發(fā)布時(shí)間：2018-01-15 07:03

  本文關(guān)鍵詞：股指期貨交易對(duì)我國(guó)A股市場(chǎng)影響的實(shí)證研究　出處：《西南交通大學(xué)》2012年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 股指期貨 Granger因果檢驗(yàn) GARCH模型

【摘要】：股指期貨作為一種金融衍生產(chǎn)品,它的作用已經(jīng)受到越來(lái)越多的重視。股指期貨被譽(yù)為20世紀(jì)最成功的金融產(chǎn)品,但股指期貨對(duì)股票市場(chǎng)的影響卻一直沒(méi)有定論。 2010年4月16日,我國(guó)推出了國(guó)內(nèi)股指期貨合約—滬深300股指期貨合約。到目前為止,滬深300股指期貨合約交易已有一年半的時(shí)間了,在這一段時(shí)間里,股指期貨在我國(guó)市場(chǎng)中表現(xiàn)如何?它對(duì)我國(guó)A股市場(chǎng)帶來(lái)什么樣的影響?這兩個(gè)問(wèn)題金融市場(chǎng)參與者都十分關(guān)心的問(wèn)題,也是監(jiān)管部門(mén)急于知道的問(wèn)題。本文的研究目標(biāo)就是來(lái)回答這兩個(gè)問(wèn)題。 本文的研究方法：首先,運(yùn)用Granger因果檢驗(yàn)?zāi)Ｐ蛯?duì)滬深300指數(shù)和滬深300股指期貨的數(shù)據(jù)進(jìn)行研究,通過(guò)實(shí)證的結(jié)果分析滬深300股指期貨在我國(guó)市場(chǎng)是否有價(jià)格發(fā)現(xiàn)的作用。其次,通過(guò)對(duì)滬深300股指期貨推出前后的滬深300指數(shù)做GARCH分析,通過(guò)實(shí)證結(jié)果分析滬深300股指期貨推出后對(duì)我國(guó)A股市場(chǎng)的波動(dòng)性影響。 在實(shí)證研究的基礎(chǔ)上,結(jié)合我國(guó)的實(shí)際情況,本文作者提出了自己的政策建議：1.增加交易品種,完善交易體系2.調(diào)整市場(chǎng)結(jié)構(gòu),加大機(jī)構(gòu)投資者入市比例3.發(fā)展對(duì)沖基金,隨著股指期貨交易的不斷活躍,應(yīng)該成立一定數(shù)量的對(duì)沖基金參與市場(chǎng)。
[Abstract]:The role of stock index futures as a financial derivative product has attracted more and more attention. Stock index futures are regarded as the most successful financial products in twentieth Century, but the impact of stock index futures on stock market has not been conclusive.
In April 16, 2010, China launched a domestic stock index futures contracts, the Shanghai and Shenzhen 300 stock index futures contracts. So far, the Shanghai and Shenzhen 300 stock index futures contracts for a year and a half, in this period of time, how the stock index futures in China market? It will bring what kind of impact on the A stock market in China? These two questions of financial market participants are very concerned about the issue, but also the regulatory authorities are anxious to know the problem. This paper aims to answer these two questions.
The research methods of this paper: first, research data using Granger causality test model of the CSI 300 index and CSI 300 stock index futures, through empirical analysis of the results of CSI 300 stock index futures is price discovery role in China's market. Secondly, the Shanghai and Shenzhen 300 stock index futures in Shanghai and Shenzhen 300 index before and after the introduction of GARCH analysis through empirical analysis, the volatility impact on the A stock market in China after the launch of CSI 300 stock index futures.
On the basis of empirical research, combined with China's actual situation, the author puts forward his own suggestions: 1. increase the variety of transactions, and improve the trading system 2. to adjust the market structure, increase the proportion of institutional investors into the market development of 3. hedge funds, with stock index futures is constantly active, we should set up a certain number of hedge fund participation the market.

【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F224;F832.51

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 林晶;滬深300股指期貨與現(xiàn)貨市場(chǎng)的聯(lián)動(dòng)效應(yīng)研究[D];南京理工大學(xué);2013年

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本文編號(hào)：1427268