本文關(guān)鍵詞： 滬深300指數(shù) 股指期貨 波動(dòng)性 相互影響關(guān)系　出處：《貴州財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：自20世紀(jì)80年代首個(gè)股指期貨合約在美國(guó)誕生以來，股指期貨作為一種管理股票市場(chǎng)系統(tǒng)性風(fēng)險(xiǎn)的金融衍生工具，很快在各國(guó)迅速發(fā)展起來，繼發(fā)達(dá)國(guó)家之后，很多發(fā)展中國(guó)家也都陸續(xù)引入股指期貨交易，如今股指期貨市場(chǎng)在金融領(lǐng)域中發(fā)揮著越來越重要的作用。我國(guó)的滬深300股指期貨于2010年4月16日正式推出，這表明我國(guó)的證券市場(chǎng)進(jìn)入了一個(gè)新的發(fā)展階段。我國(guó)股指期貨自推出以來，到目前已運(yùn)行約兩年的時(shí)間，從指數(shù)走勢(shì)看，，現(xiàn)貨指數(shù)的波動(dòng)幅度較大，很多人認(rèn)為現(xiàn)貨指數(shù)的大幅波動(dòng)是由股指期貨的推出引起的，也有人認(rèn)為現(xiàn)貨指數(shù)的大幅波動(dòng)帶動(dòng)股指期貨的震蕩。本文將圍繞滬深300股指期貨及現(xiàn)貨市場(chǎng)指數(shù)的波動(dòng)性及相互影響關(guān)系展開討論。本文以滬深300現(xiàn)貨指數(shù)及其股指期貨數(shù)據(jù)作為研究對(duì)象，通過構(gòu)建GARCH模型，以滬深300股指期貨交易的推出時(shí)間為分割點(diǎn)，對(duì)股指期貨推出前后的樣本數(shù)據(jù)進(jìn)行比較研究，同時(shí)結(jié)合ARMA模型的結(jié)構(gòu)變化，分析滬深300股指期貨推出后對(duì)股票現(xiàn)貨市場(chǎng)所產(chǎn)生的波動(dòng)性影響。接著運(yùn)用協(xié)整檢驗(yàn)、格蘭杰因果檢驗(yàn)分析法對(duì)股指期貨市場(chǎng)和股票現(xiàn)貨市場(chǎng)之間的關(guān)系進(jìn)行研究，可得知二者之間存在長(zhǎng)期的均衡關(guān)系。最后我們使用VAR（向量自回歸）模型、VEC（向量誤差修正）模型及脈沖響應(yīng)分析等方法，進(jìn)一步對(duì)兩變量間的相互影響關(guān)系進(jìn)行分析。經(jīng)過實(shí)證分析，我們發(fā)現(xiàn)滬深300股指期貨的推出增加了滬深300股票現(xiàn)貨的波動(dòng)性，但是波動(dòng)性影響并不顯著，同時(shí)我們也發(fā)現(xiàn)滬深300股指期貨與現(xiàn)貨指數(shù)價(jià)格之間相互影響，但是滬深300股指期貨對(duì)現(xiàn)貨市場(chǎng)的影響更大一些。
[Abstract]:Since the birth of the first stock index futures contract in the United States in 1980s, stock index futures, as a financial derivative for managing systemic risks in the stock market, have developed rapidly in various countries, following the developed countries. Many developing countries have also introduced stock index futures trading one after another, and now the stock index futures market is playing an increasingly important role in the financial field. China's Shanghai and Shenzhen 300 stock index futures were officially launched in April 16th 2010. This indicates that the securities market in China has entered a new stage of development. Since the introduction of stock index futures in China, it has been running for about two years now. Judging from the trend of the index, the volatility of the spot index is quite large. Many people think that the sharp fluctuations in the spot index are caused by the introduction of stock index futures. Some people also think that the large fluctuation of spot index will lead to the volatility of stock index futures. This paper will discuss the volatility and mutual influence of Shanghai and Shenzhen 300 stock index futures and spot market index. Its stock index futures data as the research object, By constructing the GARCH model, taking the launch time of Shanghai and Shenzhen 300 stock index futures as the dividing point, this paper makes a comparative study on the sample data before and after the launch of the stock index futures, combined with the structural changes of the ARMA model. This paper analyzes the impact of Shanghai and Shenzhen 300 stock index futures on the stock spot market, and then studies the relationship between stock index futures market and spot stock market by using co-integration test and Granger causality test. Finally, we use VAR (vector autoregressive) model and vector error correction (VEC) model and impulse response analysis, etc. Through the empirical analysis, we find that the introduction of Shanghai and Shenzhen 300 stock index futures increases the volatility of Shanghai and Shenzhen 300 stock, but the impact of volatility is not significant. At the same time, we also find that the Shanghai and Shenzhen 300 stock index futures and spot index prices affect each other, but the Shanghai and Shenzhen 300 stock index futures have a greater impact on the spot market.
【學(xué)位授予單位】：貴州財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.5;F224

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