本文選題：滬深300股指期貨　切入點(diǎn)：風(fēng)險傳染效應(yīng)　出處：《山西財經(jīng)大學(xué)》2017年碩士論文

【摘要】：隨著經(jīng)濟(jì)全球化進(jìn)程的不斷推進(jìn),世界各國或地區(qū)金融市場的開放程度也在不斷深化,有效地促進(jìn)了金融資本在全球自由流動。同時,市場信息的傳遞效率隨著信息技術(shù)的快速發(fā)展變得更加的高效,可以通過多渠道、多方位的形式,由一個市場傳遞到其他市場中,大大提高現(xiàn)代金融市場的效率。世界經(jīng)濟(jì)聯(lián)系的不斷加強(qiáng)和互相依存關(guān)系的加強(qiáng),也給金融市場間風(fēng)險傳染帶來了極大地隱患。在此背景下,如何識別金融市場風(fēng)險的存在,有效地預(yù)防風(fēng)險在金融市場間的傳染,并通過制定相關(guān)政策及法律法規(guī)來保證資本市場平穩(wěn)的向前發(fā)展,已經(jīng)成為了下一步需要重點(diǎn)關(guān)注的主題�；谏鲜霰尘�,本文選取上海和深圳300指數(shù)期貨(IF)作為研究對象,通過選取最新、最有代表性的數(shù)據(jù),運(yùn)用更加有效地實證模型,分別分析研究滬深300股指期貨與滬深300股票指數(shù)現(xiàn)貨(HS)以及其他現(xiàn)貨市場股票指數(shù)之間的風(fēng)險傳染效應(yīng),在一定程度上豐富我國在股指期現(xiàn)貨風(fēng)險傳染方面的研究。首先從理論角度分析我國股指期貨市場與現(xiàn)貨市場之間的關(guān)系,并詳細(xì)闡述了風(fēng)險傳染的相關(guān)概念及風(fēng)險傳染機(jī)制。其次通過構(gòu)建GARCH模型和運(yùn)用格蘭杰因果關(guān)系檢驗,實證結(jié)果表明滬深300股指期貨的引入在一定程度上抑制了現(xiàn)貨市場的波動,減弱了市場間的風(fēng)險傳染效應(yīng)。最后引入國內(nèi)外其他金融市場上股票指數(shù)數(shù)據(jù),運(yùn)用因子分析將其歸納為國內(nèi)市場因子(IM)與國外市場因子(FM),然后分別用滬深300股指期貨收益率序列與國內(nèi)市場因子、國外市場因子構(gòu)建二元BEKK-GARCH模型,從實證角度分析研討滬深300股指期貨與國內(nèi)外現(xiàn)貨市場之間的風(fēng)險傳染效應(yīng)。結(jié)果表明,滬深300股指期貨與現(xiàn)貨市場間的風(fēng)險傳染效應(yīng)是雙向的,而相比較于滬深300股指期貨對其他現(xiàn)貨市場波動性的影響而言,其更容易受到來自現(xiàn)貨市場波動性的影響。因此,本文從實證結(jié)果出發(fā),就如何如何改善中國股指期貨市場發(fā)展,提高金融市場效率,建立協(xié)調(diào)統(tǒng)一監(jiān)管體系等方面提出政策建議。
[Abstract]:With the development of economic globalization, the opening degree of financial markets in various countries and regions of the world is deepening, which effectively promotes the free flow of financial capital in the world.At the same time, with the rapid development of information technology, the transmission efficiency of market information becomes more efficient. It can be transferred from one market to other markets through multi-channel and multi-directional form, which greatly improves the efficiency of modern financial market.The continuous strengthening of the world economic ties and the strengthening of interdependence have also brought great hidden dangers to the risk contagion among financial markets.In this context, how to identify the existence of financial market risks, effectively prevent the contagion between financial markets, and make relevant policies and laws to ensure the smooth development of capital markets.Has become the next step to focus on the theme.Based on the above background, this paper selects Shanghai and Shenzhen 300 Index Futures as the research object, through the selection of the latest, most representative data, using more effective empirical model,This paper analyzes the risk contagion effect between Shanghai and Shenzhen 300 stock index futures, Shanghai and Shenzhen 300 stock index spot index and other spot market stock indexes, to a certain extent, it enriches the research on spot risk contagion in stock index period in China.Firstly, the relationship between stock index futures market and spot market is analyzed theoretically, and the concept of risk contagion and the mechanism of risk contagion are expounded in detail.Secondly, by constructing GARCH model and using Granger causality test, the empirical results show that the introduction of Shanghai and Shenzhen 300 stock index futures to some extent has restrained the volatility of the spot market and weakened the risk contagion effect between the markets.Finally, we introduce stock index data from other financial markets at home and abroad, and use factor analysis to summarize them into domestic market factors (IMM) and foreign market factors (FMN), and then use CSI 300 stock index futures yield series and domestic market factors respectively.This paper constructs a dual BEKK-GARCH model of foreign market factors and analyzes the risk contagion effect between Shanghai and Shenzhen 300 stock index futures and spot market at home and abroad from an empirical point of view.The results show that the risk contagion effect between Shanghai and Shenzhen 300 stock index futures and spot market is two-way, but compared with the impact of Shanghai and Shenzhen 300 stock index futures on other spot market volatility, it is more vulnerable to the impact of spot market volatility.Therefore, based on the empirical results, this paper puts forward some policy suggestions on how to improve the development of China's stock index futures market, improve the efficiency of financial markets, and establish a coordinated and unified regulatory system.
【學(xué)位授予單位】：山西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F724.5;F832.51

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本文編號：1718994