本文關(guān)鍵詞： 滬深300股指期貨 ECM模型 EGARCH模型 價(jià)格引領(lǐng) 波動(dòng)性　出處：《暨南大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：股指期貨是期貨一個(gè)種類，是非常重要的金融衍生品，起著穩(wěn)定股票市場(chǎng)、風(fēng)險(xiǎn)規(guī)避、價(jià)格發(fā)現(xiàn)的作用。1993年中國大陸第一次推出股指期貨，但未經(jīng)幾個(gè)月就因種種原因匆匆收攤。后來，隨著現(xiàn)貨市場(chǎng)的成熟，中國金融期貨交易所在經(jīng)過四年的仿真交易演練之后，在2010年4月16日正式推出了滬深300股指期貨。滬深300股指期貨的正式引入對(duì)股票市場(chǎng)的波動(dòng)性和價(jià)格走勢(shì)多多少少有影響是經(jīng)濟(jì)學(xué)者普遍認(rèn)同的，然而，我們有必要研究出生在我國這個(gè)不成熟市場(chǎng)經(jīng)濟(jì)環(huán)境還不到三周歲的滬深300股指期貨對(duì)股票現(xiàn)貨市場(chǎng)的影響，為監(jiān)管者提供參考。本文在前賢研究方法的基礎(chǔ)上與我國現(xiàn)狀結(jié)合，用不同的樣本分別對(duì)滬深300股指期貨對(duì)滬深300指數(shù)在價(jià)格與波動(dòng)性兩方面的影響進(jìn)行研究。 價(jià)格關(guān)系方面，選取股指期貨推出后半年里期貨與基礎(chǔ)現(xiàn)貨的兩部分樣本，采用誤差修正模型（ECM）進(jìn)行建模，分析得到現(xiàn)貨和期貨價(jià)格相互引導(dǎo)但現(xiàn)貨起決定性作用等等結(jié)論。 波動(dòng)性方面，，選取三年滬深300指數(shù)收盤價(jià)為樣本，將研究期間劃分為正式引入期貨前、后，對(duì)以常數(shù)為均值方程的EGARCH(1,1)模型通過引入虛擬變量D修正后進(jìn)行建模。最后我們分析知道股指期貨降低了股票的波動(dòng)性，起到穩(wěn)定股票市場(chǎng)的作用種種結(jié)論。 最后，在實(shí)證結(jié)果的基礎(chǔ)上，我們給科學(xué)發(fā)展股指期貨、完善成熟的現(xiàn)貨市場(chǎng)、投資風(fēng)險(xiǎn)控制等等政策性建議。
[Abstract]:Stock index futures is a kind of futures, is a very important financial derivatives, plays a role in stabilizing the stock market, risk aversion, price discovery. 1993, mainland China introduced stock index futures for the first time. But for a variety of reasons, it was not months away. Later, as the spot market matured, China's financial futures exchange went through four years of simulation trading exercises. In April 16th 2010, the Shanghai and Shenzhen 300 stock index futures were officially introduced. The introduction of Shanghai and Shenzhen 300 stock index futures has more or less influence on the volatility and price trend of the stock market, which is generally accepted by economists. Of. However, it is necessary to study the impact of Shanghai and Shenzhen 300 stock index futures on the spot stock market, which was born in this immature market economy environment of our country. This paper combines the former research method with the present situation of our country. The influence of Shanghai and Shenzhen 300 stock index futures on price and volatility is studied with different samples. In terms of price relationship, two samples of stock index futures and basic spot are selected for half a year after the introduction of stock index futures, and the error correction model ECM is used to model the model. The conclusion is that spot and futures price guide each other, but spot plays a decisive role. In terms of volatility, the closing price of CSI 300 index for three years is selected as the sample, and the research period is divided into two parts: before and after the introduction of futures, the EGARCH(1 with constant as the mean equation. Finally, we find that stock index futures reduce the volatility of stocks and play a role in stabilizing the stock market. Finally, on the basis of empirical results, we give scientific development of stock index futures, improve the mature spot market, investment risk control and other policy recommendations.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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