發(fā)布時間：2018-11-21 15:51

【摘要】：股指期貨具有風(fēng)險管理和價格發(fā)現(xiàn)的功能,它作為風(fēng)險管理工具完善了股票市場體系,同時也可以預(yù)測股票市場的走勢。我國的股指期貨正式推出已有3年,其運行對股票市場究竟產(chǎn)生了怎樣的影響,本文以此為出發(fā)點進行了分析研究。 本文對滬深300股指期貨上市后對上海股票市場的影響進行了實證分析,以上證指數(shù)作為股票市場的代表,利用SAS數(shù)據(jù)分析軟件分別從長短期關(guān)系、因果關(guān)系、互動關(guān)系三個方面分析。通過協(xié)整檢驗得到滬深300股指期貨與上證指數(shù)間存在著長期均衡關(guān)系。由Granger因果檢驗得出滬深300股指期貨是上證指數(shù)的Granger原因,而上證指數(shù)不是滬深300股指期貨的Granger原因。最后建立VAR向量自回歸模型,通過脈沖響應(yīng)函數(shù)和方差分解分析得到滬深300股指期貨對上證指數(shù)波動的貢獻率很大。最后得出結(jié)論,認為滬深300股指期貨的推出,降低了上海股票市場的波動性。
[Abstract]:Stock index futures have the function of risk management and price discovery. As a tool of risk management, stock index futures can perfect the stock market system and predict the trend of stock market. It has been three years since the stock index futures were officially launched in our country. What kind of influence has its operation had on the stock market? this paper makes an analysis and research on it. This paper makes an empirical analysis on the impact of Shanghai and Shenzhen 300 stock index futures on Shanghai stock market after listing. Taking the Shanghai stock market as the representative of the stock market, using SAS data analysis software respectively from the long-term and short-term relationship, causality. Three aspects of interaction analysis. By cointegration test, it is found that there is a long-term equilibrium relationship between shanghai and Shenzhen 300 stock index futures and Shanghai stock index. The Granger causality test shows that Shanghai and Shenzhen 300 stock index futures are the Granger cause of Shanghai stock index, but Shanghai stock index is not the Granger reason of Shanghai and Shenzhen 300 stock index futures. Finally, the VAR vector autoregressive model is established. By impulse response function and variance decomposition analysis, the contribution of Shanghai and Shenzhen 300 stock index futures to Shanghai stock index volatility is very large. Finally, the conclusion is drawn that the introduction of Shanghai and Shenzhen 300 stock index futures reduces the volatility of Shanghai stock market.
【學(xué)位授予單位】：東北大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F724.5;F832.51;F224

【參考文獻】

相關(guān)期刊論文 前10條

1 嚴敏;巴曙松;吳博;;我國股指期貨市場的價格發(fā)現(xiàn)與波動溢出效應(yīng)[J];系統(tǒng)工程;2009年10期

2 韓民;王培;;模擬股指期貨價格與現(xiàn)貨價格關(guān)系研究[J];價值工程;2010年23期

3 楊帆;朱邦毅;;論股指期貨引入對股票現(xiàn)貨市場的聯(lián)動影響[J];企業(yè)經(jīng)濟;2007年02期

4 蔡再行;繆俊華;;我國股指期貨對股票現(xiàn)貨影響的實證分析[J];湖南稅務(wù)高等�？茖W(xué)校學(xué)報;2011年06期

5 熊熊;王芳;;我國滬深300股指期貨仿真交易的價格發(fā)現(xiàn)分析[J];天津大學(xué)學(xué)報(社會科學(xué)版);2008年04期

6 蔡敬梅;強林飛;周海鵬;;中國股指期貨與股票市場波動性關(guān)系的實證分析[J];統(tǒng)計與信息論壇;2013年01期

7 劉考場;李樹丞;舒楊;;股指期貨對股票市場效率的影響實證分析[J];現(xiàn)代財經(jīng)-天津財經(jīng)大學(xué)學(xué)報;2008年07期

8 黃四化;;股指期貨引入對股票市場波動的影響分析[J];現(xiàn)代商貿(mào)工業(yè);2011年19期

9 白新艷;;滬深300股指期貨對股指現(xiàn)貨及上證指數(shù)影響的分析[J];時代金融;2012年18期

10 徐雅靜;汪遠征;劉朋;;股指期貨與股指現(xiàn)貨的協(xié)整與因果關(guān)系研究[J];鄭州輕工業(yè)學(xué)院學(xué)報(自然科學(xué)版);2011年04期

，

本文編號：2347427