【作者】 李雪；

【导师】 于润；

【作者基本信息】 南京大学 ， 金融学， 2011， 硕士

【摘要】 股票价格指数期货,简称股指期货,是以股票价格指数为标的的一种期货合约,合约的交易双方约定在规定的时刻,按约定的价格买卖规定数量的股票指数。股指期货是金融期货的一种,一般采用现金交割的方式,是一种金融衍生产品。股指期货推出的初衷是为了规避股票市场的系统性风险,除了规避风险外,一般认为股指期货还有价格发现、抑制波动、活跃市场的作用。本文的研究对象是沪深300股指期货指数与沪深300现货指数,2010年4月16日,我国正式推出了沪深300股指期货合约,它的推出对于我国证券市场的不断发展与完善具有重要的意义。然而到目前为止,股指期货的推出还不到一年的时间,市场还处于刚刚起步阶段,相关法律法规还不完善,相关理论研究还不成熟,市场参与者对其了解也还不深入,因此在现阶段对股指期货的推出对现货市场影响进行研究具有重要的理论意义与现实意义。本文从沪深300股指期货推出对现货市场波动性的影响以及沪深300股指期货市场与现货市场价格相关性分析两方面来研究股指期货的推出对现货市场的影响。对于波动性的研究部分,本文通过引入虚拟变量M,运用GARCH模型来对沪深300股指期货推出前后我国A股市场波动性的变化进行了实证分析,其中,M=1表示股指期货引入后。研究发现,股指期货的推出并没有使得现货市场的波动性发生明显变化。对于价格相关性研究部分,本文根据股指期货退出后我国A股市场的变化趋势,将股市的变化分为下降、上升以及震荡调整三个阶段,并对每个阶段采用“平稳性检验——格兰杰因果检验——协整检验——建立误差修正模型”的模式分别进行了实证分析,研究结果表明,在股市下降阶段沪深300期货指数与现货指数既存在短期价格均衡关系有存在长期价格均衡关系,而在股市上升阶段与震荡调整阶段,期货指数与现货指数既不存在短期均衡关系又不存在长期均衡关系。更多还原

【Abstract】 Stock index future is an agreement between two parties to buy or sell a stock index at a certain time in the future at a certain price. Stock index future is a kind of financial futures which are settled by cashes, and is often used to set off the system risk of the stock market. What’s more, price discovery, reducing volatility, and increasing trading are also considered as the stock index future’s function.The objective of the paper is the Shanghai and Shenzhen 300 Index and the Shanghai and Shenzhen 300 stock index futures stock index. April 16,2010, China launched the Shanghai and Shenzhen 300 stock index futures contracts, the introduction of stock index future has important significance for our stock market for its continuous development and improvement. So far, however, the introduction of stock index futures is less than a year’s time, the market is still in its infancy stage, the relevant laws and regulations are not perfect, the relevant theory is not mature, and the market participants can not understand the stock index futures very well. So at this stage, it has important theoretical and practical significance to study the effect on the stock market of the introduction of stock index futures.This paper studies the problem of the spot market volatility after the introduction of stock index futures and price-related issues between future market and spot market. For the component of volatility, by introducing a dummy variable M, using GARCH model research the volatility change of the spot market. Study found that the introduction of stock index futures did not make the stock market volatility change significantly. For the component of price correlation, basing on the stock index change, the A-share market will be divided into downward phase, rising phase and adjustment phase. For each stage, we study the price correlation using a model as’Stability test-Granger Causality Test-Co-integration-Error correction model’. Study found that on downward phase, between the future market and the spot market, there are short-term equilibrium relationship and long-term price equilibrium relationship. However, on rising phase and adjustment phase, there are not short-term equilibrium relationship and long-term price equilibrium relationship between the future market and the spot market.更多还原