發(fā)布時(shí)間：2018-03-28 20:07

  本文選題：股指期貨　切入點(diǎn)：VAR模型　出處：《電子科技大學(xué)》2012年碩士論文

【摘要】：股指期貨作為重要的金融衍生工具,在各國(guó)的金融市場(chǎng)中占有不可或缺的地位。我國(guó)股指期貨自2010年4月16日推出一年多以來,運(yùn)行平穩(wěn)、交易活躍、交易量日漸放大,和現(xiàn)貨市場(chǎng)聯(lián)動(dòng)日趨緊密,對(duì)股票市場(chǎng)的影響已初現(xiàn)端倪。但是,我國(guó)目前的股指期貨市場(chǎng)無論是在交易規(guī)模、交易品種、交易機(jī)制,還是在參與交易的人員結(jié)構(gòu)和專業(yè)素質(zhì)來說都與發(fā)達(dá)市場(chǎng)具有較大的差距,它僅僅是一個(gè)起步的市場(chǎng)、發(fā)展的市場(chǎng),這決定了我國(guó)股指期貨市場(chǎng)和股票市場(chǎng)之間的動(dòng)態(tài)關(guān)系有別于發(fā)達(dá)市場(chǎng),具有自身的特征。 本文首先回顧了我國(guó)股指期貨推出的歷程及上市以來的運(yùn)營(yíng)現(xiàn)狀,接著在分析股指期貨基本功能的基礎(chǔ)上探討了股指期貨與現(xiàn)貨之間的交互關(guān)系。然后采用2011年2月9日至2011年4月8日的一分鐘高頻數(shù)據(jù),分別運(yùn)用了誤差修正的VAR模型和雙變量GARCH模型對(duì)我國(guó)滬深300股指期貨和現(xiàn)貨之間的價(jià)格發(fā)現(xiàn)能力和波動(dòng)溢出效應(yīng)進(jìn)行了研究,主要得出了以下研究結(jié)論。 (1)滬深300股指期貨價(jià)格和現(xiàn)貨價(jià)格之間存在著長(zhǎng)期均衡的協(xié)整關(guān)系,滬深300股指期貨價(jià)格與指數(shù)價(jià)格走勢(shì)基本一致,擬合度良好。 (2)滬深300股指期貨和現(xiàn)貨之間存在交互的價(jià)格引導(dǎo)關(guān)系。滬深300股指期貨雖然上市時(shí)間較短,亦已表現(xiàn)出了較強(qiáng)的價(jià)格發(fā)現(xiàn)能力,而且隨著機(jī)構(gòu)資金的不斷加入,期貨市場(chǎng)的逐步成熟,股指期貨的價(jià)格發(fā)現(xiàn)能力正在逐步增強(qiáng)。 (3)滬深300股指期貨和現(xiàn)貨之間存在著雙向的波動(dòng)溢出效應(yīng)。由于我國(guó)股指期貨市場(chǎng)仍然是一個(gè)起步的市場(chǎng)、發(fā)展的市場(chǎng),滬深300股指現(xiàn)貨對(duì)股指期貨的波動(dòng)溢出效應(yīng)要大于股指期貨對(duì)滬深300股指現(xiàn)貨的波動(dòng)溢出效應(yīng)。 本文的研究結(jié)論,一方面可為進(jìn)一步完善我國(guó)股指期貨市場(chǎng)交易機(jī)制、充分發(fā)揮股指期貨的作用的政策的制定提供參考依據(jù)；另一方面對(duì)揭示我國(guó)股指期貨市場(chǎng)的價(jià)格發(fā)現(xiàn)機(jī)制及其微觀結(jié)構(gòu)有著重要的理論價(jià)值；此外,對(duì)投資者進(jìn)行套期保值、風(fēng)險(xiǎn)管理或者套利交易策略制定和實(shí)施具有現(xiàn)實(shí)的指導(dǎo)意義。
[Abstract]:Stock index futures, as an important financial derivative, play an indispensable role in the financial markets of various countries. Since the launch of stock index futures in China on April 16, 2010, the stock index futures have been running smoothly, trading is active, and the trading volume has been enlarged day by day. The linkage with the spot market is getting closer and closer, and the impact on the stock market has begun to emerge. However, the current stock index futures market in our country is not only in terms of trading scale, trading varieties, and trading mechanisms, Still, in terms of personnel structure and professional quality involved in the transaction, there is a big gap between the developed market and the developed market. It is only a starting market, a developing market. This determines that the dynamic relationship between the stock index futures market and the stock market is different from the developed market and has its own characteristics. Firstly, this paper reviews the history of stock index futures in China and the current situation of stock index futures operation since its listing. Then, on the basis of analyzing the basic function of stock index futures, the interaction between stock index futures and spot is discussed, and then the one-minute high frequency data from February 9, 2011 to April 8, 2011 are used. The paper studies the price discovery ability and volatility spillover effect between Shanghai and Shenzhen 300 stock index futures and spot by using error modified VAR model and bivariate GARCH model respectively. The main conclusions are as follows. 1) there is a long-term equilibrium cointegration relationship between the futures price of Shanghai and Shenzhen 300 stock index and spot price. The price of Shanghai and Shenzhen 300 stock index futures is basically consistent with the index price, and the fitting degree is good. (2) there is an interactive price-guiding relationship between Shanghai and Shenzhen 300 stock index futures and spot stock index futures. Although the listing time of Shanghai and Shenzhen 300 stock index futures is relatively short, they have also shown strong price discovery ability, and with the continuous participation of institutional funds, With the maturity of the futures market, the price discovery ability of the stock index futures is gradually enhanced. There is a two-way volatility spillover effect between Shanghai and Shenzhen 300 stock index futures and spot. Because the stock index futures market in China is still a starting market and a developing market, The spillover effect of Shanghai and Shenzhen 300 stock index spot on stock index futures is larger than that on Shanghai and Shenzhen 300 stock index spot. On the one hand, the conclusion of this paper can provide a reference for further perfecting the trading mechanism of stock index futures market in our country and giving full play to the role of stock index futures in the formulation of policies; On the other hand, it has important theoretical value to reveal the price discovery mechanism and its microstructure of stock index futures market in China. Risk management or arbitrage trading strategy formulation and implementation has practical significance.
【學(xué)位授予單位】：電子科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 邢天才;張閣;;中國(guó)股指期貨對(duì)現(xiàn)貨市場(chǎng)聯(lián)動(dòng)效應(yīng)的實(shí)證研究——基于滬深300仿真指數(shù)期貨數(shù)據(jù)的分析[J];財(cái)經(jīng)問題研究;2010年04期

