【作者】 何妍；

【导师】 王性玉；

【作者基本信息】 河南大学 ， 金融学， 2009， 硕士

【摘要】 “股指期货是否是导致股票市场暴跌的罪魁祸首?”为了解决这一问题,特别是在本轮金融危机的影响下消除我国股指期货上市的障碍,本文在介绍股指期货的概念、功能和风险的基础上,回顾了全球几个有代表性的市场和我国的股指期货发展的历程,并总结了国内外关于股指期货对现货市场的影响的研究成果。本文认为目前我国已基本具备推出股指期货的条件,应科学地积极稳妥地推出股指期货交易。本文采用2007年4月21日至2008年12月19日沪深300股票价格指数日数据,对我国股指期货推出前后现货市场波动性的影响进行实证研究。在股指期货和现货市场波动性的关系上,有两个问题要解决。一是两者波动率高低的比较,为了解决这个问题,本文首先对于沪深300股指期货和现货数据进行了统计特征的计算和比较,结果显示沪深300股指期货的波动率大于现货指数;二是股票指数期货的引入对现货市场的波动性的影响。本文为了对引入期货交易前后现货市场的波动性进行比较,把研究区间分为引入期货前、后两个子区间进行估计,从而判断期货对现货市场的扰动。实证分析部分在非对称GARCH模型的基础上设计了一个虚拟变量D,通过D的赋值界定了样本数据的时间特点,具有一定的学术价值。检验得出了股指期货推出并未明显的改变现货市场的短期波动;通过EGARCH模型分别对我国股指期货推出前后现货市场波动情况进行实证研究,得出了股指期货的推出使得信息传递到现货市场的速度加快,市场的有效性增加,并提升了市场的价格发现功能。通过对实证结果的分析,结合我国证券市场的实际情况,呼吁投资者重视宏观面、供求面因素的变化。因为股指期货操作是人的行为,所以投资者应该不断提高自身的个性修养。同时对股指期货的风险管理问题也提出了相关建议。目前关于股指期货的推出对现货市场波动性影响的研究成果大多集中于成熟市场,而对新兴市场的研究还较少。鉴于国内股指期货还没推出,没有相关个案用于参考本文的研究只能借助于仿真交易数据和国外经验,“纸上得来终觉浅”,我国股指期货市场和股票市场波动性关系的问题还要等到股指期货正式推出后进一步研究和完善。更多还原

【Abstract】 "Does Stock Index Future lead the stock market crash?" To solve this question in the influence of this finance crisis,this thesis retrospects the development course of Stock Index Futures and summarizes the volatility affect of Stock Index Futures Market and Stock Market,after introducing the conception and the function and possible risk of Stock Index Futures. Now,we have prepared for the implement of stock index future.This thesis examines the effects on the volatility of the cash market before and after the introduction of Stock Index Futures in China.Time area of the data is from April 21,2007 to December 19,2008.In the volatility of stock index futures market and stock cash market,there are two questions to resolve.One question is whose volatility is higher;the other question is what influence the stock cash market,if we introduce the stock index future trade?By adding dummy variable D to asymmetric GARCH model,we get the conclusion that the introduction of Stock Index Futures don’ t change the short-term fluctuations in the cash market obviously.Using EGARCH model to examine the volatility of the cash market.Before and after the introduction of Stock Index Futures in China respectively,we get that the introduction of Stock Index Futures send a message to the cash market faster and improves the stock market efficiency.The research findings of impacts on the introduction of Stock Index Futures on the volatility of the cash market are mostly concentrated on the mature markets,while paying little attention to emerging markets.Because of no Stock Index Futures trade at present,this thesis works on the research by using the mock trading datas.I want to dive useful advices to Chinese stock market.The research on volatility relation of Stock Index Futures Market and Stock Market should work on after the implement of stock index future.更多还原