本文關(guān)鍵詞： 股指期貨 股票市場(chǎng) 波動(dòng)性　出處：《中央民族大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：股指期貨是一種類型的期貨,不同于商品期貨把特定商品作為標(biāo)的物,它是把股票價(jià)格指數(shù)作為標(biāo)的物,它與股票市場(chǎng)緊密的關(guān)系決定了它是一種非常重要的衍生工具。成立之初,對(duì)于二者相互作用和影響的探討就從未停止,研究者主要聚焦于針對(duì)國(guó)外發(fā)達(dá)資本市場(chǎng)的實(shí)證研究,同時(shí)市場(chǎng)的發(fā)展情況也讓投資者和研究者對(duì)兩者的關(guān)系的認(rèn)識(shí)進(jìn)行了提升,1982年美國(guó)市場(chǎng)推出了股指期貨,成立之初由于其補(bǔ)充性優(yōu)勢(shì)得到了蓬勃發(fā)展,但是1987年美國(guó)股災(zāi)讓它陷入了發(fā)展的困境,輿論紛紛指責(zé)股指期貨是市場(chǎng)暴跌的元兇,監(jiān)管機(jī)構(gòu)也對(duì)它的運(yùn)轉(zhuǎn)和管理進(jìn)行了整頓和加強(qiáng)。在此背景之下,我國(guó)深入借鑒相關(guān)經(jīng)驗(yàn),在經(jīng)過(guò)數(shù)年的研究探討之后,2010年建立股指期貨市場(chǎng)。隨后,我國(guó)學(xué)者對(duì)于股指期貨和股票市場(chǎng)的研究逐漸增多。2015年,我國(guó)股票市場(chǎng)經(jīng)歷了史無(wú)前例的大漲和大跌,也對(duì)上市不久的股指期貨市場(chǎng)進(jìn)行了限制交易,在此背景下,本文以2015年到2016年中國(guó)三大股指期貨的日成交價(jià)格數(shù)據(jù)作為研究對(duì)象,探討在此期間限制交易對(duì)股票市場(chǎng)波動(dòng)性的影響。并得出結(jié)論:第一,在9月2日中金所發(fā)布限制之后,三種股指的標(biāo)準(zhǔn)差減小,波動(dòng)性得到減弱,信息傳遞效率降低,這說(shuō)明在受限之后,對(duì)股票市場(chǎng)的影響受到了束縛和制約;在受限之前,對(duì)股票市場(chǎng)有一定影響作用,至于影響程度和時(shí)間,在我國(guó)投機(jī)者為主的市場(chǎng)環(huán)境中,預(yù)測(cè)在極端大跌時(shí)有一定推動(dòng)作用。第二,2016年初我國(guó)股票現(xiàn)貨市場(chǎng)實(shí)行熔斷機(jī)制,然后市場(chǎng)卻頻繁跌停、流動(dòng)性枯竭一再觸發(fā)熔斷值,在漲跌停板限制的基礎(chǔ)上增加熔斷機(jī)制給予了空方市場(chǎng)機(jī)會(huì),熔斷機(jī)制很快被廢除,同時(shí),監(jiān)管機(jī)構(gòu)開(kāi)展了一系列打擊內(nèi)幕交易的行動(dòng),以徐翔和中信證券高管被關(guān)押調(diào)查為代表的事件給予了市場(chǎng)以正面信心,股票市場(chǎng)逐漸趨于平穩(wěn),2017年2月16日中金所適時(shí)對(duì)三大品種進(jìn)行了松綁調(diào)整,雖然截止目前交易數(shù)據(jù)有限,文章將松綁后的2017.2.17到2017.3.10的數(shù)據(jù)進(jìn)行了補(bǔ)充檢驗(yàn),發(fā)現(xiàn)在得到一定恢復(fù)后,指數(shù)標(biāo)準(zhǔn)差變小,波動(dòng)性同樣也得到降低。2016年以來(lái),國(guó)家陸續(xù)出臺(tái)多項(xiàng)措施,主動(dòng)對(duì)股票市場(chǎng)進(jìn)行降杠桿,打擊投機(jī)和內(nèi)幕交易,對(duì)"害人精、妖精"的保險(xiǎn)資金進(jìn)行了嚴(yán)厲處罰,使得市場(chǎng)走上較為良性的發(fā)展軌道,期貨的避險(xiǎn)功能也得以修復(fù),因此出現(xiàn)了股票市場(chǎng)波動(dòng)性降低的情況。文章最后,提出了對(duì)我國(guó)股指期貨和股票現(xiàn)貨市場(chǎng)成長(zhǎng)的啟示。主要是要加大改善市場(chǎng)風(fēng)險(xiǎn)應(yīng)對(duì)舉措和建立完善全面的制度設(shè)計(jì),連續(xù)有序發(fā)展資本市場(chǎng)。另外,由于篇幅和研究所限,本文在數(shù)據(jù)選取、分析工具和完備性上仍有待提升,在以后的研究中進(jìn)行進(jìn)一步的豐富和完善。
[Abstract]:The stock index futures is a kind of futures, which is different from the commodity futures that take the specific commodity as the subject matter, it is to take the stock price index as the subject matter, The close relationship between it and the stock market determines that it is a very important derivative instrument. At the beginning of its establishment, the discussion on the interaction and influence of the two has never stopped. Researchers mainly focus on empirical research on developed capital markets abroad. At the same time, the development of the market also promotes the understanding of the relationship between investors and researchers. In 1982, the American market launched stock index futures, and at the beginning of its establishment, due to its complementary advantages, the stock index futures developed vigorously. However, in 1987, the US stock market crash put it in a difficult position of development. Public opinion accused stock index futures of being the culprit of the market collapse, and regulators also rectified and strengthened its operation and management. Against this background, The