【摘要】：隨著滬深300指數(shù)期貨在2010年4月推出，中國股市從此進(jìn)入“對沖”時代。滬深300指數(shù)的作用也由以往純粹的市場基準(zhǔn)升級為一種投資標(biāo)的，其波動本身不僅僅反映整個市場的狀況，而且也牽動著大量股指期貨投資者的投資收益，因此關(guān)于滬深300指數(shù)的抗操縱性也一直被市場所關(guān)注和討論。 本文從指數(shù)抗操縱性研究的現(xiàn)狀入手，分析了關(guān)于操縱的定義以及常見操縱手法，并探討了現(xiàn)在常用的利用個股和板塊的權(quán)重集中度來判斷指數(shù)抗操縱性的方法以及它的局限性，由此引出了本文所要重點(diǎn)討論的利用個股與指數(shù)的尾部相關(guān)性這一角度來分析指數(shù)抗操縱性的方法。為研究個股與指數(shù)的尾部相關(guān)性，本文引入了Copula函數(shù)，，該函數(shù)比常用的線性相關(guān)函數(shù)相比有很大的優(yōu)越性，特別適合計算兩個金融變量的尾部相關(guān)性。文章詳細(xì)介紹了Copula函數(shù)的定義和特征，建立了Copula函數(shù)與尾部相關(guān)系數(shù)的關(guān)系，并介紹了基于Copula函數(shù)的尾部相關(guān)性分析的方法和步驟。 最后本文用滬深300指數(shù)與其前十大權(quán)重股與指數(shù)的日收益率來做實(shí)證分析，求得前十大權(quán)重股與滬深300指數(shù)之間的尾部相關(guān)性，進(jìn)而得出滬深300指數(shù)是否容易被操縱的結(jié)論。根據(jù)計算的結(jié)果，滬深300指數(shù)前十大權(quán)重股與指數(shù)之間存在著比較強(qiáng)的尾部相關(guān)性，表明這些股票在大漲大跌的情況下，滬深300指數(shù)出現(xiàn)大漲大跌的概率是比較大的，但是由此是否說明可以通過操縱個股來操縱指數(shù)還需要進(jìn)一步的研究。
[Abstract]:With the launch of Shanghai and Shenzhen 300 index futures in April 2010, the Chinese stock market has since entered the era of "hedge". The role of the CSI 300 index has also been upgraded from the previous pure market benchmark to an investment target, and its volatility itself not only reflects the situation of the whole market, but also affects the investment returns of a large number of stock index futures investors. Therefore, the anti-manipulation of the Shanghai and Shenzhen 300 index has been concerned and discussed by the market. Starting with the present situation of exponential anti-manipulation research, this paper analyzes the definition of manipulation and common manipulation techniques. This paper also discusses the commonly used methods to judge the exponential anti-maneuverability by using the weight concentration of individual stocks and plates, as well as its limitations. This leads to the method of analyzing the anti-maneuverability of the index from the point of view of the tail correlation between the individual stock and the index, which is discussed in this paper. In order to study the tail correlation between individual stocks and indices, this paper introduces the Copula function, which has great advantages over the commonly used linear correlation functions, and is especially suitable for calculating the tail correlation of two financial variables. In this paper, the definition and characteristics of Copula function are introduced in detail, the relationship between Copula function and tail correlation coefficient is established, and the method and steps of tail correlation analysis based on Copula function are introduced. Finally, this paper uses the daily return rate of Shanghai and Shenzhen 300 index and its top ten heavy stocks and index to make an empirical analysis, obtains the tail correlation between the top ten heavy stocks and Shanghai and Shenzhen 300 index, and then draws the conclusion that the Shanghai and Shenzhen 300 index is easy to be manipulated. According to the results of calculation, there is a strong tail correlation between the top 10 heavy stocks and the index of the CSI 300 index, which indicates that the probability of the Shanghai and Shenzhen 300 index rising and falling is relatively large when these stocks rise and fall. But whether this shows that individual stocks can be manipulated to manipulate the index needs further research.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.51

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相關(guān)期刊論文 前1條

1 張堯庭;連接函數(shù)(copula)技術(shù)與金融風(fēng)險分析[J];統(tǒng)計研究;2002年04期

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