【毕业论文】浅谈股指期货对股票市场的影响.docVIP

杭州电子科技大学信息工程学院本科毕业论文 PAGE 2 l 本科毕业论文 （2013届） 题 目 浅谈股指期货对股票市场的影响 系 经贸系 专 业 金融学 班 级学 号学生姓名 指导教师 完成日期 2012年4月 摘 要 2010年4月，股指期货终于突破了重重障碍应发展之需登上了中国资本市场的舞台。股指期货的推出，正在不断成为中国乃至世界金融市场的热点。 我们都知道，国内外关于股指期货的研究也是层出不穷，涉及的方面也甚为广阔，国外主要研究了股指期货对于现货市场的影响，包括现货市场的流动性、波动性以及现货市场交易量；而国内的研究则与国外研究方面截然不同。鉴于我国证券市场的特殊性，国内研究侧重于对股指期货是否推出、以何种方式推出以及股指期货合约的模式等方面的研究。 股指期货的推出对股票现货市场的影响是多方面的，本文则侧重于从期货与现货市场间的价格发现功能来研究，分析沪深300指数期货在推出后是否实现了其应有的积极功能。本文在研究过程中，先从理论上对股指期货与现货价格之间的关系进行了探讨。然后采用实证分析，对中国沪深300股指期货市场与现货市场时间序列数据进行研究，得出二者在长、短期都存在稳定的价格关系。最后，对实证研究进行总结并结合中国的实际情况。综合以上三个方面，可以初步认为，现货市场价格与期货价格存在联动关系，但具体存在何种关系，本文的研究结果只能作为参考。 关键词：沪深300股指期货；价格发现；格兰杰因果检验 ABSTRACT In April 2010, the stock index futures finally broke through the barriers should be development of boarded the stage of Chinas capital market. Launch of stock index futures, is increasingly became a hot issue in China and even the worlds financial markets. As we all know, both at home and abroad research on stock index futures is also emerge in endlessly, also very wide, involved in major foreign research on the impact of stock index futures to the spot market, including the spot market liquidity, volatility, and trading in the spot market; While domestic research is quite different with foreign research. Due to the particularity of Chinas securities market, the domestic research focuses on the stock index futures are introduced, and how to launch and the model of stock index futures contracts, etc. launched stock index futures on the stock spot markets influence is various, this article is focused on from the price discovery function between futures and spot market research, analysis of the csi 300 index futures is achieved after the launch of its positive function. In the process of research, this paper first theoretically on the relationship between the stock index futures and spot prices are discussed in this paper. And then USES the empirical analysis, for Chinas csi 300 stock index futures market and spot m