【摘要】：中金所在2010年4月16日正式推出滬深300指數(shù)期貨,它的引入是我國(guó)金融市場(chǎng)發(fā)展的重要標(biāo)志,對(duì)促進(jìn)我國(guó)資本市場(chǎng)持續(xù)健康的發(fā)展具有重要意義。 滬深300股指期貨推出后便得到快速發(fā)展,但這也引起了監(jiān)管者、投資者的高度關(guān)注。我們關(guān)注的是,股指期貨的推出這一事件對(duì)股票市場(chǎng)波動(dòng)有何種影響?股指現(xiàn)貨和期貨市場(chǎng)的聯(lián)動(dòng)關(guān)系(均值溢出和波動(dòng)溢出效應(yīng))如何?本文利用股指期貨的真實(shí)交易數(shù)據(jù),分別建立一元GARCH(GARCH(1,1)模型)、VEC模型以及多元GARCH(DCC模型和BEKK模型)為基礎(chǔ)的實(shí)證模型,對(duì)以上問(wèn)題進(jìn)行了回答。 研究發(fā)現(xiàn),股指期貨的引入在一定程度上提高了現(xiàn)貨市場(chǎng)的運(yùn)行質(zhì)量,具體來(lái)說(shuō),它的推出有以下幾個(gè)方面的作用：(1)現(xiàn)貨市場(chǎng)波動(dòng)率受股指期貨推出的影響有一定程度下降,下降的幅度在統(tǒng)計(jì)意義上顯著,但卻不具有經(jīng)濟(jì)顯著性。同時(shí),股指期貨的推出使市場(chǎng)信息的傳遞效率加快,也就是說(shuō),新信息可以很快到反應(yīng)到價(jià)格中,而舊信息對(duì)市場(chǎng)波動(dòng)的影響被削弱。(2)通過(guò)研究現(xiàn)貨的交易量效應(yīng)和期貨的持倉(cāng)量效應(yīng),我們發(fā)現(xiàn),股指期貨推出后不僅現(xiàn)貨市場(chǎng)的波動(dòng)性有所降低,波動(dòng)中所含的信息成分有所增加,同時(shí),現(xiàn)貨市場(chǎng)深度也有顯著提升,也就是說(shuō)市場(chǎng)吸收劇烈波動(dòng)而保持穩(wěn)定的能力有了顯著提高。(3)股指期貨和現(xiàn)貨的高頻價(jià)格序列存在協(xié)整關(guān)系,同時(shí),期現(xiàn)兩市間的信息傳導(dǎo)是雙向的,從長(zhǎng)期的角度來(lái)看,兩市場(chǎng)間的非均衡狀態(tài)可以得到一定的調(diào)整,這證實(shí)了股指期貨和現(xiàn)貨市場(chǎng)間存在均值溢出效應(yīng)。(4)股指期貨市場(chǎng)與股票現(xiàn)貨市場(chǎng)的收益率并不是完全正相關(guān)的,短期內(nèi)可出現(xiàn)較大幅度調(diào)整,同時(shí),股指現(xiàn)貨與股指期貨之間存在顯著的波動(dòng)溢出現(xiàn)象,且這種波動(dòng)溢出效應(yīng)是非對(duì)稱的,也具有長(zhǎng)期的持續(xù)性。股指期貨與現(xiàn)貨指數(shù)間的波動(dòng)溢出效應(yīng)證明了,兩市之間存在信息傳遞,期貨市場(chǎng)將額外的信息傳遞至股票現(xiàn)貨市場(chǎng)。
[Abstract]:CSI 300 Index Futures was officially launched by CICC on April 16, 2010. Its introduction is an important symbol of the development of China's financial market and plays an important role in promoting the sustainable and healthy development of China's capital market. Shanghai and Shenzhen 300 stock index futures after the introduction of rapid development, but this has also attracted the attention of regulators and investors. What we are concerned about is the impact of the launch of stock index futures on the volatility of the stock market. How about the linkage relationship between stock index spot and futures market (mean spillover and volatility spillover)? Based on the real trading data of stock index futures, this paper establishes the univariate GARCH (GARCH) VEC model and the multivariate GARCH (DCC model and BEKK model) as the empirical models, and answers the above questions. It is found that the introduction of stock index futures improves the operating quality of the spot market to a certain extent. Specifically, the introduction of stock index futures has the following functions: (1) the volatility of the spot market is affected by the introduction of the stock index futures to a certain extent. The decline was statistically significant, but not economically significant. At the same time, the introduction of stock index futures speeds up the transmission efficiency of market information, that is, new information can be quickly reflected to the price. However, the influence of old information on market volatility is weakened. (2) by studying the spot trading volume effect and the position effect of futures, we find that not only the volatility of spot market has been reduced after the introduction of stock index futures, The information component contained in the fluctuations has increased, while the depth of the spot market has also increased significantly. That is to say, the ability of the market to absorb violent fluctuations and maintain stability has been significantly improved. (3) there is a cointegration relationship between the high-frequency price sequences of stock index futures and spot prices. At the same time, the information transmission between the two cities is two-way, from a long-term perspective, The disequilibrium state between the two markets can be adjusted to a certain extent, which proves that there is a mean spillover effect between stock index futures and spot market. (4) the return of stock index futures market and stock spot market is not completely positive correlation. At the same time, there is a significant volatility spillover between stock index spot and stock index futures, and this volatility spillover effect is asymmetrical and has long-term persistence. The volatility spillover effect between stock index futures and spot index proves that there is information transmission between the two markets, and the futures market transfers additional information to the stock spot market.
【學(xué)位授予單位】：南京大學(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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