2 嚴(yán)敏;巴曙松;吳博;;我國(guó)股指期貨市場(chǎng)的價(jià)格發(fā)現(xiàn)與波動(dòng)溢出效應(yīng)[J];系統(tǒng)工程;2009年10期

3 劉英華;陳守東;;我國(guó)股指期貨的套期保值研究[J];工業(yè)技術(shù)經(jīng)濟(jì);2009年09期

4 黃瑋;劉再華;;股指期貨推出對(duì)股指波動(dòng)性影響的研究——基于印度NIFTY股指期貨的實(shí)證分析[J];湖南財(cái)經(jīng)高等專科學(xué)校學(xué)報(bào);2007年05期

5 李華;程婧;;股指期貨推出對(duì)股票市場(chǎng)波動(dòng)性的影響研究——來自日本的實(shí)證分析[J];金融與經(jīng)濟(jì);2006年02期

6 戴佳青;潘和平;;滬深300股指與期貨的高頻動(dòng)態(tài)關(guān)系檢測(cè)[J];管理學(xué)家(學(xué)術(shù)版);2011年07期

7 蔡向輝;;滬深300指數(shù)期貨價(jià)格發(fā)現(xiàn)功能研究[J];金融發(fā)展研究;2011年03期

8 華仁海;劉慶富;;股指期貨與股指現(xiàn)貨市場(chǎng)間的價(jià)格發(fā)現(xiàn)能力探究[J];數(shù)量經(jīng)濟(jì)技術(shù)經(jīng)濟(jì)研究;2010年10期

9 佟孟華;楊榮;郭多祚;;股指期貨價(jià)格發(fā)現(xiàn)功能的實(shí)證研究——基于現(xiàn)貨指數(shù)變化趨勢(shì)[J];統(tǒng)計(jì)與信息論壇;2008年09期

10 劉勤,顧嵐;股票日內(nèi)交易數(shù)據(jù)特征和波幅的分析[J];統(tǒng)計(jì)研究;2001年04期

相關(guān)碩士學(xué)位論文 前1條

1 黃順;滬深300股指期貨無套利區(qū)間分析[D];西南財(cái)經(jīng)大學(xué);2009年

，

本文編號(hào)：1677849