沪深300股指期货与现货市场关系的实证究毕业论文.doc

沪深300股指期货与现货市场关系的实证研究 摘 要 文章在借鉴国内外文献基础上，利用2008年1月2日至2012年4月27日沪深300股指日收盘价交易数据和2010年4月16日至2012年4月27日沪深300股指期货日收盘价交易数据，借助ADF单位根检验、E-G协整检验、GARCH模型、ECM模型和Granger因果检验等方法，对沪深300股指期货推出前后股票现货市场波动性以及股指期货市场自身价格发现功能的发挥情况进行了实证研究。 文章的主要结论如下：第一，ADF检验表明，在1%的显著水平下，沪深300股指与其期货交易数据均属一阶单整；第二，E-G协整检验和ECM模型表明，沪深300股指与其期货价格之间存在长期均衡关系，且股指期货对现货价格偏离长期均衡的调整力度为-0.69840；第三，GARCH模型表明，沪深300股指期货交易显著加剧了现指的波动性，且新信息对市场波动性影响减弱而旧消息影响程度逐渐增强；第四，Granger因果检验表明，沪深300股指与其期货之间为互为引导关系，且现货对期货的引导要强于期货对现货的引导。 沪深300指数；股指期货；波动性；价格发现 Abstract This paper, based on domestic and foreign literature, making use of the data of the CSI 300 Index from January 2, 2008 to April 2012, 27 in Shanghai and Shenzhen 300 stock index closing price of the transaction and that of the 2010 in April 16 to April 27, 2012day closing price of the futures transaction , with the ADF unit root test ,E-G co-integration test, GARCH model, the ECM model and Granger causality test, carries out an empirical research into Spot market volatility before and after the launch of the CSI 300 stock index futures, and the price-finding function and its fulfillment of the stock index futures market . The main conclusions are as follows: first, the ADF test shows that at the 1% significant level, the CSI 300 stock index and its futures trading data are integrated of first order; second, E-G co-integration test and the ECM model show that, a long-run equilibrium relationship exists between the 300 stock index and its futures, and the readjustment of stock index futures on the deviation of spot price from the long-run equilibrium is -0.69840; third, the GARCH model shows that the CSI 300 stock index futures significantly exacerbates the volatility of the CSI 300 index, and the impact of new information on market volatility has weakened while that of the old message has gradually increased; fourth, Granger causality test shows that the CSI 300 stock index and its futures mutually guide each other and stock futures has a more powerful guidance on futures.