本文選題：IF300 + 波動性　； 參考：《西安電子科技大學(xué)》2012年碩士論文

【摘要】：2010年4月16日我國正式交易滬深300的股指期貨,將“單邊”市場改為“雙邊”投資市場。然而推出股指期貨之前,學(xué)界和經(jīng)濟(jì)界進(jìn)行了激烈地爭論。呼吁推出股指期貨的人認(rèn)為,股指期貨形成的雙向市場能夠提高市場效率和價格發(fā)現(xiàn)功能,利于投資者進(jìn)行套期保值,控制風(fēng)險；反對推出者認(rèn)為,目前的環(huán)境不夠公開和透明,監(jiān)管規(guī)則地缺失會使市場遭到操縱,使中小投資者受到威脅,加劇市場的波動。期貨以現(xiàn)貨為基礎(chǔ),避險為目的而產(chǎn)生,價格走勢受到現(xiàn)貨的價格和未來需求影響。但是金融期貨低保證金制度和現(xiàn)金交割制度使得其在很多市場反客為主,出現(xiàn)了“期貨這只狗尾巴不再是由現(xiàn)貨這只狗晃動身子而擺動,而是狗尾巴拽著狗身子晃動”的現(xiàn)象。 因此我國股指期貨對股票市場起到什么作用,是穩(wěn)定市場還是加劇波動,是正面作用還是消極作用,利用第一手交易數(shù)據(jù)來研究IF300對我國股票市場波動性的影響,不僅可評價我國股指期貨作用,也可幫助股票參與者了解二者關(guān)系,以進(jìn)行對沖和控制投資風(fēng)險。另外探究滬深300指數(shù)和滬深300期貨二者究竟是誰影響誰,誰對市場的反應(yīng)更為迅速,誰能夠領(lǐng)先或者左右誰,對于股票和期貨投資者具有重要的投資航向標(biāo)作用。 針對以上研究方向,本文在滬深300期貨對股票市場波動性影響中,以2010年4月16日滬深300股指期貨推出日為分割點,對滬深300指數(shù)從2009年1月5日至2011年7月29日交易的日和周收益率時間序列采用引入虛擬變量的GARCH模型進(jìn)行波動性變化研究。同時在滬深300期貨和指數(shù)走勢決定關(guān)系研究中,以2010年4月19日到2011年10月13日滬深300指數(shù)和IF300指數(shù)日收益率構(gòu)建VAR模型后進(jìn)行Granger分析來探究因果關(guān)系,并以滬深300指數(shù)和IF300合約的每分鐘收益率序列為研究對象進(jìn)行互相關(guān)分析,進(jìn)一步研究領(lǐng)先滯后程度水平。最后結(jié)合研究結(jié)論給股市和期貨參與者提出適當(dāng)?shù)耐顿Y建議。
[Abstract]:On April 16, 2010, China officially traded the stock index futures of Shanghai and Shenzhen 300, and changed the "unilateral" market into the "bilateral" investment market. However, before the introduction of stock index futures, the academic and economic circles have been fiercely debated. Those who call for the introduction of stock index futures believe that the two-way market formed by stock index futures can improve market efficiency and price discovery function, facilitate investors to hedge and control risks. The current environment is not open and transparent, the lack of regulatory rules will make the market manipulated, make small and medium-sized investors under threat, and increase market volatility. Futures are based on spot and safe from risk. The price trend is influenced by spot price and future demand. But the financial futures low margin system and the cash delivery system make it in many markets mainly against customers, "futures this dog tail is not by spot this dog wobble body and wobble, but dog tail tugs the dog body wobble" phenomenon. Therefore, what role does stock index futures play on the stock market, whether to stabilize the market or to aggravate the volatility, whether to play a positive or negative role, and to use first-hand trading data to study the impact of IF300 on the volatility of China's stock market. It can not only evaluate the function of stock index futures in China, but also help the participants to understand the relationship between them in order to hedge and control the investment risk. In addition, it is important for stock and futures investors to explore who influences who and who responds more quickly to the market and who can lead or control the stock and futures investors. In view of the above research direction, this paper takes the date of Shanghai and Shenzhen 300 stock index futures launch on April 16, 2010 as the segmentation point in the stock market volatility impact of CSI 300 futures. Based on the GARCH model which introduced virtual variables into the time series of daily and weekly returns of CSI 300 index from January 5, 2009 to July 29, 2011, the volatility changes of CSI 300 index were studied. At the same time, in the study of the relationship between Shanghai and Shenzhen 300 futures and index trend, Granger analysis is carried out to explore the causality after constructing VAR model with the daily yield of Shanghai and Shenzhen 300 index and IF300 index from April 19, 2010 to October 13, 2011. Based on the CSI 300 index and the per minute return series of IF300 contract, the cross-correlation analysis is carried out to further study the level of leading lag. Finally, combined with the conclusions of the study, the paper puts forward appropriate investment suggestions to the participants of stock market and futures.
【學(xué)位授予單位】：西安電子科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 李雅珍;股指期貨與我國資本市場發(fā)展[J];財經(jīng)論叢(浙江財經(jīng)學(xué)院學(xué)報);2001年04期

2 劉慶富;王海民;;期貨市場與現(xiàn)貨市場之間的價格研究——中國農(nóng)產(chǎn)品市場的經(jīng)驗[J];財經(jīng)問題研究;2006年04期

3 劉鳳根;王曉芳;;股指期貨與股票市場波動性關(guān)系的實證研究[J];財貿(mào)研究;2008年03期

4 熊熊;魯洋;劉文財;;IF1005股指期貨合約與滬深300指數(shù)的價格發(fā)現(xiàn)研究[J];長沙理工大學(xué)學(xué)報(社會科學(xué)版);2010年06期

5 嚴(yán)敏;巴曙松;吳博;;我國股指期貨市場的價格發(fā)現(xiàn)與波動溢出效應(yīng)[J];系統(tǒng)工程;2009年10期

6 陳芳平;李松濤;;股指期貨推出對股指波動性影響的實證研究——基于日經(jīng)225指數(shù)期貨交易整合式市場模式[J];甘肅金融;2006年02期

7 陳資燦;;中國股指期貨若干問題探討[J];價格月刊;2006年01期

8 郭洪鈞;;股票指數(shù):期貨價格與現(xiàn)貨價格的領(lǐng)先——滯后關(guān)系[J];經(jīng)濟(jì)理論與經(jīng)濟(jì)管理;2007年06期

9 李華;程婧;;股指期貨推出對股票市場波動性的影響研究——來自日本的實證分析[J];金融與經(jīng)濟(jì);2006年02期

10 周建,李子奈;Granger因果關(guān)系檢驗的適用性[J];清華大學(xué)學(xué)報(自然科學(xué)版);2004年03期

，

本文編號：2065420