本文選題：股指期貨　切入點(diǎn)：價(jià)格發(fā)現(xiàn)　出處：《貴州財(cái)經(jīng)大學(xué)》2017年碩士論文

【摘要】：股指期貨誕生最初是為了滿(mǎn)足市場(chǎng)上交易者在面對(duì)投資風(fēng)險(xiǎn)時(shí)缺少避險(xiǎn)工具的需求。30多年以來(lái),股指期貨的發(fā)展突飛猛進(jìn),滬深300股指期貨的正式推出,無(wú)論從投資者避險(xiǎn)需要還是從我國(guó)金融市場(chǎng)的長(zhǎng)久發(fā)展來(lái)看,都具有歷史性的意義�；仡�2015年,對(duì)于A(yíng)股市場(chǎng)及股指期貨來(lái)說(shuō)是一個(gè)牛熊轉(zhuǎn)換相當(dāng)快的一年,讓絕大部分投資者驚心動(dòng)魄的一年管理層為了穩(wěn)定市場(chǎng),盡可能的減少?gòu)V大投資者蒙受的損失,在股災(zāi)出現(xiàn)后推出了很多針對(duì)性的政策措施,例如加大對(duì)涉嫌操縱市場(chǎng)的不法分子的打擊,出臺(tái)對(duì)股指期貨限倉(cāng)的規(guī)定等等,在各種措施的穩(wěn)定下,目前市場(chǎng)已基本趨于正常。本研究采用理論分析與實(shí)證分析相結(jié)合的方法,查閱國(guó)內(nèi)外對(duì)期貨市場(chǎng)功能研究的相關(guān)文獻(xiàn),在綜合分析已有研究成果的基礎(chǔ)上,對(duì)我國(guó)股指期貨上市六年以來(lái)的實(shí)際表現(xiàn)進(jìn)行了理論分析,通過(guò)平穩(wěn)性檢驗(yàn),單位根檢驗(yàn)及格蘭杰因果檢驗(yàn),廣義自回歸條件異方差模型的衍生模型(EGARCH模型)對(duì)滬深300股指期貨波動(dòng)溢出效應(yīng)進(jìn)行了實(shí)證分析。本文在理論分析和實(shí)證檢驗(yàn)的基礎(chǔ)上,針對(duì)我國(guó)股指期貨的運(yùn)行現(xiàn)狀以及存在的不足,對(duì)實(shí)證研究的結(jié)論加以符合經(jīng)濟(jì)意義和現(xiàn)實(shí)意義的解釋,最后提出相應(yīng)的合理建議及展望。
[Abstract]:The birth of stock index futures was originally to meet the demand of traders in the market for lack of hedging tools in the face of investment risks. Since more than 30 years ago, the development of stock index futures has been advancing by leaps and bounds, and the Shanghai and Shenzhen 300 stock index futures have been officially launched.It is of historic significance not only from the needs of investors to avoid risk, but also from the long-term development of our financial market.Looking back at 2015, for the A-share market and stock index futures, it was a very fast year for the A-share market and stock index futures. In order to stabilize the market, the management of the vast majority of investors had to reduce the losses suffered by the vast number of investors as much as possible, in order to stabilize the market.After the stock market crash, many targeted policies and measures were put forward, such as increasing the crackdown on the illegal elements suspected of manipulating the market, introducing the regulations on limiting stock index futures, and so on. Under the stability of various measures, the current market has basically tended to be normal.This research adopts the method of combining theoretical analysis and empirical analysis to consult the relevant literature on the function of futures market at home and abroad, on the basis of comprehensive analysis of the existing research results.This paper makes a theoretical analysis of the actual performance of stock index futures in our country since they have been listed for six years, through the stability test, unit root test and Granger causality test.The derivative model of generalized autoregressive conditional heteroscedasticity model (EGARCH) is used to analyze the volatility spillover effect of Shanghai and Shenzhen 300 stock index futures.On the basis of theoretical analysis and empirical test, aiming at the current situation of stock index futures in China and its shortcomings, this paper gives an explanation of the conclusions of the empirical research in line with the economic and practical significance.Finally, the corresponding reasonable suggestions and prospects are put forward.
【學(xué)位授予單位】：貴州財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F224;F724.5

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