本文選題：股指期貨 + 滬深300　； 參考：《天津科技大學(xué)》2012年碩士論文

【摘要】：2010年4月16日,是我國資本市場具有里程碑意義的一天,這一天,我國推出了第一只真正意義上的股指期貨產(chǎn)品——滬深300股指期貨。從滬深300股指期貨上市一年多的時間里來看,市場運(yùn)行平穩(wěn),投資者熱情高漲,交易量不斷攀升。目前為止,滬深300股指期貨現(xiàn)已成為全球交易最為活躍的合約之一,在亞洲地區(qū)僅次于韓國KOSPI200指數(shù)合約。本文全面研究了中國股指期貨的發(fā)展歷程,并對其投資策略做出了簡要的分析,主要研究內(nèi)容如下： 首先,本文從我國資本市場初期開始,全面研究中國股指期貨的提出、上市和發(fā)展的過程。股指期貨是在海外市場成功運(yùn)行多年的股指類衍生品,主要用來管理風(fēng)險、規(guī)避風(fēng)險,以進(jìn)行資產(chǎn)配置,它的產(chǎn)生是市場的需要,也是市場發(fā)展過程中必然要出現(xiàn)的。中國的資本市場開始于1990年,至今已20年有余,適時地推出適合中國的股指期貨產(chǎn)品已顯得非常有必要了,本文即從此處開始,全面地研究中國股指期貨市場。 其次,股指期貨的推出到底會對市場造成怎樣的波動呢?本文結(jié)合了滬深300股指期貨仿真階段的數(shù)據(jù)和滬深300股指期貨上市以后的數(shù)據(jù),并應(yīng)用研究股票波動最經(jīng)典的GARCH簇模型,分別對仿真期間和上市運(yùn)行之后的市場初期和遠(yuǎn)期波動做了研究。結(jié)果表明,在股指期貨上市初期,股票市場波動較大,隨后,對市場的波動影響越來越小,中長期以后,隨著股指期貨功能的逐漸體現(xiàn),它對股票市場的波動不會再造成影響,相反,它還能起到穩(wěn)定市場的作用。 最后,本文根據(jù)股指期貨上市的實(shí)際情況,對滬深300股指期貨三種主要的投資做了研究,并根據(jù)市場實(shí)際運(yùn)行數(shù)據(jù)對套期保值策略和套利策略做了實(shí)證分析。同時,本文分別對個人投資者和機(jī)構(gòu)投資者的投資策略進(jìn)行了分析,以幫助不同的投資者做出了更好的選擇。
[Abstract]:April 16, 2010, is a landmark day in China's capital market. On this day, China launched the first real stock index futures product-Shanghai and Shenzhen 300 stock index futures.Judging from the listing of Shanghai and Shenzhen 300 stock index futures for more than a year, the market is running smoothly, investors' enthusiasm is high and trading volume is rising.By far, CSI 300 futures have become one of the most active contracts in the world, second only to South Korea's KOSPI200 in the region.This paper comprehensively studies the development course of Chinese stock index futures, and makes a brief analysis of its investment strategy. The main research contents are as follows:First of all, this paper starts from the initial stage of China's capital market, and comprehensively studies the process of putting forward, listing and developing stock index futures in China.Stock index futures are stock index derivatives which have run successfully in overseas markets for many years. They are mainly used to manage risks, avoid risks and allocate assets. The emergence of stock index futures is the need of the market and inevitable in the process of market development.The capital market of China began in 1990 and has been more than 20 years so it is necessary to launch the stock index futures products suitable for China in good time. This paper starts from here and studies the stock index futures market of China comprehensively.Secondly, the introduction of stock index futures on the market will cause what kind of fluctuations?This paper combines the data of Shanghai and Shenzhen 300 stock index futures simulation stage and the data of Shanghai and Shenzhen 300 stock index futures after listing, and applies the GARCH cluster model, which is the most classical model to study stock volatility.The market initial and forward volatility during the simulation period and after the market operation are studied respectively.The results show that, at the initial stage of stock index futures listing, the stock market fluctuates greatly, then, the impact on the market volatility becomes smaller and smaller. After a long period of time, with the gradual embodiment of the function of stock index futures, it will not affect the stock market volatility.On the contrary, it can also play a stabilizing role in the market.Finally, according to the actual situation of stock index futures listing, this paper studies the three main investments of Shanghai and Shenzhen 300 stock index futures, and makes an empirical analysis on hedging strategy and arbitrage strategy according to the actual operation data of the market.At the same time, this paper analyzes the investment strategies of individual investors and institutional investors to help different investors to make better choices.
【學(xué)位授予單位】：天津科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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