本文選題：股指期貨　切入點：價格發(fā)現(xiàn)　出處：《貴州財經(jīng)大學(xué)》2017年碩士論文

【摘要】：股指期貨誕生最初是為了滿足市場上交易者在面對投資風(fēng)險時缺少避險工具的需求。30多年以來,股指期貨的發(fā)展突飛猛進,滬深300股指期貨的正式推出,無論從投資者避險需要還是從我國金融市場的長久發(fā)展來看,都具有歷史性的意義�；仡�2015年,對于A股市場及股指期貨來說是一個牛熊轉(zhuǎn)換相當(dāng)快的一年,讓絕大部分投資者驚心動魄的一年管理層為了穩(wěn)定市場,盡可能的減少廣大投資者蒙受的損失,在股災(zāi)出現(xiàn)后推出了很多針對性的政策措施,例如加大對涉嫌操縱市場的不法分子的打擊,出臺對股指期貨限倉的規(guī)定等等,在各種措施的穩(wěn)定下,目前市場已基本趨于正常。本研究采用理論分析與實證分析相結(jié)合的方法,查閱國內(nèi)外對期貨市場功能研究的相關(guān)文獻,在綜合分析已有研究成果的基礎(chǔ)上,對我國股指期貨上市六年以來的實際表現(xiàn)進行了理論分析,通過平穩(wěn)性檢驗,單位根檢驗及格蘭杰因果檢驗,廣義自回歸條件異方差模型的衍生模型(EGARCH模型)對滬深300股指期貨波動溢出效應(yīng)進行了實證分析。本文在理論分析和實證檢驗的基礎(chǔ)上,針對我國股指期貨的運行現(xiàn)狀以及存在的不足,對實證研究的結(jié)論加以符合經(jīng)濟意義和現(xiàn)實意義的解釋,最后提出相應(yīng)的合理建議及展望。
[Abstract]:The birth of stock index futures was originally to meet the demand of traders in the market for lack of hedging tools in the face of investment risks. Since more than 30 years ago, the development of stock index futures has been advancing by leaps and bounds, and the Shanghai and Shenzhen 300 stock index futures have been officially launched.It is of historic significance not only from the needs of investors to avoid risk, but also from the long-term development of our financial market.Looking back at 2015, for the A-share market and stock index futures, it was a very fast year for the A-share market and stock index futures. In order to stabilize the market, the management of the vast majority of investors had to reduce the losses suffered by the vast number of investors as much as possible, in order to stabilize the market.After the stock market crash, many targeted policies and measures were put forward, such as increasing the crackdown on the illegal elements suspected of manipulating the market, introducing the regulations on limiting stock index futures, and so on. Under the stability of various measures, the current market has basically tended to be normal.This research adopts the method of combining theoretical analysis and empirical analysis to consult the relevant literature on the function of futures market at home and abroad, on the basis of comprehensive analysis of the existing research results.This paper makes a theoretical analysis of the actual performance of stock index futures in our country since they have been listed for six years, through the stability test, unit root test and Granger causality test.The derivative model of generalized autoregressive conditional heteroscedasticity model (EGARCH) is used to analyze the volatility spillover effect of Shanghai and Shenzhen 300 stock index futures.On the basis of theoretical analysis and empirical test, aiming at the current situation of stock index futures in China and its shortcomings, this paper gives an explanation of the conclusions of the empirical research in line with the economic and practical significance.Finally, the corresponding reasonable suggestions and prospects are put forward.
【學(xué)位授予單位】：貴州財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F224;F724.5

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本文編號：1695645