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

【摘要】：股指期貨作為重要的金融衍生工具,在各國的金融市場中占有不可或缺的地位。我國股指期貨自2010年4月16日推出一年多以來,運行平穩(wěn)、交易活躍、交易量日漸放大,和現(xiàn)貨市場聯(lián)動日趨緊密,對股票市場的影響已初現(xiàn)端倪。但是,我國目前的股指期貨市場無論是在交易規(guī)模、交易品種、交易機制,還是在參與交易的人員結構和專業(yè)素質來說都與發(fā)達市場具有較大的差距,它僅僅是一個起步的市場、發(fā)展的市場,這決定了我國股指期貨市場和股票市場之間的動態(tài)關系有別于發(fā)達市場,具有自身的特征。 本文首先回顧了我國股指期貨推出的歷程及上市以來的運營現(xiàn)狀,接著在分析股指期貨基本功能的基礎上探討了股指期貨與現(xiàn)貨之間的交互關系。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),分別運用了誤差修正的VAR模型和雙變量GARCH模型對我國滬深300股指期貨和現(xiàn)貨之間的價格發(fā)現(xiàn)能力和波動溢出效應進行了研究,主要得出了以下研究結論。 (1)滬深300股指期貨價格和現(xiàn)貨價格之間存在著長期均衡的協(xié)整關系,滬深300股指期貨價格與指數(shù)價格走勢基本一致,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格引導關系。滬深300股指期貨雖然上市時間較短,亦已表現(xiàn)出了較強的價格發(fā)現(xiàn)能力,而且隨著機構資金的不斷加入,期貨市場的逐步成熟,股指期貨的價格發(fā)現(xiàn)能力正在逐步增強。 (3)滬深300股指期貨和現(xiàn)貨之間存在著雙向的波動溢出效應。由于我國股指期貨市場仍然是一個起步的市場、發(fā)展的市場,滬深300股指現(xiàn)貨對股指期貨的波動溢出效應要大于股指期貨對滬深300股指現(xiàn)貨的波動溢出效應。 本文的研究結論,一方面可為進一步完善我國股指期貨市場交易機制、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)；另一方面對揭示我國股指期貨市場的價格發(fā)現(xiàn)機制及其微觀結構有著重要的理論價值；此外,對投資者進行套期保值、風險管理或者套利交易策略制定和實施具有現(xiàn)實的指導意義。
[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.
【學位授予單位】：電子科技大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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