【摘要】：價(jià)格波動是股市的基本特征,對于價(jià)格波動的研究一直都是資本市場研究的重點(diǎn)和熱點(diǎn)。股指期貨上市交易之后,我國股市的價(jià)格運(yùn)行環(huán)境發(fā)生了巨大的改變,股價(jià)波動的性狀特征必然也會受到影響。本文的研究也正是基于這樣的背景。 在研究及整理大量文獻(xiàn)的基礎(chǔ)之上,本文首先對國內(nèi)外的研究現(xiàn)狀進(jìn)行了梳理,總結(jié)出適合本文的研究方法。然后對實(shí)證所需的相關(guān)理論和研究方法進(jìn)行簡要闡述,利用滬深300指數(shù)的日收盤價(jià)格作實(shí)證研究：首先對整體樣本數(shù)據(jù)進(jìn)行分析與研究,以此檢驗(yàn)?zāi)Ｐ偷恼_性,其次根據(jù)本文研究的需要,添加虛擬變量,然后在此基礎(chǔ)上,進(jìn)一步對樣本數(shù)據(jù)進(jìn)行實(shí)證分析,結(jié)果證明本文命題具有研究價(jià)值與意義,然后對樣本數(shù)據(jù)進(jìn)行小波分解,這也是全文的亮點(diǎn)所在,創(chuàng)新所在,隨后對經(jīng)過小波分解所生成的波動數(shù)據(jù)進(jìn)行實(shí)證研究,最后發(fā)現(xiàn)它的存在使得本文的結(jié)論更具有說服力,可信度,科學(xué)性。 最后,根據(jù)實(shí)證研究得出結(jié)論：股指期貨對我國的股市波動具有一定的積極影響,只是這種影響效果較小。針對這種情況,本文提出了加強(qiáng)對市場交易者的教育、完善股指期貨合約的設(shè)計(jì)、優(yōu)化投資者結(jié)構(gòu)、協(xié)調(diào)期現(xiàn)貨市場的交易制度、適時(shí)推出股指期權(quán)等其他配套金融創(chuàng)新等政策建議,以便更好地促進(jìn)我國資本市場的發(fā)展。
[Abstract]:Price volatility is the basic characteristic of stock market, and the research on price volatility has always been the focus and hotspot of capital market research. After the stock index futures are listed and traded, the operating environment of stock price in our country has changed greatly, and the characteristics of stock price fluctuation will inevitably be affected. The research of this paper is based on this background. On the basis of studying and sorting out a large number of documents, this paper firstly combs the current research situation at home and abroad, and summarizes the research methods suitable for this paper. Then the relevant theories and research methods are briefly described, and the daily closing price of the CSI 300 index is used as an empirical study. Firstly, the whole sample data are analyzed and studied to verify the correctness of the model. Secondly, according to the need of this paper, add the virtual variable, and then further analyze the sample data. The result proves that the proposition of this paper has the research value and significance, and then decomposes the sample data by wavelet transform. This is also the highlight of the full text, innovation, and then through the wavelet decomposition generated fluctuation data empirical research, finally found that its existence makes the conclusion of this paper more convincing, reliable, scientific. Finally, according to the empirical study, it is concluded that stock index futures have a certain positive impact on the volatility of stock market in China, but this effect is relatively small. In view of this situation, this paper proposes to strengthen the education of market traders, to perfect the design of stock index futures contracts, to optimize the investor structure, and to coordinate the trading system in the spot market. In order to promote the development of China's capital market, policy suggestions such as stock index option and other supporting financial innovation should be put forward in good time.
【學(xué)位授予單位】：安徽財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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本文編號：2179566