本文選題：股指期貨 + 波動(dòng)性�。� 參考：《云南財(cái)經(jīng)大學(xué)》2017年碩士論文

【摘要】：自2010年來(lái),股指期貨已經(jīng)在中國(guó)推出已有七年,股指期貨相對(duì)推出時(shí)已經(jīng)取得了很大的進(jìn)步,在發(fā)展國(guó)家的金融市場(chǎng)的過(guò)程中扮演著重要角色,股指期貨本是為了規(guī)避系統(tǒng)性風(fēng)險(xiǎn)、完善資金的配置和股市的穩(wěn)定器而能上市交易,然而在2015年股票現(xiàn)貨市場(chǎng)出現(xiàn)了新的一輪股災(zāi),滬深兩大股市絕大多數(shù)個(gè)股都經(jīng)歷了大幅震蕩,股市被重新洗牌。而這時(shí)的股指期貨成為首要質(zhì)疑對(duì)象被推向風(fēng)口,在1987年時(shí)也同樣出現(xiàn)此問(wèn)題,當(dāng)時(shí)的美國(guó)及全球范圍內(nèi)股市崩盤(pán)爆發(fā),投資者們對(duì)期指的信任在股災(zāi)后幾乎一去不復(fù)返。近年來(lái),分析股指期貨是否真是股票市場(chǎng)暴跌首要元兇成為熱門(mén)研究話題。波動(dòng)性則是這個(gè)研究話題的核心,波動(dòng)性反映就是市場(chǎng)的風(fēng)險(xiǎn),對(duì)研究期貨是否發(fā)揮了其本身的功能作用是十分重要的。本文以滬深300期現(xiàn)貨市場(chǎng)為標(biāo)的,研究時(shí)使用理論先行,然后與實(shí)證分析有機(jī)結(jié)合方法來(lái)研究波動(dòng)性及二者價(jià)格之間的相關(guān)性問(wèn)題,波動(dòng)性研究部分選擇的樣本數(shù)據(jù)時(shí)間段是2005年4月8日至2016年12月31日,采用的是滬深300指數(shù)交易日的日收盤(pán)價(jià)數(shù)據(jù),先通過(guò)構(gòu)建GARCH模型對(duì)所選樣本空間做檢驗(yàn)分析,采用EGARCH、PGARCH等非對(duì)稱性GARCH模型對(duì)輸出結(jié)論驗(yàn)證。在考察期現(xiàn)相關(guān)性部分選擇樣本數(shù)據(jù)的時(shí)間段是2010年4月16日至2016年12月31日,選用滬深300指數(shù)交易日的日收盤(pán)價(jià),以及滬深300期指主力合約連續(xù)日的日收盤(pán)價(jià),在做實(shí)證分析時(shí),先做平穩(wěn)性ADF檢驗(yàn),用Granger因果檢驗(yàn)來(lái)說(shuō)明期現(xiàn)價(jià)格間短期關(guān)系,然后通過(guò)協(xié)整檢驗(yàn)和誤差修正模型得出二者之間的長(zhǎng)期關(guān)系。本文研究結(jié)論:(1)啟動(dòng)滬深300股指期貨正式交易后其對(duì)應(yīng)的指數(shù)現(xiàn)貨市場(chǎng)的波動(dòng)性的減弱。(2)限制滬深300期指交易后同樣也減小現(xiàn)貨市場(chǎng)的波動(dòng)性,但影響不是很顯著,這可能跟研究階段時(shí)正處于股市低迷時(shí)期、監(jiān)管力度、去杠桿等因素有關(guān)。(3)滬深300市場(chǎng)的期現(xiàn)價(jià)格在短期、長(zhǎng)期中都保持一種均衡關(guān)系,并且從長(zhǎng)期看,股指期貨比現(xiàn)貨指數(shù)市場(chǎng)更能發(fā)揮發(fā)現(xiàn)價(jià)格的功能,也可理解為期貨市場(chǎng)的價(jià)格要領(lǐng)先于現(xiàn)貨市場(chǎng)指數(shù)指標(biāo)。
[Abstract]:Since 2010, stock index futures have been launched in China for seven years. Stock index futures have made great progress when they were relatively launched, and have played an important role in the process of developing the country's financial markets. Stock index futures could be traded in order to avoid systemic risks, improve the allocation of funds and stabilize the stock market. However, in 2015, there was a new round of stock market disasters in the spot stock market. Shanghai and Shenzhen stock markets are the vast majority of stocks have experienced a major shock, the stock market was reshuffled. At this time, stock index futures were pushed into the air, as was the case in 1987, when the stock market crash broke out in the United States and around the world, and investors' trust in the index was almost gone after the crash. In recent years, it has become a hot topic to analyze whether stock index futures are the main culprit of the stock market collapse. Volatility is the core of this research topic, volatility reflection is the risk of the market, and it is very important to study whether futures play its own function. This paper takes the Shanghai and Shenzhen 300 spot market as the target, uses the theory first when the research, then combines the method with the empirical analysis to study the volatility and the correlation between the two prices. The period of sample data selected in the volatility study is from April 8, 2005 to December 31, 2016. It adopts the data of daily closing price of the Shanghai and Shenzhen 300 Index trading days. Firstly, the selected sample space is tested and analyzed by constructing the GARCH model. The asymmetric GARCH model was used to verify the output results. The period from April 16, 2010 to December 31, 2016, is the time period for selecting the sample data in the relevant part of the survey period. The daily closing price of the Shanghai and Shenzhen 300 Index trading days and the daily closing price of the main contracts of the Shanghai and Shenzhen 300 futures index are selected. In the empirical analysis, the stationary ADF test and Granger causality test are used to illustrate the short-term relationship between current prices, and then the long-term relationship between them is obtained by cointegration test and error correction model. This paper concludes that: 1) the volatility of the corresponding index spot market is weakened after the launch of the Shanghai and Shenzhen 300 stock index futures trading. (2) limiting the Shanghai and Shenzhen 300 futures index to reduce the volatility of the spot market after trading, but the impact is not very significant. This may be related to the fact that the current price of the Shanghai-Shenzhen 300 market is in a balanced relationship in the short and long term, and in the long run, is related to factors such as the intensity of supervision, deleveraging, and other factors in the stock market downturn at the time of the research stage. Stock index futures can play a more important role in discovering prices than spot index markets, and it can also be understood that the price of futures market is ahead of the index of spot market.
【學(xué)位授予單位】：云南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51;F724.5

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本文編號(hào)：1915733