本文關(guān)鍵詞：中證500股指期貨對(duì)股票市場(chǎng)波動(dòng)性影響分析　出處：《內(nèi)蒙古大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

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【摘要】：股指期貨上市對(duì)標(biāo)的股票市場(chǎng)波動(dòng)性的研究,在相關(guān)金融文獻(xiàn)一直存在爭(zhēng)議。2015年4月,中證500股指期貨上市開始交易,這是首次以小盤股為標(biāo)的指數(shù)的股指期貨。本文研究調(diào)查了引入中證500股指期貨交易對(duì)其標(biāo)的指數(shù)價(jià)格波動(dòng)的影響,同時(shí)對(duì)后續(xù)的發(fā)展提供建議。文章首先對(duì)關(guān)于股指期貨對(duì)標(biāo)的股票市場(chǎng)波動(dòng)性影響的國(guó)內(nèi)外相關(guān)研究進(jìn)行了文獻(xiàn)綜述,比較了主要的各類研究結(jié)果、分析了現(xiàn)有的研究方法及各種方法的優(yōu)劣。文章基于股指期貨市場(chǎng)和標(biāo)的股票市場(chǎng)的跨市場(chǎng)相關(guān)性,采用Hsiao(2011)面板數(shù)據(jù)政策評(píng)估方法[1],構(gòu)建標(biāo)的股票市場(chǎng)的反事實(shí)方法,即利用中證500股票指數(shù)和其他指數(shù)和宏觀經(jīng)濟(jì)變量的相關(guān)性,預(yù)測(cè)出如果股指期貨沒有在上市時(shí)間后上市交易的現(xiàn)貨市場(chǎng)月波動(dòng)率,通過對(duì)實(shí)際值和預(yù)測(cè)值做出對(duì)比。通過實(shí)證研究發(fā)現(xiàn),中證500股指期貨上市交易,在絕大多數(shù)月份實(shí)現(xiàn)平抑標(biāo)的股票市場(chǎng)波動(dòng)性作用。在對(duì)于反事實(shí)效應(yīng)分析時(shí),預(yù)測(cè)值和實(shí)際值個(gè)20個(gè)樣本月的結(jié)果顯示,12個(gè)月中股指期貨上市降低標(biāo)的現(xiàn)貨指數(shù)的波動(dòng)性,表明我國(guó)第一個(gè)小盤股為標(biāo)的的股指期貨基本實(shí)現(xiàn)了其平抑市場(chǎng)波動(dòng)的功能。同時(shí)在實(shí)證部分后面進(jìn)行了穩(wěn)健性檢驗(yàn),采用主成分分析法和GARCH模型方法進(jìn)行,和實(shí)證分析的結(jié)論一致。在結(jié)論部分進(jìn)行了總結(jié),并給出了相應(yīng)的建議。
[Abstract]:The research on the volatility of the underlying stock market by the listing of stock index futures has always been controversial in the relevant financial literature. On April 2015, the stock index futures of China Stock Exchange 500 began to trade. This is the first stock index futures with small-cap stocks as the target index. This paper investigates the influence of the introduction of China Stock Index 500 stock index futures on the price fluctuation of its underlying index. At the same time, to provide suggestions for the follow-up development. Firstly, this paper reviews the domestic and foreign research on the impact of stock index futures on volatility of the underlying stock market, and compares the main results. This paper analyzes the advantages and disadvantages of the existing research methods. Based on the cross-market correlation between the stock index futures market and the underlying stock market, the paper adopts Hsiaoqi 2011) panel data policy evaluation method. [1], the counterfactual method of constructing the underlying stock market, that is, using the correlation between CSE500 stock index and other indexes and macroeconomic variables. If the stock index futures are not listed after the time of listing the spot market volatility, by comparing the actual value and the predicted value. Through empirical research, we found that the stock index futures listed in China 500 stock index futures trading. In most months, the volatility of the underlying stock market is calmed. In the analysis of counterfactual effects, the results of 20 sample months of predicted and actual values show. The listing of stock index futures in 12 months reduces the volatility of the underlying spot index. It shows that the stock index futures with the first small-cap stock as the target have basically achieved the function of stabilizing the market volatility. At the same time, the robustness test has been carried out after the empirical part. The principal component analysis (PCA) and GARCH model are used in this paper, which are consistent with the conclusions of the empirical analysis. In the conclusion part, the conclusions are summarized and the corresponding suggestions are given.
【學(xué)位授予單位】：內(nèi)蒙古大學(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)：1413773