本文選題：股指期貨 + 波動性　； 參考：《安徽財經(jīng)大學》2012年碩士論文

【摘要】：本文以股票指數(shù)期貨(Stock Index Futures,簡稱股指期貨)為研究對象。股指期貨是為股票現(xiàn)貨市場風險管理需要而產(chǎn)生的一種金融期貨,股指期貨的基礎資產(chǎn)標的是股票價格指數(shù)。自從首支股指期貨合約于二十世紀八十年代在美國誕生以來,股指期貨在這短短三十年里,交易規(guī)模和影響力在全球迅猛增長。隨著2010年4月16日我國正式推出股指期貨,股指期貨理論研究探索成為我國金融研究中具有現(xiàn)實意義的重要課題。 本文從股指期貨發(fā)展的一般規(guī)律和基礎理論出發(fā),采取理論和實證相結合的分析方法,借鑒了其他學者的研究經(jīng)驗,對我國股指期貨在股票現(xiàn)貨市場產(chǎn)生的影響進行了研究。首先,本文通過對股指期貨推出前后現(xiàn)貨市場收益率進行ARMA建模,在對各模型的赤池信息準則和施瓦茨信息準則比較的基礎上選擇最優(yōu)模型。其次,本文分別采用事前事后分析法和引入虛擬變量法,在分別建立GARCH模型和EGARCH模型后,發(fā)現(xiàn)HS300股指期貨推出后現(xiàn)貨市場波動性降低了,且市場信息的反映模式得到改善,價格發(fā)現(xiàn)功能得到發(fā)揮,現(xiàn)貨市場效率得到提高。通過EGARCH模型分別對我國股指期貨推出前后對現(xiàn)貨市場非對稱性波動情況進行實證研究,發(fā)現(xiàn)利空消息比等量的利好消息產(chǎn)生了更大的波動,但無論是利好消息還是利空消息,他們的沖擊都降低了,即現(xiàn)貨市場的波動性降低了。 最后通過本文實證研究結果以及結合我國證券市場的實際情況,對我國股指期貨發(fā)展的具體情況提出切實可行的相關政策建議,使我國股指期貨市場和股票現(xiàn)貨市場發(fā)展的更加成熟、完善。
[Abstract]:In this paper, stock index futures stock Index futures (short for stock index futures) as the research object.Stock index futures is a kind of financial futures produced for risk management of stock spot market. The underlying asset target of stock index futures is stock price index.Since the birth of the first stock index futures contract in the United States in the 1980s, the trading scale and influence of stock index futures have grown rapidly in the past three decades.With the launch of stock index futures in China on April 16, 2010, the theoretical research of stock index futures has become an important issue of practical significance in the financial research of our country.Based on the general law and basic theory of stock index futures development, this paper studies the influence of stock index futures on the spot stock market in China by adopting the analytical method of combining theory and practice, and drawing on the research experience of other scholars.Firstly, through the ARMA model of the spot market yield before and after the introduction of stock index futures, the paper selects the optimal model on the basis of comparing the red pool information criterion of each model with the Schwartz information criterion.Secondly, after establishing GARCH model and EGARCH model, we find that the volatility of spot market is reduced after the introduction of HS300 stock index futures, and the reflection mode of market information is improved.Price discovery function has been played, spot market efficiency has been improved.Through the empirical research on the asymmetric volatility of the spot market before and after the introduction of stock index futures in China by EGARCH model, it is found that the bad news has more volatility than the good news of the same quantity, but whether it is good news or bad news,Their impact has been reduced, that is, the volatility of the spot market has decreased.Finally, through the empirical research results of this paper and combined with the actual situation of China's securities market, put forward practical and practical policy recommendations on the development of stock index futures in China.Make our country stock index futures market and stock spot market more mature, perfect.
【學位授予單位】：安徽財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F723;F224

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