【作者】 王晗；

【导师】 李朋林；

【作者基本信息】 西安科技大学 ， 产业经济学， 2011， 硕士

【摘要】 本文的研究对象是沪深300股票指数期货。文章借鉴了国内外学者的研究经验,以股指期货的发展状况和相关理论为基础,采用了定性分析与实证研究相结合的研究方法。首先详尽阐述了股指期货在全球及国内的发展背景,介绍了沪深300股指期货的概念,包括特点、功能及其与股票交易的区别。在就沪深300股指期货对二级市场影响的定性分析之前介绍了沪深300指数期货合约的详尽内容,对沪深30O股指期货与沪深30O指数相对波动进行对比分析,并且进一步针对沪深3OO股指期货推出前后现货的波动变化情况进行了比较分析。在理论分析部分,重点阐述了时间序列分析的BJ方法,研究了自回归移动平均模型,包括模型的识别、参数估计和检验,其后研究了多用于分析金融时间序列的自回归条件异方差模型,包含其广义形式。本文研究的重点部分是实证研究沪深300股指期货对股票市场的影响,对沪深300指数日收益率进行描述性统计表明该序列不服从正态分布,进而对沪深300指数日收益率序列进行平稳性检验和自相关性检验,在ARCH效应检验的基础上,确定了沪深300指数日收益率的ARMA模型,进一步确定了沪深300指数日收益率的GARCH模型,在对拟合的GARCH模型进行参数估计和ARCH效应检验后,证明了股指期货对我国股票市场波动性的影响。最后提出了应对我国股指期货风险的对策建议。更多还原

【Abstract】 This paper put the HS300 stock index futures as the research object, which based on the study results from abroad as well as on the development and related theory of the stock index futures, using qualitative and quantitative methods. Firstly, state extensively the development background of stock index futures in our country and in the world, present the concept of it, including features、functions and the difference between it and stock. Then present the content of HS300 stock index futures contracts before the qualitative analysis of the effect of it on the stock market, making the comparative analysis of the fluctuations between them, and also making the comparative analysis of the fluctuations of stock market that before and after the HS300 stock index futures that appear to the market. In the theory analysis part, pay much attention to the BJ method of which is one method of time series analysis, study the ARMA, including the identification、parameter estimation、and test, then study the ARCH that often be used to analyze the financial time series, including GARCH. The important part for this paper is the quantitative research of the effect of HS300 stock index futures on stock market, the descriptive statistics of HS300 stock index futures’daily return ratio state that the sequence is not the normal distribution, then making the ADF test and Autocorrelation test, based on the ARCH test, fix the ARMA of HS300 stock index futures’daily return ratio, then fix the GARCH of it. After the parameter estimation and ARCH test of GARCH, proving the volatility effect of the stock index futures on our stock market. At last, proposing measures and suggestions which response the risk of stock index futures in our country.更多还原