股指期货交易对股票市场波动性的影响研究--来自沪深300指数期货的经验证据.pdfVIP

摘要 本文选择沪深300 股指期货作为研究对象，主要围绕着沪深300 股指期货与股 票现货指数波动率之间的关联性展开研究，探究股指期货交易对股票市场的影响， 通过GARCH 模型验证了沪深300 指数对数收益率是否出现了波动率的结构性变 化，并使用门限GARCH 模型分析沪深300 指数期货是否对股票价格信息反应的 杠杆效应产生影响。 研究结果表明股指期货与现货指数的同步性很好。格兰杰因果关系检验结果 认为沪深300 股指期货的波动先于股票现货市场的波动。此外，沪深300 指数期 货合约交易的引入略微降低了现货市场的波动性,并减弱了股票现货市场波动的 不对称性,说明沪深300 指数期货交易的确开始发挥期货交易规避市场性风险、 套期保值的功能。但是由于金融期货市场的不成熟，我国的金融期货市场的价格 发现、套期保值等功能在研究当中并没有得到很好的体现。市场波动性对于往期 的信息响应增加，对当期信息响应减小，信息传递速度有变慢的趋势。 因此，我国的金融期货市场监管当局应当继续大力推动我国股指期货市场的完 善和发展，具体举措包括：加快引入机构投资者参与期货交易，培育成熟的市场 交易主体；建立投资者适当性管理制度，降低股指期货市场的准入门槛；完善期 货市场风险管理制度，为我国金融市场的健康、稳定的发展提供必要的风险屏障。 关键词：沪深300 股指期货 波动性 GARCH 现货市场冲击 做空机制 I Abstract Choosing the CSI300 as its object, the study explores the futures dealing’s impacts on the stock market by making an analysis of the relationship between the CSI300 Index Futures and the CSI300 index volatility. This study selects GARCH model to find out whether there is a structural change in stock index return volatility and selects EGARCH model to make sure whether there is an effect on the leverage of stock spot price. The results show that the stock index futures and stock index synchronization is very well. Granger causality test results suggest that fluctuations in the CSI 300 index futures ahead of the volatility of the spot market. CSI 300 stock index futures have a slight influence of decreasing the volatility of the Shanghai stock market and Shenzhen stock market. Which suggest that the CSI 300 index futures trading has started to play a role in avoid market risk and hedging. However, due to the immaturity of the financial futures market, we cannot find evidence of the running of price discovery and any other functions of futures market in