本文選題：滬深300股指期貨 + A股現(xiàn)貨市場��； 參考：《浙江財經(jīng)學(xué)院》2012年碩士論文

【摘要】：自二十世紀(jì)八十年代初全球首個股指期貨品種誕生以來,經(jīng)過將近短短20年的發(fā)展,股指期貨這一新型金融衍生品種獲得了快速的成長與發(fā)展,可以說幾乎所有的發(fā)達國家和大部分發(fā)展中國家都已經(jīng)擁有了屬于自身的股指期貨品種,特別是進入二十一世紀(jì)以來,亞洲金融期貨品種尤其是股指期貨更是獲得了迅猛的發(fā)展。我國股指期貨經(jīng)過將近四年的仿真交易,無論從制度機制設(shè)計、市場規(guī)模,還是法律條件等各方面都已經(jīng)初步完備,終于在2010年4月16日正式推出了中國大陸首個股指期貨品種—滬深300股指期貨。 由于一直以來我國股票現(xiàn)貨市場相對于西方發(fā)達國家成熟市場而言都存在相對比較嚴(yán)重的效率低下問題,諸如本文研究的股票現(xiàn)貨市場定價效率、運行效率等方面,這些都嚴(yán)重制約我國資本市場乃至整個國民經(jīng)濟的持續(xù)健康發(fā)展。本文選取中國大陸推出將近一年半以來的A股標(biāo)的指數(shù)期貨—滬深300股指期貨品種和代表A股現(xiàn)貨市場的滬深300現(xiàn)貨指數(shù)作為研究對象,探討滬深300股指期貨推出對A股現(xiàn)貨市場定價效率與運行效率的影響,不僅對廣大投資者有著深刻的啟發(fā)和教育意義,而且能夠給相關(guān)決策層調(diào)控市場提供參考依據(jù),因此,本論文的研究具有一定的理論和現(xiàn)實意義。 本文采用理論與實證相結(jié)合的方法。在理論研究上,第一章導(dǎo)論部分歸納總結(jié)了市場效率理論與股指期貨推出對股票現(xiàn)貨市場定價效率和運行效率影響的國內(nèi)外研究現(xiàn)狀,這為本文的模型設(shè)計打下一定的思路框架;第二章從股指期貨概念出發(fā),回顧全球股指期貨發(fā)展歷程,并且闡述了股指期貨的基本理論;第三章理論分析股指期貨推出對股票現(xiàn)貨市場效率的影響,先說明了股指期貨市場與股票現(xiàn)貨市場的效率互動關(guān)系,再分別闡明了股指期貨推出與股票現(xiàn)貨市場定價效率和運行效率的關(guān)系。這都為后面實證研究提供了必要的理論依據(jù)和模型構(gòu)建框架。在實證研究上,選取盡可能多的最新樣本數(shù)據(jù),并不斷追蹤市場行情,嚴(yán)格遵照規(guī)范的實證程序,運用Eviews6.0和Excel等統(tǒng)計軟件從三方面展開本論文的統(tǒng)計分析和實證檢驗:一是滬深300股指期貨推出對A股現(xiàn)貨市場價格傳遞效應(yīng)的實證研究,首先對滬深300股指期貨與滬深300指數(shù)現(xiàn)貨相關(guān)性進行了分析,然后依次經(jīng)過平穩(wěn)性檢驗、協(xié)整檢驗,最后通過Granger因果檢驗法得出滬深300股指期貨推出初期是否具備價格發(fā)現(xiàn)功能;二是滬深300股指期貨推出對A股現(xiàn)貨市場波動性的實證研究,主要通過構(gòu)建ARMA-GARCH模型,并分別引入融資融券和股指期貨作為虛擬變量,具體判斷股指期貨的波動性影響;三是滬深300股指期貨推出對A股現(xiàn)貨市場流動性實證研究,首先從成交量角度考察滬深300股指期貨推出前后A股現(xiàn)貨市場流動性的變化,通過對滬深300指數(shù)成交量指標(biāo)進行的統(tǒng)計描述來初步觀察A股現(xiàn)貨市場流動性的變化,緊接著對滬深300股指期貨推出前后分別100交易日、300交易日滬深300指數(shù)交易成交量增長率進行T檢驗來進行進一步論證;然后從價格層面考察滬深300股指期貨推出前后A股現(xiàn)貨市場流動性的變化,這里具體利用相對價差指標(biāo)進行描述性統(tǒng)計分析;最后綜合考慮成交量與價格兩方面,引入一個反映量價綜合指標(biāo)的非流動性比率刻畫滬深300股指期貨推出前后我國A股現(xiàn)貨市場流動性的變化。 通過以上的理論分析和實證分析,筆者得出以下研究結(jié)論:第一,我國滬深300股指期貨初步具備價格發(fā)現(xiàn)功能,提升了A股現(xiàn)貨市場的定價效率;第二,滬深300股指期貨推出降低了A股現(xiàn)貨市場波動性,起到了穩(wěn)定市場的作用;第三,深300股指期貨推出一定程度上增加了A股現(xiàn)貨市場流動性,后二者則表明滬深300股指期貨推出提高了我國A股現(xiàn)貨市場的運行效率。從總體來說,滬深300股指期貨推出改善了A股現(xiàn)貨市場定價效率和運行效率,此外,本文最后在總結(jié)本文結(jié)論的基礎(chǔ)上,還指出了本文的研究不足及展望,并提出了相關(guān)政策建議。
[Abstract]:Since the birth of the first stock index futures of the world in the early 1980s, after nearly 20 years of development, the new financial derivative of stock index futures has gained rapid growth and development. It can be said that almost all developed and most developing countries have own stock index futures. Especially since twenty-first Century, Asian financial futures, especially stock index futures, have developed rapidly. After nearly four years of simulation, stock index futures have been preliminarily complete in various aspects, such as institutional mechanism design, market size, and legal conditions. Finally, the stock index futures have been formally introduced in April 16, 2010. The first stock index futures in mainland China - Shanghai and Shenzhen 300 stock index futures.