stock index futures market was established in 2010 after several years of research and discussion. Subsequently, the research on stock index futures and stock market gradually increased in our country. In 2015, the research on stock index futures and stock market increased gradually. China's stock market has experienced an unprecedented rise and fall, and has also restricted trading in the stock index futures market, which is not long listed. Based on the daily transaction price data of China's three major stock index futures from 2015 to 2016, this paper explores the impact of restricted trading on the volatility of the stock market during this period. The conclusions are as follows: first, after the restrictions issued by CICC on September 2nd, The standard deviation of the three stock indexes is reduced, the volatility is weakened, and the efficiency of information transmission is reduced, which shows that after the restriction, the influence on the stock market is bound and restricted, and before the restriction, it has a certain effect on the stock market. As to the degree and time of influence, in the market environment dominated by speculators, the forecast will play a certain role in promoting extreme falls. Second, in early 2016, the spot stock market of our country implemented the melting mechanism, and then the market frequently fell by a limit. Liquidity exhaustion has repeatedly triggered fuse breakers, giving empty markets an opportunity to add to the price limit, which was quickly scrapped, and a series of regulatory actions to crack down on insider trading. The incident, represented by the detention and investigation of Xu Xiang and Citic Securities executives, gave the market positive confidence, and the stock market gradually levelled off. In February 16th 2017, CICC adjusted the three major varieties at the right time. Although trading data are limited so far, the article makes a supplementary test of the data from 17 July to 10 March, 2017.2.17, and finds that after recovery, the standard deviation of the index becomes smaller and the volatility is also reduced. Since 2016, The state has successively introduced a number of measures to take the initiative to reduce the leverage of the stock market, crack down on speculation and insider trading, and severely penalize the insurance funds of "pernicious and goblins", thus putting the market on a more benign track of development. The hedging function of futures has also been repaired, so the volatility of the stock market has been reduced. Finally, This paper puts forward the enlightenment to the growth of stock index futures and stock spot market in China. It is mainly to strengthen the measures to improve the market risk response, to establish a perfect and comprehensive system design, and to develop the capital market in an orderly manner. In addition, due to space and research limitations, In this paper, data selection, analysis tools and completeness still need to be improved, and further enrichment and improvement in the future research.
【學(xué)位授予單位】：中央民族大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F724.5

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本文編號(hào)：1525120