【作者】 钱多；

【导师】 伍楠林；

【作者基本信息】 哈尔滨工业大学 ， 国际贸易学， 2011， 硕士

【摘要】 随着中国首个股指期货的推出,中国结束了长达28年的股指期货市场空白,走向了更加成熟的资本市场建设阶段。但股指期货由于其自身的投机性及高杠杆性,导致股指期货市场的风险更复杂,影响更大。而且美国次贷危机之后,通过金融渠道传染的金融危机越来越受到大家的广泛关注,中国在这个复杂的国际环境下推出股指期货,其风险的预警与防范对中国股指期货市场以至于整个资本市场的健康发展都具有非常重要的现实意义。以具有代表性的标普500指数期货为研究对象,首先,对标普500指数期货的内涵进行了简单的分析,包括基本统计量分析、风险的类型、成因及特点;然后进行定量分析,通过建立非对称的成分自回归条件异方差-广义误差分布(非对称的CARCH-GED)模型消除标普500指数期货收益率序列存在的有偏、尖峰厚尾、波动聚集性以及杠杆效应,并且采用更加审慎的风险度量方法——条件风险价值法(CVaR),利用Matlab软件对标普500指数期货的风险进行准确的度量,从而达到风险预警的效果。最后,通过对比分析证明了沪深300指数期货与标普500指数期货的收益率具有共同的形态特征,基于非对称的CARCH-GED-CVaR模型的标普500指数期货风险预警模型也适用于中国股指期货的风险预警并通过具体数据加以验证。通过对两国股指期货的比较,可以发现中国应该逐渐强化期货业协会和期货交易所在股指期货风险监管中的作用,通过完善股指期货法律制度逐步解决我国股指期货存在的自身缺陷问题,从而加快我国股指期货市场的健康发展。更多还原

【Abstract】 As China has introduced the first stock index futures, China ends its 28-year blank in the stock index futures market and come towards a more mature capital market construction phase. Because of its high leverage and speculative, the risk of stock index futures is more complex and influential. After the subprime mortgage crisis of the USA, the financial crisis through the financial channel gets more concern. In this complex international environment, stock index futures early warning has very important practical significance in the healthy development of stock index futures and the capital market.Standard & Poor’s 500 (S&P 500) index futures is taken as the research object. First of all, analyze the connotation of S&P 500 index futures, including the basic statistics, the types, causes and characteristics of the risk. Then, make a quantitative analysis through building a Asymmetric Component Auto-Regression Conditions Heteroscedastic-General error distribution (Asymmetric CARCH-GED) model, eliminating the biased, thick tail of peak, fluctuation of agglomeration and leverage characteristics of the rate of return sequence of the S&P 500 index futures. And we adopt a more prudent risk measurement method conditional value at risk (CVaR) to accutately measure the risk of S&P 500 index futures with Matlab, so as to achieve the effect of early warning. Finally, we prove that the CSI 300 index futures and the S&P 500 index futures have common characteristics through the constast analysis of them. The early warning model of S&P 500 index futures based on CARCH-GED-CVaR is also applicable for the CSI 300 index futures. Through the comparison of the two index futures, it can be found that China should gradually strengthen the role of the futures industry association and futures exchange in risk supervision of stock index futures, solve the defects existing in the stock index futures through improving the stock index futures legal system, thus speeding up the healthy development of the stock index futures.更多还原