股指期货推出对中国股票市场波动率的影响

【作者】 黄丹；

【导师】 孙谦；

【作者基本信息】 复旦大学 ， 金融工程管理， 2013， 硕士

【摘要】 20世纪70年代,西方各国受石油危机的冲击,经济形势急剧下滑,股票市场大幅波动。股指期货作为一种能够规避风险,实现套期保值的金融产品应运而生。自从1982年美国堪萨斯期货交易所推出第一份股指期货合约-价值线综合指数期货合约,股指期货迅猛发展,成为金融期货中发展历史最短、发展速度最快的衍生产品之一。国内外学者对其进行了大量的研究,最能引发各界兴趣的是股指期货的推出是否会对股票现货市场形成冲击,对此热点话题,学术界形成了三种不同的观点,莫衷一是。从2010年4月16日中国首次推出沪深300股指期货以来,已经有两年之久,因此,分析股指期货的推出对于中国股票现货市场的影响具有理论和现实双重意义,既能丰富学术界关于此热点话题的研究,又能对中国股指期货的发展提供借鉴意义。因此,本文在以往对股指期货研究成果的基础上,综合国内外相关理论,重点从中国引入沪深300股指期货对中国股票市场波动性的影响这个角度进行分析和论证。本文的实证研究具体分为三个方面。其一,对沪深300股指期货与沪深300指数现货波动关系进行定性分析,通过对其日收盘价的相关系数矩阵和走势图,以及日收益率标准差和波动情况进行比较分析。其二,应用GARCH时间序列模型,通过条件方差方程加入虚拟变量对GARCH模型进行调整,对沪深300指数的日收益率数据进行建模,分析沪深300股指期货推出两年多以来,中国股票市场的波动率特征。其三,应用Hsiao(2011)提出的对面板数据模型拟合的变形模型进行回归分析,综合考虑中国市场和国际市场的相关性,来检验沪深300股指期货推出前后中国股票市场波动率的变化。通过GARCH寸间序列建模,我们得出了拟合沪深300指数日收益率的最佳模型为ARMA(3,3)-GARCH(1,1),对此模型进行参数估计后,我们得出了以下结论：沪深300股指期货的推出能够降低中国股票市场的波动率,但是影响不是很大。利用Hsiao(2011)提出的面板数据方法,对面板数据模型拟合的变形模型进行线性回归分析,分析结果显示,沪深300股指期货的推出,有利于增强市场的有效性,降低股市的波动率。综合两者,本文的结论是：沪深300股指期货的推出能够降低中国股票市场的波动率。更多还原

【Abstract】 After the oil crisis in1970s, most of the western countries suffered a sharp decline in stock market. Stock index futures emerged as the financial derivative which can help to hedge the risks. Since Kansas City Board of Trade (KCBT) introduced the first stock index futures contract, Value Line Composite Index in1982, stock index futures experienced a rapid growth, and become one of the most popular financial derivatives. Scholars at home and aboard did a large number of studies on it. The topic that whether the introduction of stock price index futures will increase the volatility of stock market, or decrease the volatility achieves the most attention, and there have been three kinds of opinion.It has been two years long since the first time China introduced CSI300index futures on April16th,2010. Thus, making a research about this topic shows both theoretical and practical significance. It can help to enrich the academic research and also provide reference for the development of futures in China. Based on the past research, the paper tries to test whether the introduction of CSI300index futures will decrease stock market volatility in China.The empirical study consists of two parts. The first is qualitative analysis of the volatility relationship between CSI300index and CSI300futures. It is conducted by analyzing the correlation coefficient and chart of daily closing price, also the standard deviation and volatility of daily return. Second is quantitative analysis of the volatility variation in stock market. It is conducted through GARCH model and panel data regression.Applying GARCH time series model, we come up with the optimal model of ARMA(3,3)-GARCH(1,1) to fit the daily return of CSI300index. The parameter estimation shows that, the introduction of CSI300index futures reduces the stock market volatility, but in a minor way. Applying panel data regression, we find that, it can significantly reduce volatility and improve effectiveness of stock market. Thus, in conclusion, the paper shows that, the introduction of CSI300index futures can reduce stock market volatility in China.更多还原