發(fā)布時(shí)間：2018-05-21 00:40

  本文選題：股指期貨 + 股市波動(dòng)　； 參考：《江蘇大學(xué)》2017年碩士論文

【摘要】：2010年4月16日我國(guó)正式推出滬深300股指期貨。在滬深300股指期貨剛推出時(shí),我國(guó)股市經(jīng)歷了大幅度的波動(dòng),2015年我國(guó)股市劇烈震蕩時(shí)也有觀點(diǎn)認(rèn)為股指期貨是引起股票市場(chǎng)劇烈波動(dòng)的原因,在此背景下本文就滬深300股指期貨與我國(guó)股票市場(chǎng)波動(dòng)性的關(guān)系,進(jìn)行了理論和實(shí)證分析。本文在梳理國(guó)內(nèi)外股指期貨與股市波動(dòng)關(guān)系的相關(guān)文獻(xiàn)的基礎(chǔ)上,對(duì)我國(guó)股指期貨和股票市場(chǎng)的現(xiàn)狀進(jìn)行分析,利用協(xié)整檢驗(yàn)、Granger因果檢驗(yàn)、誤差修正模型的方法,對(duì)我國(guó)股指期貨與股票現(xiàn)貨的價(jià)格之間的關(guān)系進(jìn)行了實(shí)證檢驗(yàn),接著用EGARCH模型,進(jìn)一步測(cè)量了我國(guó)股指期貨對(duì)股市波動(dòng)性的影響。研究表明,我國(guó)股指期貨與股票現(xiàn)貨的價(jià)格之間存在長(zhǎng)期均衡關(guān)系,股指期貨對(duì)股票市場(chǎng)具有價(jià)格發(fā)現(xiàn)和引導(dǎo)作用,股指期貨降低了股票市場(chǎng)的波動(dòng)性,包括:股指期貨提高了股票市場(chǎng)的信息傳遞速度,降低了股票市場(chǎng)的非對(duì)稱(chēng)性效應(yīng),降低了信息對(duì)股市波動(dòng)性影響的持續(xù)性。而股指期貨的嚴(yán)格管制卻增加了股票市場(chǎng)的波動(dòng)性。最后提出建議:對(duì)市場(chǎng)監(jiān)管方面,要完善金融期貨市場(chǎng)的監(jiān)管體制,加強(qiáng)股指期貨監(jiān)管機(jī)構(gòu)的信息交流,提高監(jiān)管效率,增強(qiáng)股指期貨異常交易的風(fēng)險(xiǎn)控制;對(duì)市場(chǎng)交易方面,要完善套期保值的市場(chǎng)機(jī)制,改善投資者結(jié)構(gòu),加強(qiáng)行業(yè)自律性建設(shè)。
[Abstract]:April 16, 2010, China officially launched the Shanghai and Shenzhen 300 stock index futures. When the Shanghai and Shenzhen 300 stock index futures were first launched, the stock market in our country experienced a lot of fluctuations. When the stock market was volatile in 2015, there were also views that stock index futures were the cause of the sharp fluctuations in the stock market. In this context, this paper makes theoretical and empirical analysis on the relationship between Shanghai and Shenzhen 300 stock index futures and the volatility of China's stock market. This paper analyzes the current situation of stock index futures and stock market on the basis of combing the literature about the relationship between stock index futures and stock market volatility at home and abroad, using co-integration test, Granger causality test, error correction model method. The relationship between stock index futures and stock spot prices is tested empirically, and the influence of stock index futures on stock market volatility is further measured by using EGARCH model. The research shows that there is a long-term equilibrium relationship between stock index futures and spot prices in China. Stock index futures have the function of price discovery and guidance to the stock market, and stock index futures reduce the volatility of the stock market. Including: stock index futures improve the speed of information transmission in the stock market, reduce the asymmetric effect of the stock market, and reduce the persistence of information on the stock market volatility. But the strict control of stock index futures has increased the volatility of the stock market. Finally, some suggestions are put forward: in the aspect of market supervision, we should perfect the regulatory system of financial futures market, strengthen the information exchange of stock index futures regulatory bodies, improve the efficiency of supervision, and strengthen the risk control of abnormal trading of stock index futures. We should improve the market mechanism of hedging, improve the structure of investors, and strengthen the self-discipline construction of the industry.
【學(xué)位授予單位】：江蘇大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.51;F724.5

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本文編號(hào)：1916981