【作者】 朱杰；

【导师】 李心丹；

【作者基本信息】 南京大学 ， 管理科学与工程， 2013， 硕士

【摘要】 中金所在2010年4月16日正式推出沪深300指数期货,它的引入是我国金融市场发展的重要标志,对促进我国资本市场持续健康的发展具有重要意义。沪深300股指期货推出后便得到快速发展,但这也引起了监管者、投资者的高度关注。我们关注的是,股指期货的推出这一事件对股票市场波动有何种影响?股指现货和期货市场的联动关系(均值溢出和波动溢出效应)如何?本文利用股指期货的真实交易数据,分别建立一元GARCH(GARCH(1,1)模型)、VEC模型以及多元GARCH(DCC模型和BEKK模型)为基础的实证模型,对以上问题进行了回答。研究发现,股指期货的引入在一定程度上提高了现货市场的运行质量,具体来说,它的推出有以下几个方面的作用：(1)现货市场波动率受股指期货推出的影响有一定程度下降,下降的幅度在统计意义上显著,但却不具有经济显著性。同时,股指期货的推出使市场信息的传递效率加快,也就是说,新信息可以很快到反应到价格中,而旧信息对市场波动的影响被削弱。(2)通过研究现货的交易量效应和期货的持仓量效应,我们发现,股指期货推出后不仅现货市场的波动性有所降低,波动中所含的信息成分有所增加,同时,现货市场深度也有显著提升,也就是说市场吸收剧烈波动而保持稳定的能力有了显著提高。(3)股指期货和现货的高频价格序列存在协整关系,同时,期现两市间的信息传导是双向的,从长期的角度来看,两市场间的非均衡状态可以得到一定的调整,这证实了股指期货和现货市场间存在均值溢出效应。(4)股指期货市场与股票现货市场的收益率并不是完全正相关的,短期内可出现较大幅度调整,同时,股指现货与股指期货之间存在显著的波动溢出现象,且这种波动溢出效应是非对称的,也具有长期的持续性。股指期货与现货指数间的波动溢出效应证明了,两市之间存在信息传递,期货市场将额外的信息传递至股票现货市场。更多还原

【Abstract】 After many years of preparation, China Financial Futures Exchange (CFFE) officially introduced the futures trading of CSI300Index, which symbolizes the great achievement of China Financial Market Development and will as a result promote the healthy development of the China Capital Market in the future.Nevertheless, the rapid growth of the future trading of CSI300Index afterwards has attracted the attention of the market supervisors and investors, raising questions such as the actual influence of the introduction and trading of the stock index future towards stock market fluctuation and the co-movement relation between the stock market and the index future market (mainly from the effect of the mean spillover and the volatility spillover). Using the real data of stock index future, through empirical models based on single-variate GARCH, VEC and multi-variate GARCH models, we will answer those questions above as well as others relevant in this essay.According to the research, the introduction of stock index future has improved the operation quality of spot market by a certain extent. To elaborate, several major functions are shown as below:1. The volatility in the spot markets dropped by a significant amount statistically, yet not as much in economical senses. The introduction has pushed the information transmission to be much faster and enhance the efficiency of it, meaning the new information can reach the price sector much faster and therefore reduce the effect coming from the existing one. 2. After studying the effect from spot trading volume and the positions of the future trading, we find that volatility of the spot market decreased after the introduction, the percentage of the information from the fluctuation increased and the market depth grew by a great amount, which indicates that the market has been given a greater ability when facing intense fluctuation so as to stay stable.3. There exists co-integration relation between stock index future market and stock market. A two-way information transmission between the two markets allows an amendment to the long-term non-equilibrium and the price discovery function to play properly, at the same time, proving significant and symmetrical fluctuated spillovers between stock index spot and stock index futures.4. The returns of stock index future and stock market are not strictly related in a positive way, showing significant differences in the short run. Fluctuated spillover effects are also seen here with an asymmetrical and lasting trait. Those effects are the valid proof of the information transmission from index future market into spot market.更多还原