(dòng)甚至?xí)绊懻麄�(gè)資本市場(chǎng)的運(yùn)行情況。因此研究股指期貨對(duì)股票市場(chǎng)波動(dòng)性的影響就顯得十分有必要了。 本文采用滬深300股票指數(shù)的5分鐘高頻數(shù)據(jù)為樣本，對(duì)股指期貨推出前后現(xiàn)貨市場(chǎng)的波動(dòng)性的影響進(jìn)行實(shí)證研究。實(shí)證檢驗(yàn)分為兩個(gè)階段，第一階段是對(duì)整個(gè)樣本區(qū)間的進(jìn)行建模，以滬深300股指期貨的推出為分界線，分別研究推出前后滬深300股票指數(shù)的波動(dòng)性，再對(duì)整個(gè)滬深300股票指數(shù)進(jìn)行GARCH建模，通過加入虛擬變量來判斷股指期貨的推出是否對(duì)現(xiàn)貨市場(chǎng)的波動(dòng)性產(chǎn)生了影響，第二階段是對(duì)不同發(fā)展階段進(jìn)行研究，根據(jù)滬深300股指期貨交易量的變化情況，將2010年4月16日-2013年3月6日分為三個(gè)不同的發(fā)展階段，分別是初期、起步發(fā)展期、快速發(fā)展期，分析不同發(fā)展階段的滬深300股指期貨對(duì)現(xiàn)貨市場(chǎng)波動(dòng)性的影響。 實(shí)證檢驗(yàn)的結(jié)果顯示就全樣本而言滬深300股指期貨的推出減小了現(xiàn)貨市場(chǎng)的波動(dòng)，但是效果并不顯著，同時(shí)市場(chǎng)信息的傳遞效率并沒有得到提高，舊消息對(duì)市場(chǎng)的沖擊要遠(yuǎn)遠(yuǎn)大于新消息；就不同發(fā)展階段而言，當(dāng)滬深300股指期貨進(jìn)入快速發(fā)展期后，相對(duì)于起步發(fā)展期而言，在更大程度上減小了現(xiàn)貨市場(chǎng)的波動(dòng)性。這說明股指期貨的價(jià)格發(fā)現(xiàn)、規(guī)避風(fēng)險(xiǎn)等功能隨著股指期貨市場(chǎng)的發(fā)展正在逐漸得到充分的發(fā)揮，但是和國(guó)外成熟的市場(chǎng)相比我國(guó)股指期貨市場(chǎng)仍然存在各種問題和缺陷。最后，筆者根據(jù)實(shí)證檢驗(yàn)的結(jié)果提出了一些政策建議，希望能夠?yàn)楸O(jiān)管機(jī)構(gòu)和投資者提供更多的信息。
[Abstract]:Shanghai and Shenzhen 300 stock index futures are not only the first product of China Financial Futures Exchange, but also the first stock index futures in China. Its smooth introduction marks that our capital market has entered a new era, the investors in our country have the tools to avoid risks, the capital market has been improved, and the efficiency of market operation has also been improved. However, the short-selling mechanism and high-leverage effect of stock index futures also bring huge risks to the securities market. Stock index futures are financial innovations based on stock indices. When the stock index changes, the price of stock index futures also changes, and the changes of stock index futures in turn affect the changes of stock indexes. The two-way fluctuation between stock index futures and stock market will even affect the operation of the whole capital market. Therefore, it is necessary to study the impact of stock index futures on stock market volatility. In this paper, we use the 5-minute high frequency data of Shanghai and Shenzhen 300 stock index as samples to study the influence of stock index futures on the volatility of spot market before and after the launch of stock index futures. The empirical test is divided into two stages. The first stage is to model the whole sample interval. Taking the introduction of Shanghai and Shenzhen 300 stock index futures as the dividing line, the volatility of Shanghai and Shenzhen 300 stock index is studied respectively before and after the launch. Then the GARCH model of the whole CSI 300 stock index is built to determine whether the introduction of the stock index futures has an impact on the volatility of the spot market by adding virtual variables. The second stage is to study the different stages of development. According to the change of the trading volume of the Shanghai and Shenzhen 300 stock index futures, the paper divides April 16, 2010 to March 6, 2013 into three different stages of development, namely, the initial stage, the initial development period, and the rapid development period. This paper analyzes the influence of Shanghai and Shenzhen 300 stock index futures on spot market volatility at different stages of development. The results of empirical test show that the introduction of CSI 300 stock index futures reduces the volatility of the spot market, but the effect is not significant, and the efficiency of market information transmission has not been improved. The impact of the old news on the market is much greater than that of the new news. As for the different stages of development, the volatility of the spot market is reduced to a greater extent when the Shanghai and Shenzhen 300 stock index futures enter the rapid development period, compared with the initial development period. This shows that the functions of price discovery and risk avoidance of stock index futures are being fully developed with the development of stock index futures market, but there are still various problems and defects in our stock index futures market compared with foreign mature markets. Finally, based on the empirical results, the author puts forward some policy recommendations, hoping to provide more information for regulators and investors.
【學(xué)位授予單位】：長(zhǎng)沙理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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