【作者】 张莉；

【导师】 刘俊奇；

【作者基本信息】 辽宁大学 ， 金融学， 2011， 硕士

【摘要】 股指期货的发展已经有近30年的历史,股指期货的套期保值功能及其交易的便捷性使其成为投资者青睐的对象,在短短的三十年中,股指期货已经成为各国资本市场中重要的组成部分。2010年4月16日,中国推出沪深300指数期货。沪深300指数期货是中国资本市场的第一个金融创新品种,为中国股票现货市场的系统性风险规避提供了套期保值的工具,从此,中国投资者摆脱了长期“单边”市场的困境。沪深300指数期货的推出对中国股票现货市场的各个方面产生较大的影响,这种影响体现在中国股票市场的股价波动性、市场流动性、投资者投资方式等多个方面。本文首先从理论层面详尽分析了股指期货对股票现货市场流动性影响的传导机制,理论方面的分析主要是从影响股价的因素和股指期货本身特征因素进行分析。文中还分析了典型发达市场国家或地区和新兴市场国家或地区的实践经验,总结出了股指期货影响股票现货市场流动性的三种类型;后文中,笔者运用计量经济学中的实证模型着重研究了沪深300指数期货对标的股票现货市场流动性产生的影响,从而得出结论:沪深300股指期货的推出增加了股票现货市场流动性的波动程度;股指期货的推出降低了股票现货市场的日平均交易额,也即降低了股票现货市场的流动性;针对文章结论,本文对如何理顺股票期现两市的关系提出了合理化的政策建议,主要包括三点:加强股指期货市场建设的建议、加强股票现货市场规范化建设的建议和促进股票期现两市良性互动的建议。更多还原

【Abstract】 The stock index futures has developped for nearly 30 years, it’s hedging function and convenience in trading make it a preferred object of investors. In just three decades,stock index futures has become an important part of the national capital markets.April 16, 2010, as we are looking forward, HS300 stock index futures which has great significance on Chinese capital market launched. HS300 stock index futures is the first financial innovation of Chinese capital market,it provides a hedge tool to avoid systemic risk of the spot market.As the result,investors in China get rid the market predicament of long-term“unilateralism”.The launch of HS300 index futures brings great impact on the spot market in all aspets,this influence is reflected in the spot market volatility,liquidity and the method of investors and so on.In this paper,we begin with the detailed analysis of the transmission mechanism on how the stock index futures affect spot market liquidity in the theoretical level.The theoretical analysis includs the factors affecting spot stock price and the characteristics of stock index futures.Beside that,we also analyzes the practical experience about the typical developed market countries and emering market countries or regions and summed up three types of how the stock index futures affects spot market.In the after,we will use empirical econometic model to display how HS300 stock index futures fact stock spot market liquidity.And conclude that: the launch of HS300 index futures increased the volatility of spot market liquidity;the introduction of stock index futures reduce the average daily turnover of spot market,that it reduces the liquidity of spot market.Around the conclusion in paper,we make the reasonable policy recommendations on how straighten out the relationship between the stock index futures and spot market.The policy recommendations include three points:to strenghten the construction of stock index futures,to enhance the standardization construction of spot market and to propose the interaction between the stock index futures and spot market.更多还原