沪深300指数论文：股指期货对股票现货市场的影响.docVIP

沪深300指数论文：股指期货对股票现货市场的影响 【中文摘要】2010年4月16日，沪深300股指期货正式在我国北京中国金融期货交易所(ChinaFinancial Futures Exchange,缩写CFFE)推出，该期货运行至今已有近两年，其仿真交易也是运行了四年有余。股指期货诞生于上世纪80年代的美国，诞生原委为应对当时石油危机所产生的一系列问题对股市波动造成的巨大系统性风险，随着世界经济稳步向前，股市蒸蒸日上，股指期货也是发展迅猛，很多发达国家和发展中国家都先后推出了针对本国甚至非本国现货市场的股指期货，股指期货已成为金融市场不可或缺的重要组成部分。随着我国实体经济迅猛发展，证券市场各项制度日益完善，股指期货交易将逐渐成为我国进一步提高证券市场效率、完善资源配置的重要组成部分。本文以沪深300股指期货对现货市场波动性影响和沪深300股指期货价格发现功能的研究入手，针对我国实际情况进行论证，希望有所发现，以期能为我国股指期货今后的稳健运行以及期货产品的日渐丰富提供绵薄之力。本文首先介绍波动性及价格发现的相关理论及研究成果，然后以沪深300指数及其期货数据作为研究样本，通过实证分析得出相关研究成果，实证分为两部分：第一部分为引入GARCH模型分析股指期货交易对现货市场波动性所产生的影响；第二部分为运用建立在向量误差修正（VEC）模型上的Granger因果检验分析法研究两个市场之间的长期均衡关系，为进一步对期货与现货间价格发现功能进行了解还运用了脉冲响应分析和方差分解等方法。由实证检验结果，我们发现股指期货推出一定程度上加剧了现货市场的波动性，现阶段HS300股指期货与现货间还不存在明显的价格发现功能，现货价格在价格形成过程中占主导地位。 【英文摘要】April 16, 2010, the HS 300 stock index futures, officially launched in China BeijingChina Financial Futures Exchange. The futures run has been nearly two years, theirsimulation trading is running more than four years. Stock index futures was born in theUnited States, the birth of the whole story of the 1980s in response to a series of questionsgenerated by the oil crisis was enormous systemic risk on stock market volatility, with thesteady progress of the world economy, the stock market booming, the stock index futures isdeveloping rapidly, many developed and developing countries have introduced for national oreven non-domestic spot market stock index futures, stock index futures financial markets hasbecome an integral part of. With the rapid development of China抯 real economy, the varioussystems of the securities market has improved steadily and stock index futures will graduallybecome China to further improve the efficiency of securities markets, and improve animportant part of the allocation of resources. HS 300 stock index futures on stock marketvolatility and the HS 300 stock index futures price discovery function of starting todemonstrate against China抯 actual situation, I hope to be found, in order for the stableoperation of the Chi