本文選題：物價(jià)周期 + 股指期貨��； 參考：《吉林財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：2010年4月16日，在經(jīng)歷了近10年的研究討論后我國(guó)正式推出了以滬深300指數(shù)為標(biāo)的物的股指期貨合約,作為我國(guó)首個(gè)金融期貨品種，正逐步通過(guò)其價(jià)值發(fā)現(xiàn)、套期保值和投機(jī)功能發(fā)揮著重要的作用。然而，如何發(fā)揮股指期貨的上述功能，規(guī)避宏觀環(huán)境運(yùn)行風(fēng)險(xiǎn)，不但要深入研究股指運(yùn)行的宏觀經(jīng)濟(jì)指標(biāo)，還需要將宏觀經(jīng)濟(jì)指標(biāo)量化分析獲得準(zhǔn)確的影響結(jié)論，才能建立基于宏觀經(jīng)濟(jì)運(yùn)行環(huán)境的套利模型，交易策略進(jìn)行風(fēng)險(xiǎn)提示及規(guī)避。 本文正是基于這一背景而展開(kāi)深入的研究，通過(guò)研究宏觀經(jīng)濟(jì)運(yùn)行的物價(jià)水平指標(biāo)CPI的周期性波動(dòng)關(guān)系以及對(duì)股票價(jià)格的相互影響關(guān)系，建立量化模型，揭示物價(jià)水平對(duì)股票價(jià)格指數(shù)的運(yùn)行影響關(guān)系大小以及如何通過(guò)物價(jià)水平來(lái)預(yù)測(cè)股票價(jià)格指數(shù)，最終轉(zhuǎn)化為運(yùn)用股指期貨來(lái)規(guī)避由于物價(jià)大幅波動(dòng)引起的資產(chǎn)價(jià)格的波動(dòng)風(fēng)險(xiǎn)。 首先將經(jīng)濟(jì)周期這一概念延伸到我國(guó)物價(jià)水平的周期波動(dòng)上，并將物價(jià)周期劃分為四個(gè)階段，以2%的警戒線作為通脹開(kāi)始的標(biāo)志。物價(jià)周期波動(dòng)與股票指數(shù)的周期波動(dòng)存在一些共同的特征。物價(jià)是對(duì)居民消費(fèi)品價(jià)格的指數(shù)表示，而股票價(jià)格指數(shù)是對(duì)資本價(jià)格指數(shù)的表示，同作為資產(chǎn)的價(jià)格表現(xiàn)形式來(lái)看，兩者上漲與下跌的趨勢(shì)具有同向的關(guān)系，不同的僅是時(shí)間先后關(guān)系而已。 其次通過(guò)對(duì)序列的單位根檢驗(yàn)，相關(guān)關(guān)系等的測(cè)試后，建立分?jǐn)?shù)階差分預(yù)期協(xié)整模型用物價(jià)指數(shù)對(duì)股票價(jià)格指數(shù)的擬合模型，并對(duì)預(yù)留數(shù)據(jù)進(jìn)行預(yù)測(cè)效果的測(cè)試，，并獲得了較好預(yù)測(cè)效果。 最后，由于本文所建模型是建立在預(yù)期因素基礎(chǔ)上進(jìn)行的建模。因此需要解決一個(gè)理論前提：能準(zhǔn)確預(yù)測(cè)因變量指標(biāo)未來(lái)的趨勢(shì)，只要趨勢(shì)準(zhǔn)確，就能把握住作為領(lǐng)先指標(biāo)的股票價(jià)格指數(shù)的未來(lái)趨勢(shì)。
[Abstract]:On April 16, 2010, after nearly 10 years of research and discussion, China officially launched the stock index futures contract with the Shanghai and Shenzhen 300 index as the subject matter. As the first financial futures variety in China, it is gradually found through its value.Hedging and speculative functions play an important role.However, how to give full play to the above function of stock index futures and avoid the risk of macro environment operation, we should not only deeply study the macro economic indexes of stock index operation, but also need to get accurate conclusions by quantifying the macro economic indexes.Only in this way can we establish the arbitrage model based on the macro-economic operating environment and trade strategy to prompt and avoid the risks.This paper is based on this background to carry out in-depth research, through the study of the macro-economic operation of the price level index CPI periodic fluctuations and the mutual impact on stock prices, the establishment of a quantitative model,This paper reveals the influence of price level on the operation of stock price index and how to predict stock price index through price level, which is transformed into using stock index futures to avoid the risk of asset price fluctuation caused by large price fluctuation.Firstly, the concept of economic cycle is extended to the periodic fluctuation of the price level in China, and the price cycle is divided into four stages, and the warning line of 2% is taken as the sign of the beginning of inflation.There are some common characteristics between price cycle fluctuation and stock index cycle fluctuation.The price of goods is the index of the consumer price of the residents, while the stock price index is the expression of the capital price index. As a form of expression of the price of assets, the rising and falling trends of both are in the same direction.The difference is only a matter of time and order.Secondly, after testing the unit root test and correlation relation of the series, the fractional differential expectation cointegration model is established to fit the stock price index with the price index, and the prediction effect of the reserved data is tested.Good prediction results are obtained.Finally, because the model is built on the basis of expected factors.Therefore, we need to solve a theoretical premise: we can accurately predict the future trend of the dependent variable index, so long as the trend is accurate, we can grasp the future trend of the stock price index as the leading index.
【學(xué)位授予單位】：吉林財(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)】：F224;F726;F832.51

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