【作者】 赵德生；

【导师】 李健元；

【作者基本信息】 东北财经大学 ， 金融工程， 2011， 硕士

【摘要】 自第一只股指期货在堪萨斯城期货交易所上市以来,已近30年,目前股指期货从交易量上已快速发展成为世界最主要的衍生品种。随着我国经济的飞速发展,金融市场不断完善和创新,股指期货的推出已成必然。2006年9月16日,为了满足国外投资者的需求,新加坡率先推出了以我国股票为标的的股指期货,这对我国证券市场的主导权和定价权产生了重大的影响,为了维护国内证券市场的稳定,我国加快了推出股指期货的步伐,经过三年多的准备,2010年4月16日,沪深300股指期货合约正式在中国金融期货交易所挂牌交易。在此背景下,究竟这两次股指期货的推出对我国股票市场的市场效率产生了怎样的影响,目前还存在哪些不足,如何更好地使股指期货发挥其应有的功能已经成为人们关注的焦点。在借鉴以往学者研究的基础上,本文采用理论和实证结合的分析方法分别就两次股指期货推出对股票现货市场效率的影响做了比较研究,主要包括两个方面：(1)两次股指期货的推出对股票现货市场信息效率的影响,主要把GARCH模型同信息传导机制联系在一起,比较前后两次引进股指期货对我国现货股票市场的信息效率变化。(2)两次股指期货的推出对我国股票现货市场波动率的影响,主要运用修正的TARCH模型,引入控制变量以剔除全球宏观经济因素对我国现货市场波动率所造成的影响,同时也引入虚拟变量来反映股指期货上市前后市场价格波动的变化程度。研究结果表明,在信息传递方面,新华富时A50股指期货并没有改善股票现货市场的信息传递速度和品质,相反,沪深300股指期货的推出降低了波动的持续性,加快了信息传递的速度,更有利于释放市场风险;在波动率方面,新华富时A50股指期货增加了股票现货市场的波动率,而国内沪深300股指期货的推出对股票现货市场产生了一定的积极作用,维稳了市场,有效对冲了股票现货市场风险。因此,无论从信息传递方面来看,还是从波动率变化方面来看,沪深300股指期货的推出相对较成功,发挥出了股指期货的应有功能。通过两次股指期货推出对现货市场效率影响的分析,论文在最后提出了有关我国继续完善股指期货市场的政策建议。更多还原

【Abstract】 It has been almost 30 years since the birth of the first stock index futures that listed in Kansas City Board of Trade. Since then, stock index futures develop rapidly, and become the world’s leading derivatives at present. Along with the rapid development of Chinese economy and continuous improvement of financial markets, the introduction of stock index futures has become an inevitable trend. Singapore promoted the first stock futures with the Chinese stock for mark on September 16th, 2006, which made a significant impact on the dominance and pricing of Chinese stock market. In order to maintain the stability of domestic stock market, China speeded up the pace to promote stock-index futures.. After three years of preparation, HS 300 stock index futures contract was officially listed on Chinese financial futures exchange on April 16th,2010.Under this background, what is the actual effect of the two times of stock index futures on the market efficiency of our stock market, where are the disadvantages, how the stock index future market will be played better has become the focus of our attention.In reference on the basis of previous studies, this paper will combine theoretical and empirical analysis methods, compare and analyze the impact of two times of the stock index futures on the efficiency of Chinese stock market, mainly includes two aspects:(1)the impact on information efficiency of spot stock market, mainly link GARCH model with information transmission mechanism together, compare the information efficiency changes in our spot market from the introduction of two stock index futures. (2)the impact on the volatility of spot stock market, we use the modified TARCH model through the introduction of control variables in order to get rid of the influence of global macroeconomic factors on our stock market, also we introduce dummy variable so as to find out how the stock index futures influence the price volatility of stock spot market.Study results show that, on information efficiency, FTSE Xinhua A50 stock index futures doesn’t effectively improve the speed and quality of spot market information transmission. On the contrary, HS300 stock index futures reduce volatility persistence of spot market and speed up the information transmission speed, which is more advantageous to release market risk. On volatility, the introduction of FTSE Xinhua A50 stock index futures increase the stock market volatility, however, the introduction of HS 300 stock index futures play a certain advantageous role and stabilize the spot market, which hedge market risk effectively. Therefore, whether from the perspective of information transmission or the volatility changes, the introduction of HS 300 stock index futures obtain a relative accomplishment and play its due function successfully.Through analyzing the market efficiency influence of the introduction of the two stock index futures, this article provides some policy suggestions about improving the stock index futures market in the end.更多还原