Since the stock spot market of our country has been relative to the mature market of western developed countries, there are relatively serious inefficiency problems, such as the efficiency of the spot market and the efficiency of the stock market, which seriously restrict the sustainable and healthy development of China's capital market and the whole national economy. The article selected China mainland to introduce the index futures of A shares for nearly a year and a half, the Shanghai and Shenzhen 300 stock index futures varieties and the Shanghai and Shenzhen 300 spot index representing the spot market of A stock as the research object, to explore the impact of the introduction of the Shanghai and Shenzhen 300 stock index futures on the pricing efficiency and the operating efficiency of the A stock market, which not only has a profound effect on the investors. Enlightening and educational significance, and it can provide a reference basis for the relevant decision-making level to control the market. Therefore, the research in this paper has certain theoretical and practical significance.
In this paper, the theory and the empirical method are used. In the theoretical study, the first chapter introduces the domestic and foreign research status of the market efficiency theory and the impact of the introduction of stock index futures on the pricing efficiency and efficiency of the stock market, which lays a certain framework for the model design in this paper; the second chapter is from the stock index futures. The concept of the development of stock index futures is reviewed, and the basic theory of stock index futures is expounded. The third chapter analyses the effect of the introduction of stock index futures on the efficiency of stock market. It first illustrates the efficiency of the stock index futures market and the stock spot market, and then clarifies the introduction of stock index futures and the stock spot market respectively. The relationship between pricing efficiency and operational efficiency provides the necessary theoretical basis and model building framework for the latter empirical research. In the empirical study, we select as many of the latest sample data as possible, keep track of the market market, strictly follow the normative empirical procedure, and use the statistical software such as Eviews6.0 and Excel to develop this theory from three aspects Statistical analysis and empirical test: first, the empirical study on the price transfer effect of the Shanghai and Shenzhen 300 stock index futures on the A stock market. First, the spot correlation between Shanghai and Shenzhen 300 stock index futures and the Shanghai and Shenzhen 300 index is analyzed, then the stability test, cointegration test are followed, and the 300 shares of Shanghai and Shenzhen are finally obtained by the method of causality test. It refers to whether the price discovery function is available at the beginning of the futures market; two is the empirical study on the volatility of the A stock market in the Shanghai and Shenzhen 300 stock index futures, mainly through the construction of the ARMA-GARCH model, and introducing the financing margin and stock index futures as virtual variables to determine the volatility effect of the stock index stock, and the three is the Shanghai and Shenzhen 300 stock index futures. The empirical study on the liquidity of the A stock market is to investigate the changes in the liquidity of the spot market of the A shares before and after the introduction of the Shanghai and Shenzhen 300 stock index futures from the volume of volume, and to observe the changes in the liquidity of the A stock market by the statistical description of the volume index of the Shanghai and Shenzhen 300 index. The 100 trading day, the 300 trading day of Shanghai and Shenzhen 300 index trading volume growth rate of the T test to carry on further demonstration, and then from the price level of the Shanghai and Shenzhen 300 stock index futures market before and after the introduction of the liquidity of the spot market liquidity of the stock market, here the specific use of the relative price difference index to make a descriptive statistical analysis; finally, comprehensive consideration of the volume of trading volume and In the two aspect of price, a non liquidity ratio reflecting the comprehensive index of the volume and price is introduced to describe the changes in the liquidity of the A stock market in China before and after the introduction of the Shanghai and Shenzhen Stock Index Futures (CSI 300 stock index futures) futures.
Through the above theoretical analysis and empirical analysis, the author draws the following conclusions: first, China's Shanghai and Shenzhen 300 stock index futures have a preliminary price discovery function to improve the pricing efficiency of the A stock market; second, Shanghai and Shenzhen 300 stock index futures have reduced the volatility of the A stock market, and played a role in stabilizing the market; third, deep 300 stock index. The Futures Introduction to some extent increases the liquidity of A stock market, the latter two shows that the introduction of Shanghai and Shenzhen 300 stock index futures has improved the operating efficiency of the A stock market in China. In general, the introduction of Shanghai and Shenzhen 300 stock index futures has improved the pricing efficiency and operating efficiency of the spot market of A shares. In addition, this paper finally summarizes the basis of the conclusion of this paper. It also points out the deficiencies and prospects of this study, and puts forward relevant policy recommendations.
【學(xué)位授予單位】：浙江財經(jīng)學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.5;F224

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