中国股指期货对现货波动影响及传导关系研究

【作者】 王永杰；

【导师】 劳兰珺；

【作者基本信息】 复旦大学 ， 财务管理， 2012， 硕士

【摘要】 股指期货对其现货市场有风险转移和价格发现两大基本经济功能。中国证监会于2010年4月16日推出沪深300股指期货合约,其宗旨就是要发挥期货市场这两大功能,为中国股票现货市场的健康发展保驾护航。本文紧紧围绕期货市场的这两大功能展开,一方面,通过检验现货指数在股指期货推出前后波动性的变化来分析股票现货市场的风险变动情况,另一方面,通过检验期货价格和现货价格的传导关系来分析股指期货的价格发现功能。研究结果不仅对增强机构投资者运用股指期货套期保值的信心有重大意义,同时也能为中国证监会下一步推出国债期货合约提供宝贵借鉴。本文通篇可划分为5个章节：第1章是导论部分；第2章是理论概述部分,主要阐述了股指期货的相关理论；第3章是沪深300股指期货对现货指数波动性影响的实证分析部分；第4章是沪深300股指期货和现货相互传导关系的实证分析部分；第5章是结论部分,通过上文的理论分析与实证检验得出本文的最终结论,并指出了本文的不足之处及相关政策建议。本文主要得出了以下结论：(1)沪深300股指期货很大程度上减缓了现货指数的波动,效果显著。(2)沪深300期货价格和现货价格互相存在格兰杰因果关系。(3)沪深300期货市场比现货市场对价格信息反应更加灵敏。(4)沪深300期货市场和现货市场之间信息传递的时滞不会超过15分钟。(5)沪深300现货市场对期货市场的冲击要强于期货市场对现货市场的冲击。更多还原

【Abstract】 Stock index future has two basic economic functions:risk transferring and price detecting. Since October16th,2010, Hushen300stock index future contract has been listed in Future Exchange. The essay tries to answer the following two questions:1.whether the stock index future can smooth the fluctuation of stock market2. How the future and current market react to each other. The findings can enhance institutional investors’confidence in hedge risk by future contract and give a good example for the ongoing listing of China T-bill future contract.This essay can be divided into5sections. Section1is introduction. Section2articulates the main theories. Section3addresses the empirical test of the change in volatility of China stock market. Section4presents the empirical test of the interaction between the stock future and current market. Section5concludes the essay and offer some suggestions for the policymakers.The essay has following findings:1. Stock index future largely smooths the fluctuation of the current stock market.2. There exists Granger causality between stock i ndex future prices and current prices.3. Future market responses m ore quickly to th e m arket in formation th an c urrent market.4. It t akes1ess t han15m inutes f or b oth m arkets tor eceive t he n ew p rice information.5. Stock index future has a relatively weaker impact on the current market.更多还原