本文關(guān)鍵詞：我國股指期貨與股市波動關(guān)系研究　出處：《吉林財經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股指期貨市場 股票市場 波動 VAR模型 GARCH模型

【摘要】：股指期貨目前已經(jīng)發(fā)展成為全球最重要的金融衍生品，具有價格發(fā)現(xiàn)、信息透明度高、套期保值以及風(fēng)險規(guī)避等功能，在國外已經(jīng)有20多年的發(fā)展歷史。但是直到2010年4月16日我國才引入股指期貨，股指期貨上市之初引發(fā)了股市連續(xù)數(shù)月的下跌，因此，很多人開始討論股指期貨給股票市場帶來的影響，由于股指期貨的上市引發(fā)了較大的爭議，而本文正是基于這一背景而展開深入的研究。 首先，本文對國內(nèi)外的研究成果進(jìn)行了系統(tǒng)性的梳理，發(fā)現(xiàn)兩個市場之間關(guān)系密切，為了探究期貨市場與股票市場的關(guān)系，本文通過理論與實(shí)證相結(jié)合的方法進(jìn)一步研究。 其次，關(guān)于兩者之間的關(guān)系實(shí)證檢驗(yàn)，本文運(yùn)用VAR模型來進(jìn)行研究，包括協(xié)整分析、誤差修正模型、Granger因果檢驗(yàn)、脈沖響應(yīng)函數(shù)等方法，分別就股指期貨自上市初期及上市兩年后與股票市場的關(guān)系進(jìn)行了實(shí)證分析。在股指期貨推出初期，其短期波動的實(shí)證研究表明，股票市場的大跌并不是由股指期貨下跌引起的，同時在對外部信息的反應(yīng)速度上，股指期貨市場更迅速，而股票市場則更持久。在股指期貨推出兩年后，股指期貨市場與股票市場存在長期協(xié)整關(guān)系，，當(dāng)短期波動偏離長期均衡值時，誤差修正模型項(xiàng)系數(shù)表明了股指期貨市場的調(diào)整更迅速、及時，而股票市場的調(diào)整力度則更強(qiáng)。兩個市場之間存在單項(xiàng)引導(dǎo)關(guān)系，股指期貨價格引導(dǎo)股票市場價格的變動。 最后，采用GARCH模型來對比研究股指期貨推出前后對股票市場產(chǎn)生的影響，實(shí)證表明，我國股指期貨的推出不僅沒有加劇股票市場的波動，反而減弱了其波動性。這說明我國引入股指期貨是正確的選擇，不僅有助于熨平股票市場的波動性，對未來開發(fā)其他金融衍生產(chǎn)品奠定了良好的基礎(chǔ)。
[Abstract]:Stock index futures have developed into the most important financial derivatives in the world, with the functions of price discovery, information transparency, hedging and risk aversion. There have been more than 20 years of development in foreign countries. However, stock index futures were not introduced into China until April 16th 2010, which caused the stock market to decline for several months at the beginning of the stock market listing. Many people began to discuss the impact of stock index futures on the stock market. Due to the listing of stock index futures caused a great deal of controversy, and this paper is based on this background to carry out in-depth research. First of all, this paper systematically combed the domestic and foreign research results, found that the relationship between the two markets is close, in order to explore the relationship between the futures market and the stock market. This paper further studies through the combination of theory and empirical method. Secondly, the empirical test of the relationship between the two, this paper uses VAR model to study, including cointegration analysis, error correction model Granger causality test, impulse response function and other methods. This paper analyzes the relationship between stock index futures and stock market from the initial stage and two years after listing. The empirical research on the short term fluctuation of stock index futures in the early stage of stock index futures is shown. The sell-off in the stock market was not caused by the fall in stock index futures, which reacted more quickly to external information and more persistently. Two years after the launch of stock index futures. There is a long-term cointegration relationship between stock index futures market and stock market. When the short-term fluctuation deviates from the long-term equilibrium value, the error correction model item coefficient indicates that the adjustment of stock index futures market is more rapid and timely. The adjustment of stock market is stronger. There is a single leading relationship between the two markets, and the price of stock index futures leads to the change of stock market price. Finally, using GARCH model to compare the impact of stock index futures on the stock market before and after the introduction of stock index futures, empirical results show that the introduction of stock index futures in China not only does not aggravate the volatility of the stock market. This shows that the introduction of stock index futures in China is the right choice, which not only helps to smooth the volatility of stock market, but also lays a good foundation for the development of other financial derivatives in the future.
【學(xué)位授予單位】：吉林財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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