【作者】 魏巍；

【导师】 胡金焱；

【作者基本信息】 山东大学 ， 项目管理（专业学位）， 2016， 硕士

【摘要】 在经济动荡的大背景下,人们规避风险的强烈需求催生出股指期货这样一种工具。但是股指期货的发展也并非一帆风顺,其作为风险管理工具的功能和正面作用至今饱受争议。到今年,沪深300股指期货上市已有6年了,正在一步步走向成熟。但是,同国外的情况类似,至今人们仍在不断地怀疑期指交易是造成股市下跌的一大因素。尤其是沪深300股指期货上市的2010年和出现股灾的2015年。每当股市发生大跌,怀疑的目光便一次次指向股指期货。一时间,沪深股指期货被认为是变成了恶意做空的工具。为了配合救市,去年9月2日,中金所推出史上最严厉的限制措施,沪深300股指期货的成交量出现断崖式的下跌,股指期货市场几乎成了一潭死水。那么,造成股市动荡的元凶到底是不是期指?它对现货市场造成了什么样的影响,是否应该对其加以限制呢?本文就针对这些问题对股指期货对现货的影响展开研究。本文首先结合交易数据和指标进行了描述性分析：一是对影响机理和实际效果进行描述性分析,二是对中金所对股指期货实施限制措施这一事件的影响进行了描述性分析。然后进行了实证分析,对两个重要的时间节点的交易数据进行建模分析,探讨沪深300期指如何影响现货指数。这两个时间节点是：沪深300股指期货推出前后(2007.1.4至2010.4.15,2010.4.16至2015.9.2)和中金所对沪深300股指期货交易出台限制政策前后(2014.12.11至2015.9.2,2015.9.7至2016.6.1)。分别对这两个时间节点前后的现货收益率波动情况进行对比研究。以求从多个角度研究期指对现货的影响。其中,对沪深300股指期货推出前后,首先进行描述性统计,然后是带了虚拟变量的GARCH模型,最后用EGARCH逐步分析；对中金所实施限制前后,主要选用设置了虚拟变量的GARCH模型的方法展开分析。通过研究发现：虽然股指期货交易并没有明显降低我国股票市场的波动,但是改善了我国股票市场信息传递的不对称性,对稳定股票市场有积极意义。股灾之后,监管部门采取的限制交易措施的效果并没有预想的那样明显,反而破坏了股指期货市场的流动性,造成了市场基本功能的丧失。由此提出建议：首先应尽快取消股指期货交易限制,恢复期货市场的正常功能；其次要提高监管能力,建立更有针对性的监管制度,在打击投机的同时避免给市场造成不利影响；最后建议降低股指期货参与门槛,加快金融创新,提供更多风险管理工具,减轻单一市场的压力。更多还原

【Abstract】 Under the background of the economic turmoil, Stock index futures was created as a tool with the strong demand of people’s avoiding risks. However,the progress of index futures(IF) is not plain sailing, its function and positive effect is still controversial as a risk-management toolBy this year, the Shanghai and shenzhen 300(CSI300) stock index futures have developed for 6 years and they are gradually mature step by step. However, as similar as the foreign, people still have the doubt that the stability of the IF have negative effect on spot market, especially the year of 2010, in which period that the IF was listed and the year of 2015, in which period that the spot market crashed. Once the stock market falls, suspicion will be pointed at IF. Thus, the Shanghai and shenzhen stock index futures is considered to be turned into a malicious short tools. On Sep.2 of 2015,in order to coordinate the rescue, the most severe restrictions was launched by China Financial Futures Exchange(CFFEX), the volume of stock index futures declined rapidly and the market is almost a backwater. Is the stock index futures responsible for the turmoil? What kind of effect was caused by IF on the market? Should we limit the IF trading? In this paper, contrapose the problems, we will research the effect of IF on the latter.Firstly, in this paper we will conduct descriptive analysis combining with the transaction data and index:a descriptive analysis on the influencing mechanism and actual effect and the influence of the incident of implementing restrictions for stock index futures by CFFEX.Then we will conduct a modeling analysis of trade data in two important time node, in order to discuss the way of IF to change the yield of the index. The two time node is:before and after the detrusion of CSI300 index futures (2007.1.4 to 2010.4.15,2010.4.16 to 2015.9.2) and the implementing restrictions for stock index futures by CFFEX (2014.12.11 to 2015.9.2,2015.9.7 to 2016.6.1). We will carry comparative study on fluctuation of return rate before and after two time node in order to study from various angles.Before and after the detrusion of IF, firstly, we will conduct descriptive analysis, then take GARCH model with virtual variables, finally use EGARCH analysis to analyse. Before and after implementing restrictions for stock index futures by CFFEX, we mainly choose GARCH model with virtual variables as the analysis method.Through the study we find that:although stock index futures trading hasn’t significantly reduced the fluctuation of the stock market in China, but improved the transition asymmetry of Chinese stock market information and thus stabilized the stock market. After a crash, regulators of restrictive trade measures have not expected effect, however it destroyed the liquidity of stock index futures market, resulting in a damage of market basic function. Thus suggestions are proposed: firstly, to cancel the trading limit of stock index future as soon as possible and restore the normal function of the market; Secondly, to enhance the management ability and build a more targeted regulatory regime avoiding adverse effect. Finally, to lower threshold of stock index futures and speed up financial innovation, thus to provide more risk management tools and ease the pressure on the single market.更多还原