沪深300指数期货与股票现货关联性分析要点.docVIP

摘　要 2010年4月16日，我国正式推出了沪深300股指期货。股指期货的推出不仅完善了中国资本市场的可投资品种，对投资者提供了更丰富的投资手段，也改变了我国证券市场的单边交易模式，为机构投资者提供了风险对冲的机会。 在此背景下，研究沪深300指数期货与股票现货市场间的关系具有重要意义。本文运用二元GARCH（1,1） Abstract China launched CSI index futures on April 16,2010. The introduction of stock index futures not only enrich the Chinese capital market investment products, offering more investment ways, but change the unilateral transaction mode in Chinas securities market, offering institutional investors hedging opportunities. In this context, research on the relationship between CSI 300 index and stock index futures has important practical and theoretical significance. The paper apply bivariate GARCH(1,1) model, and study daily data and high frequency data to reveal the relationship between CSI 300 index and stock index futures. Use daily trading data and 5-minute frequency data to research the calendar effects. The research shows that CSI 300 index futures and spot market return series are cointegrated; When CSI index futures and its yield under attack, the impact of the existence of a more long-term effects of heteroscedasticity; Further show that the covariance equation and stock index futures in CSI 300 Index Volatility of the interaction between the conditional variance is persistent. And it has the convergence. Key words：CSI 300 indexStock index futures；Volatility；Calendar effects  目　录 一、绪　论 1 （一）研究背景及意义 1 （二）文献综述 1 （三）研究内容与技术路线图 5 （四）创新与不足 6 二、相关概念阐述 8 （一）沪深300指数 8 （二）沪深300指数期货 8 三、研究方法 9 （一）单位根检验 9 （二）协整检验 9 （三）GARCH模型 9 （四）多元ARCH模型 10 四、沪深300指数期货与股票现货关联性分析 11 （一）基于GARCH模型的分析 11 （二）基于日历效应的分析 15 五、结论与建议 17 （一）结论 17 （二）建议 17 致　谢 19 参考文献 20 附 录 22  Contents 1 Introduction 1 1.1 The rearch background and significance 1 1.2 Literature Review 1 1.3 The main content of this article and the paper organization 5 1.4 The innovation and weaknesses 6 2 Some basic concepts 8 2.1 CSI 300 index 8 2.2 CSI 300 index futures 8 3 Research methods 9 3.1 Unit roots tests 9 3.2 Co-Intergation tests 9 3.3 GARCH mod