本文選題：滬深300股指期貨上市 + 波動(dòng)性��； 參考：《華中科技大學(xué)》2013年碩士論文

【摘要】：2010年4月16日，滬深300股票期貨正式在中國(guó)金融期貨交易所掛牌交易，這是我國(guó)金融市場(chǎng)發(fā)展的一個(gè)重要里程。 在回顧國(guó)內(nèi)學(xué)者的文章以后，我們發(fā)現(xiàn)我國(guó)對(duì)波動(dòng)性的研究層次多集中在定性的層面上，對(duì)動(dòng)量效應(yīng)的研究國(guó)內(nèi)較多的研究集中在個(gè)股層面，對(duì)形成期和持有期的選擇基本采用直接照搬JegadeeshTitlnan的研究方法，并且由于時(shí)間跨度和研究標(biāo)的選擇上的不同，對(duì)中國(guó)股市中的動(dòng)量效應(yīng)研究沒(méi)有統(tǒng)一的結(jié)論。 鑒于此，本文研究十個(gè)行業(yè)以及從每個(gè)行業(yè)中選出的一只股票，主要運(yùn)用GARCH模型、EGARCH模型，隨機(jī)占優(yōu)的檢驗(yàn)以及行業(yè)動(dòng)量效應(yīng)，分別研究了滬深300股指期貨上市前后的影響。 通過(guò)分析，，得到以下結(jié)論：1.通過(guò)對(duì)個(gè)股及行業(yè)的波動(dòng)及非對(duì)性分析得出，滬深300股指期貨的上市對(duì)總行業(yè)沒(méi)有多大影響，電信，公用，可選行業(yè)具有一定的影響，但它們?cè)谛袠I(yè)中占得權(quán)重比較少，所以對(duì)總的行業(yè)沒(méi)有什么影響。2.通過(guò)占優(yōu)檢驗(yàn)，得出滬深300股指期貨的上市對(duì)A股、H股以及行業(yè)并沒(méi)有占優(yōu)關(guān)系。3.對(duì)整個(gè)區(qū)間短期行業(yè)存在一定的動(dòng)量效應(yīng)，長(zhǎng)期行業(yè)不存在動(dòng)量效應(yīng)。滬深300股指期貨上市前，短期行業(yè)存在一定的動(dòng)量效應(yīng)，長(zhǎng)期行業(yè)不存在動(dòng)量效應(yīng)。滬深300股指期貨上市后，短期行業(yè)動(dòng)量效應(yīng)加強(qiáng)，同時(shí)長(zhǎng)期存在動(dòng)量效應(yīng)。說(shuō)明滬深300股指期貨的上市使行業(yè)動(dòng)量效應(yīng)加強(qiáng)。4.上市前后相對(duì)比，整個(gè)區(qū)間的短期輸者和贏者組合出現(xiàn)部分反轉(zhuǎn)現(xiàn)象，中長(zhǎng)期都具有較大的收益慣性。多數(shù)統(tǒng)計(jì)量顯著性不高。5.對(duì)系數(shù)的不同值，系統(tǒng)性風(fēng)險(xiǎn)與股票的平均收益并不是嚴(yán)格的CAPM模型預(yù)期的線性關(guān)系，因而它并不是決定股票收益的唯一因素，中國(guó)股票市場(chǎng)是不夠成熟的好并且?guī)в型稒C(jī)特征高風(fēng)險(xiǎn)市場(chǎng)。
[Abstract]:On April 16, 2010, Shanghai and Shenzhen 300 stock futures were officially traded on the China Financial Futures Exchange, which is an important mileage in the development of China's financial market. After reviewing the articles of domestic scholars, we find that the research level of volatility in our country is mostly qualitative, and the momentum effect is mainly focused on individual stock in our country. The research method of direct copying JegadeeshTitlnan is adopted to choose the forming period and the holding period, and there is no uniform conclusion on the momentum effect in Chinese stock market because of the different time span and the choice of the research target. In view of this, this paper studies ten industries and one stock selected from each industry, mainly using GARCH model, random dominant test and industry momentum effect to study the influence of Shanghai and Shenzhen 300 stock index futures before and after listing. Through analysis, we get the following conclusion: 1. By analyzing the fluctuation of individual stock and industry and non-contrast, it is concluded that the listing of Shanghai and Shenzhen 300 stock index futures has no great influence on the whole industry. The telecom, public and optional industries have some influence, but they have less weight in the industry. So it has no impact on the industry as a whole. Through dominance test, it is concluded that there is no dominant relationship between Shanghai and Shenzhen 300 stock index futures and A shares, H shares and industries. There is a momentum effect for the short-term industry and no momentum effect for the long-term industry. Before the listing of Shanghai and Shenzhen 300 stock index futures, there is momentum effect in short-term industry and no momentum effect in long-term industry. After the listing of Shanghai and Shenzhen 300 stock index futures, the short-term industry momentum effect is strengthened, and there is momentum effect for a long time. It shows that the listing of Shanghai and Shenzhen 300 stock index futures strengthens the momentum effect of the industry. Compared with before and after listing, the combination of short term losers and winners in the whole period has a partial reversal phenomenon, and the medium and long term returns have greater inertia. Most statistics are not significant. For different coefficients, systemic risk and average return of stock are not the linear relation expected by strict CAPM model, so it is not the only factor that determines stock return. China's stock market is not mature and has speculative characteristics of high risk markets.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51;F224

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