本文關(guān)鍵詞：我國股指期貨與股票市場的互動影響及跨市場監(jiān)管研究　出處：《中南大學(xué)》2012年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股指期貨 股票市場 市場微觀結(jié)構(gòu) GARCH模型 Copula函數(shù) 跨市場監(jiān)管

【摘要】：摘要：股指期貨產(chǎn)品在市場推出后,國內(nèi)外學(xué)者對它開展了大量的理論研究。這些研究中,理論上主要集中在分析股指期貨市場的引入對股票現(xiàn)貨市場的影響,實證上則集中在分析兩個市場價格之間的引導(dǎo)關(guān)系以及股指期貨市場的引入對股票現(xiàn)貨市場的影響等方面。我國股指期貨上市交易2年多來,股票市場經(jīng)歷了一段深度調(diào)整,引起許多投資者對股指期貨的作用質(zhì)疑。因此,對我國股指期貨與股票市場的關(guān)系及監(jiān)管進(jìn)行研究顯得尤為重要�；诖�,本文以我國滬深300股指期貨與股票現(xiàn)貨為研究對象,試圖從理論和實證上對兩個市場的信息、風(fēng)險的互動關(guān)系及監(jiān)管進(jìn)行研究,為我國股指期貨市場的健康發(fā)展提供依據(jù)。 圍繞我國目前的股指期貨與股票現(xiàn)貨市場,本文開展了以下研究工作并得到結(jié)論如下： 1.在考慮股票市場存在賣空限制以及股票市場與股指期貨市場存在不同交易成本的情況下,從市場微觀結(jié)構(gòu)角度對參與市場的投資者行為進(jìn)行分析,通過分析其不同市場結(jié)構(gòu)下的交易策略,進(jìn)而將股票現(xiàn)貨與股指期貨市場的所包含的信息量進(jìn)行對比分析,從理論上分析股票現(xiàn)貨與股指期貨市場價格之間的互動關(guān)系。研究表明：股指期貨市場的價格與股票市場的價格之間存在著相互引導(dǎo)關(guān)系,并且股指期貨市場引導(dǎo)股票現(xiàn)貨市場的程度要大于股票現(xiàn)貨市場引導(dǎo)股指期貨市場的程度。 2.從波動率和收益率的角度實證分析了我國滬深300股票現(xiàn)貨與股指期貨市場之間的引導(dǎo)、信息傳播方式和及風(fēng)險互動關(guān)系相關(guān)性。研究表明：我國滬深300股指期貨市場與股票現(xiàn)貨市場之間存在雙向的價格引導(dǎo)關(guān)系,兩個市場相互影響、互為因果。股指期貨與股指現(xiàn)貨市場具有較強(qiáng)的風(fēng)險相關(guān)性,當(dāng)我國股票現(xiàn)貨市場出現(xiàn)持續(xù)下跌、劇烈波動等極端風(fēng)險事件時,滬深300股票指數(shù)與滬深300股指期貨的風(fēng)險關(guān)聯(lián)性加強(qiáng)。在信息傳播上,股指現(xiàn)貨與股指期貨對公司信息和系統(tǒng)性信息的反應(yīng)速度不同,股指期貨市場對系統(tǒng)性信息反應(yīng)速度更快,信息從期貨市場傳播到股票市場；而對于非系統(tǒng)性信息,投資者傾向于首先在股票市場交易,信息從股票市場傳播到期貨市場。 (3)從波動性與流動性角度研究了股指期貨與股票市場的跨市場操縱識別方法對我國滬深300股指期貨與股票現(xiàn)貨市場的跨市場操縱和監(jiān)管進(jìn)行研究,基于流動性和波動性的角度并在前面研究的基礎(chǔ)上對探討了跨市場操縱行為的判別方法以及就我國跨市場監(jiān)管問題進(jìn)行了探討提出建議。研究表明：基于流動性和波動性的跨市場操縱判別方法具有良好的跨市場操縱識別力,為跨市場操縱活動的識別和監(jiān)管提供了可靠的技術(shù)手段。建立一個集事前預(yù)防、事中控制及事后管理于一體的跨市場監(jiān)管機(jī)制更有利于跨市場風(fēng)險監(jiān)管。
[Abstract]:Absrtact: after the introduction of stock index futures in the market, scholars at home and abroad have carried out a lot of theoretical research on it. In these studies, it is mainly focused on the analysis of the impact of the introduction of stock index futures market on the stock spot market. The empirical analysis focuses on the leading relationship between the two market prices and the influence of the introduction of the stock index futures market on the spot stock market. China's stock index futures have been listed for more than two years. The stock market has experienced a period of deep adjustment, causing many investors to question the role of stock index futures. Therefore, it is particularly important to study the relationship and supervision between stock index futures and stock market. This paper takes CSI 300 stock index futures and stock spot as the research object, tries to study the information, risk interaction and supervision of the two markets theoretically and empirically. It provides the basis for the healthy development of stock index futures market in China. Focusing on the current stock index futures and stock spot markets in China, the following research work has been carried out in this paper and the conclusions are as follows: 1. Considering the existence of short selling restriction in stock market and different transaction costs between stock market and stock index futures market, this paper analyzes the behavior of investors participating in the market from the point of view of market microstructure. By analyzing the trading strategies under different market structures, the paper compares the amount of information contained in the stock spot and stock index futures markets. This paper theoretically analyzes the interactive relationship between stock spot and stock index futures market price. The research shows that there is a mutual guiding relationship between stock index futures market price and stock market price. And the stock index futures market guides the stock spot market to a greater extent than the stock spot market to guide the stock index futures market. 2. From the angle of volatility and yield, the paper empirically analyzes the guidance between the spot stock and stock index futures market of CSI 300 in China. The study shows that there is a two-way price-leading relationship between CSI 300 stock index futures market and stock spot market, and the two markets affect each other. Mutual causality. Stock index futures and stock index spot market has a strong risk correlation, when China's stock spot market continued to fall, violent fluctuations and other extreme risk events. Shanghai and Shenzhen 300 stock index index and Shanghai and Shenzhen 300 stock index futures risk relevance. In information dissemination, stock index spot and stock index futures to corporate information and systematic information reaction speed is different. The stock index futures market responds more quickly to the systematic information, which spreads from the futures market to the stock market; For non-systemic information, investors tend to trade in the stock market first, and the information spreads from the stock market to the futures market. From the perspective of volatility and liquidity, this paper studies the cross-market manipulation and supervision of Shanghai and Shenzhen 300 stock index futures and spot stock markets. Based on the perspective of liquidity and volatility and on the basis of previous studies, this paper discusses the discriminating methods of cross-market manipulation and puts forward some suggestions on cross-market supervision in China. The discriminant method of cross-market manipulation based on liquidity and volatility has a good ability to identify cross-market manipulation. It provides a reliable technical means for the identification and supervision of cross-market manipulation activities, and establishing a cross-market supervision mechanism which integrates pre-prevention, in-event control and post-management is more conducive to cross-market risk supervision.
【學(xué)位授予單位】：中南大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F724.5

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