本文選題：滬深300股指期貨　切入點(diǎn)：ARCH模型　出處：《湘潭大學(xué)》2012年碩士論文

【摘要】：滬深300股指期貨與2010年4月16日正式上市交易。從理論上分析，股指期貨有價(jià)格發(fā)現(xiàn)、套期保值、風(fēng)險(xiǎn)管理、市場追蹤等等功能，是投資者在資產(chǎn)組合管理和交易中不可或缺的重要工具。但是，股指期貨也是一把雙刃劍。在它為金融市場帶來無限利益的同時(shí)也增加了整個(gè)市場的交易風(fēng)險(xiǎn)。 作為被市場寄予厚望的第一只股票衍生金融產(chǎn)品，滬深300股指期貨對于穩(wěn)定我國股票市場，減小市場波動(dòng)方面，究竟起到了何種作用，是理論界十分關(guān)心的問題。然而，由于數(shù)據(jù)可得性的限制，相關(guān)研究尚不完善。研究我國股票市場在滬深300股指期貨推出后的變化，有助于判斷滬深300股指期貨是否良好運(yùn)行，是否被廣泛運(yùn)用于風(fēng)險(xiǎn)管理和資產(chǎn)組合管理，這對理論和應(yīng)用都有著深遠(yuǎn)的意義。 本文采用被廣泛運(yùn)用于描述金融資產(chǎn)的波動(dòng)聚集性特征的ARCH模型，并創(chuàng)造性地引入了虛擬變量，使得模型具有更強(qiáng)的擬合和解釋能力。文章采集了滬深300股指期貨推出前后的滬深300股票指數(shù)作為交易數(shù)據(jù)，在分析兩個(gè)階段樣本各自的特征后，進(jìn)行對比，并創(chuàng)造性地引入了虛擬變量，以發(fā)現(xiàn)股指期貨的推出對我國股票現(xiàn)貨市場波動(dòng)率的影響。通過研究，本文認(rèn)為股指期貨的推出，改變了滬深300指數(shù)運(yùn)行的規(guī)律，，但對滬深300指數(shù)波動(dòng)率并未產(chǎn)生較大的影響。上證指數(shù)和深成指的波動(dòng)率均有所減弱，但這種減弱非常微小。對于市場整體的波動(dòng)率并未產(chǎn)生明顯的影響。 本文首先介紹了論文選題的背景和意義，并對針對此問題已有的研究成果進(jìn)行了歸納和總結(jié)。在介紹了論文的研究思路和方法后，對文章的創(chuàng)新和不足進(jìn)行了闡述。在第二章中，文章介紹了股指期貨的定義和主要特點(diǎn)，并進(jìn)一步介紹了股指期貨的功能。在闡述了股指期貨在全世界范圍內(nèi)的發(fā)展后，還對滬深300股指期貨的發(fā)展進(jìn)行了描述。第三章主要對股指期貨對股票現(xiàn)貨市場產(chǎn)生波動(dòng)可能的傳導(dǎo)途徑進(jìn)行了總結(jié)和概括。第四章介紹了ARCH類模型的理論原理，并在此基礎(chǔ)上進(jìn)行了建模分析并得出相關(guān)結(jié)論。第五章為全文結(jié)論。
[Abstract]:Shanghai and Shenzhen 300 stock index futures and April 16, 2010 officially listed trading.Theoretically, stock index futures have the functions of price discovery, hedging, risk management, market tracking and so on, which are indispensable tools for investors in portfolio management and trading.However, stock index futures are also a double-edged sword.While it brings unlimited benefits to the financial markets, it also increases the transaction risk of the whole market.As the first stock derivative financial product, Shanghai and Shenzhen 300 stock index futures have played a very important role in stabilizing the stock market and reducing the fluctuation of the stock market in China.However, due to the limitations of data availability, the relevant research is not perfect.The study of the changes of the stock market after the launch of CSI 300 stock index futures is helpful to judge whether the CSI 300 stock index futures are running well and whether they are widely used in risk management and portfolio management.This has profound significance to theory and application.In this paper, the ARCH model, which is widely used to describe the volatility and aggregation characteristics of financial assets, is widely used, and the virtual variable is introduced creatively, which makes the model have stronger ability of fitting and explaining.This paper collects the stock index of Shanghai and Shenzhen 300 stock index before and after the launch of CSI 300 stock index futures as trading data, after analyzing the characteristics of the samples in the two stages, compares them, and creatively introduces virtual variables.In order to find out the impact of the introduction of stock index futures on the stock market volatility.Through the research, this paper thinks that the introduction of stock index futures has changed the operation law of Shanghai and Shenzhen 300 index, but has no great influence on the volatility of Shanghai and Shenzhen 300 index.Volatility in both the Shanghai and Shenzhen indices has weakened, but the decline has been minimal.For the market as a whole volatility did not have a significant impact.This paper first introduces the background and significance of the topic, and summarizes the existing research results.After introducing the research ideas and methods of the paper, this paper expounds the innovation and deficiency of the paper.In the second chapter, the paper introduces the definition and main characteristics of stock index futures, and further introduces the function of stock index futures.After expounding the development of stock index futures all over the world, the development of Shanghai and Shenzhen 300 stock index futures is described.The third chapter summarizes and generalizes the possible conduction ways of stock index futures to stock spot market volatility.The fourth chapter introduces the theory of ARCH class model, and on the basis of it, it analyzes the model and draws the relevant conclusions.Chapter five is the conclusion of the paper.
【學(xué)位授予單位】：湘潭大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51

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