本文選題：股指期貨 + 股市波動　； 參考：《江蘇大學》2017年碩士論文

【摘要】：2010年4月16日我國正式推出滬深300股指期貨。在滬深300股指期貨剛推出時,我國股市經(jīng)歷了大幅度的波動,2015年我國股市劇烈震蕩時也有觀點認為股指期貨是引起股票市場劇烈波動的原因,在此背景下本文就滬深300股指期貨與我國股票市場波動性的關系,進行了理論和實證分析。本文在梳理國內(nèi)外股指期貨與股市波動關系的相關文獻的基礎上,對我國股指期貨和股票市場的現(xiàn)狀進行分析,利用協(xié)整檢驗、Granger因果檢驗、誤差修正模型的方法,對我國股指期貨與股票現(xiàn)貨的價格之間的關系進行了實證檢驗,接著用EGARCH模型,進一步測量了我國股指期貨對股市波動性的影響。研究表明,我國股指期貨與股票現(xiàn)貨的價格之間存在長期均衡關系,股指期貨對股票市場具有價格發(fā)現(xiàn)和引導作用,股指期貨降低了股票市場的波動性,包括:股指期貨提高了股票市場的信息傳遞速度,降低了股票市場的非對稱性效應,降低了信息對股市波動性影響的持續(xù)性。而股指期貨的嚴格管制卻增加了股票市場的波動性。最后提出建議:對市場監(jiān)管方面,要完善金融期貨市場的監(jiān)管體制,加強股指期貨監(jiān)管機構的信息交流,提高監(jiān)管效率,增強股指期貨異常交易的風險控制;對市場交易方面,要完善套期保值的市場機制,改善投資者結構,加強行業(yè)自律性建設。
[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.
【學位授予單位】：江蘇大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51;F724.5

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