本文關(guān)鍵詞：對滬深300指數(shù)期貨市場功能變化的綜合考量　出處：《中南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 價格發(fā)現(xiàn) 誤差修正模型 方差分解 脈沖響應(yīng)分析 指數(shù)穩(wěn)定功能 波動性

【摘要】：2010年4月16日,中國正式開通滬深300指數(shù)期貨市場,標(biāo)志著A股結(jié)束了長達(dá)20年的單邊市場,正式引入股市做空機(jī)制,這是中國證券市場逐步走向成熟的必要條件之一。股指期貨推出之時,業(yè)界爭歧較大,爭論焦點是在我國證券市場不甚成熟的條件下,股指期貨是否能夠發(fā)揮其應(yīng)有的功能。縱觀國內(nèi)外研究結(jié)果,股指期貨的引入對指數(shù)波動的影響差異很大,同時在股指期貨的價格發(fā)現(xiàn)功能方面也存在較大爭議。本文考察的便是,滬深300指數(shù)期貨上市一年多來,其功能是否正被逐漸發(fā)掘出來,價格發(fā)現(xiàn)功能與指數(shù)穩(wěn)定功能兩個指標(biāo)是否不斷優(yōu)化,抑或由于期現(xiàn)貨市場制度的不完善與投資者結(jié)構(gòu)的不合理而造成其功能指標(biāo)不僅沒有逐步優(yōu)化,甚至反而對現(xiàn)貨市場造成了較大的傷害。 本文是從價格發(fā)現(xiàn)與指數(shù)穩(wěn)定兩個功能指標(biāo)對滬深300指數(shù)期貨的功能發(fā)揮加以考量。在考量價格發(fā)現(xiàn)功能方面,本文主要采用向量誤差修正模型、方差分解與VAR模型基礎(chǔ)下的脈沖響應(yīng)分析進(jìn)行了研究；在穩(wěn)定指數(shù)功能方面,本文采用加入虛擬變量的GARCH模型及其擴(kuò)展模型(TARCH模型、EGARCH模型)進(jìn)行了研究。結(jié)果表明,指數(shù)期貨推出后一年多來,其價格發(fā)現(xiàn)功能得到顯著改善,指數(shù)期貨市場在價格發(fā)現(xiàn)方面已經(jīng)起到?jīng)Q定性作用。另外,滬深300指數(shù)期貨的推出很好的抑制了滬深300指數(shù)的波動性。同時,隨著滬深300指數(shù)期貨市場制度設(shè)計不斷完善,投資者結(jié)構(gòu)持續(xù)優(yōu)化,交易量穩(wěn)定上升,股指期貨的指數(shù)穩(wěn)定功能得以明顯提升,有不斷優(yōu)化的趨勢。
[Abstract]:In April 16th 2010, China officially opened the Shanghai and Shenzhen 300 index futures market, marking the end of A shares for 20 years of unilateral market, the formal introduction of the stock market shorting mechanism. This is one of the necessary conditions for China's securities market to gradually mature. When the stock index futures were launched, there was a great deal of controversy in the industry, and the focus of the debate was under the condition that the securities market of our country was not very mature. Whether the stock index futures can play its due function. Throughout the domestic and foreign research results, the introduction of stock index futures on the impact of index volatility is very different. At the same time, the price discovery function of stock index futures is also controversial. This article examines whether the function of Shanghai and Shenzhen 300 index futures has been gradually discovered since it was listed for more than a year. Whether the price discovery function and the index stability function are continuously optimized, or because the spot market system is not perfect and the investor structure is unreasonable, its function index has not been optimized step by step. Even on the spot market has caused greater damage. This paper considers the function of CSI 300 index futures from price discovery and index stability. In the aspect of price discovery, this paper mainly adopts vector error correction model. Variance decomposition and impulse response analysis based on VAR model are studied. In terms of the function of stability index, the GARCH model with virtual variables and its extended model are used in this paper. More than a year after the introduction of index futures, its price discovery function has been significantly improved, the index futures market has played a decisive role in price discovery. The introduction of Shanghai and Shenzhen 300 index futures has suppressed the volatility of Shanghai and Shenzhen 300 index. At the same time, with the continuous improvement of Shanghai and Shenzhen 300 index futures market system design, investors structure continues to optimize. With the steady increase of trading volume, the index stability function of stock index futures is obviously improved and has the trend of continuous optimization.
【學(xué)位授予單位】：中南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.5;F224

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