股指期货对我国股票市场影响的实证研究

【作者】 陆静；

【导师】 王龙宝；

【作者基本信息】 复旦大学 ， 企业管理， 2011， 硕士

【摘要】 2010年4月16日,中国金融期货交易所正式推出沪深300指数股指期货合约。股指期货的推出对我国股票市场将会带来巨大的影响。我国的股指期货是否具有价格发现功能,股指期货是否会引起股票市场的波动加剧,对股票市场的发展是否有利,是当前急需解答的问题。本文在借鉴了大量文献资料和研究成果的基础上,运用实证分析方法,以沪深300期货指数和沪深300现货指数数据为实证资料,应用Eviews5.1软件,建立Granger因果检验模型对股指期货市场和现货市场的领先-滞后关系进行实证研究,建立GARCH类模型对股指期货推出对股票市场波动性影响进行了实证研究,根据分析结果得出我国股指期货市场具有价格发现功能,股指期货的推出也在一定程度上降低了我国股票市场的波动性等结论。本文接着对实证研究结果进行了分析,并结合目前我国股指期货现状,笔者提出了政策建议。更多还原

【Abstract】 China Financial Futures Exchange officially launched CSI 300 Stock Index Futures On April 16 2010. The Introduction of Stock Index Futures is going to have huge impact on the China spot market. Does CSI 300 Stock Index Futures have the function of price discovery? Does it have effect on improving the volatility of the spot market? Does it have positive influence on the development China stock market? All of these questions need answers currently.On the basis of a lot of literature and research results, we do empirical study on the lead-lag relations between CSI 300 Stock Index Futures and CSI 300 Stock Index by Granger causality test, and the impact on the spot market after the introduction of the CSI 300 Stock Index Futures by GARCH model in this thesis, using Eviews5.1 software. According to our findings, CSI 300 Stock Index Futures has the function of price discovery, and it reduces the volatility of the spot market to a certain extent. After analyzing the results of the empirical study, we make some policy recommendations with China actual situation.更多还原