本文選題：股指期貨 + 收益率溢出效應(yīng)　； 參考：《西南交通大學(xué)》2013年碩士論文

【摘要】：股指期貨于2010年4月16日正式登陸我國A股市場,本文研究的目的在于通過對我國和國際股指期貨市場之間動態(tài)關(guān)系的研究,揭示國內(nèi)股指期貨市場與其他國家或地區(qū)股指期貨市場之間的聯(lián)動關(guān)系。而研究中國、美國、日本和中國香港四個股指期貨市場之間的波動和聯(lián)動關(guān)系,具有重要的理論意義和現(xiàn)實意義。 本文是借助VAR-Asymmetric (BV) GARCH模型對國內(nèi)、其他國家和地區(qū)股指期貨市場之間的動態(tài)關(guān)系進行實證研究。其股指期貨市場分別是：滬深300股指期貨市場,標(biāo)普500股指期貨市場,日經(jīng)225股指期貨市場和香港恒生股指期貨市場。主要內(nèi)容是通過VAR-Asymmetric (BV) GARCH模型研究其兩兩市場間的收益率和波動率變化的關(guān)系。 主要研究結(jié)果表明：首先,就各個股指期貨市場的收益率溢出效應(yīng)而言,美國市場對恒生、日本和中國大陸市場有單向的溢出效應(yīng),日本、恒生市場與中國大陸市場之間均存在雙向的溢出效應(yīng),恒生市場和日本市場不存在溢出效應(yīng)；其次,就各股指期貨市場間的波動率溢出效應(yīng)而言,美國、日本對中國大陸有單向的溢出效應(yīng),中國大陸與香港地區(qū),香港地區(qū)與日本之間有雙向的溢出效應(yīng),美國和日本市場不存在波動率的溢出效應(yīng)；最后,就各個股指期貨市場波動非對稱效應(yīng)檢驗結(jié)果來看,四個市場均存在自身波動的非對稱效應(yīng),且美國、日本和香港地區(qū)對中國大陸存在單向的波動非對稱效應(yīng),美國、日本對香港地區(qū)也存在單向的波動非對稱效應(yīng),美國市場和日本市場之間存在雙向的波動非對稱效應(yīng)等。由實證結(jié)果可以看出,中國大陸市場與亞洲市場聯(lián)系較緊密,股市波動風(fēng)險影響是相互的,中國大陸股市波動不對美國市場造成的影響。
[Abstract]:Stock index futures officially landed in China's A-share market on April 16, 2010. The purpose of this paper is to study the dynamic relationship between China and international stock index futures markets. It reveals the linkage relationship between the domestic stock index futures market and other countries or regions stock index futures markets. It is of great theoretical and practical significance to study the relationship between volatility and linkage among the four stock index futures markets in China, the United States, Japan and Hong Kong. The dynamic relationship between stock index futures markets in other countries and regions is studied empirically. Its stock index futures markets are: Shanghai and Shenzhen 300 stock index futures market, S & P 500 stock index futures market, Nikkei 225 stock index futures market and Hong Kong Hang Seng stock index futures market. The main content of this paper is to study the relationship between the return rate and volatility change between the two markets through VAR-Asymmetric BVARCH model. The main results show that: first of all, as far as the yield spillover effect of each stock index futures market is concerned, the United States market has a relationship with Hang Seng. There is a one-way spillover effect between Japan and China mainland market. There is a two-way spillover effect between Japan, Hang Seng market and Chinese mainland market, while there is no spillover effect in Hang Seng market and Japanese market. As far as the volatility spillover effects among the stock index futures markets are concerned, the United States and Japan have one-way spillover effects on mainland China, and there are two-way spillover effects between China and Hong Kong, Hong Kong and Japan. There is no volatility spillover effect in the American and Japanese markets. Finally, according to the test results of the asymmetric volatility effect in each stock index futures market, the four markets have their own asymmetric volatility effects, and the United States, Japan and Hong Kong have one-way volatility asymmetry effect on Chinese mainland, the United States and Japan also have one-way volatility asymmetry effect on Hong Kong, and there is two-way volatility asymmetry effect between American market and Japanese market. It can be seen from the empirical results that the Chinese mainland market is closely related to the Asian market, the risk of stock market volatility is mutual, and the Chinese mainland stock market volatility does not affect the U.S. market.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F831.51;F224

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本文編號：2001623