（毕业论文设计）-沪深300股指期货市场研究（学术精品）.docVIP

摘要 2010年4月16日，中国金融期货交易所推出的沪深300股指期货正式交易，标志着金融期货市场在我国正式建立。沪深300股指期货作为我国资本市场的又一重要版块上市交易以来，引起各方关注。 关于金融市场有效性研究，目前仍以尤金·法玛1970年提出并改进的有效市场假说为主流，但该假说前提条件、论证方式以及结论都比较抽象，难以量化分析，学者对同一市场的有效市场验证结果往往并不一致。本文从沪深300股指期货市场定价机制、价格发现功能及其对标的指数波动率的影响等三方面，结合我国股指期货交易特点及投资者结构比较分析，试图从这些角度来研究沪深300股指期货的效率及其在有效市场假说理论下的市场有效性定位。本文分析发现，沪深300股指期货市场具备较为显著价格发现功能，领先股票市场约10-15分钟。同时，沪深300股指期货能明显降低其标的指数价格波动率，历史波动率从0.238266下降至0.206121，实际波动率从0.062511下降至0.046925，日价格振幅方差从0.000104下降至8.87296E-05。这些分析有助于得出沪深300股指期货市场是有效股指期货市场的基本结论。本文末尾部分也根据有效市场假说的相关论证方法对目标股指期货市场分别进行弱式、半强式有效市场检验，得出沪深300股指期货市场是弱式有效市场的基本结论。 Abstract The hushen 300 stock index future offcially traded since 16th,april,2010,which represented the establishment of financial future market in China and have raised wide concern and investigation. About theories on market efficiency, the Eugene Fama market efficiency theory is quite hard to be analized in reality and thus lack of application, which is now still the dominant one in the area. This article is about analizing the market efficiency of hushen 300 stock index future market through investigation on pricing mechanism, price discovery function and the effect on fluctuation range of hushen 300 stock market. Through analyze, the author finds that the hushen 300 stock index future does have price discovery function(about 10-15minutes ahead the stock market) and can efficiently reduce the fluctuation range of its bid stock market(historical fluctuation reduced from 0.238266 to 0.206121, and realized fluctuation from 0.062511 to 0.046925). All these results help to develop the answer that the hushen 300 stock index future market is a efficient one. At last,the author tries to applied the investigation into the FAMA efficient market theory and finally finds the market can be treated as the so-called weak efficient market. 目录 绪论 1.1 论文研究背景和意义 中国金融期货交易所推出的沪深300股指期货于2010年4月16日正式交易，标志着金融期货市场在我国正式建立。沪深300股指期货于2006年10月30日开始仿真交易，在随后的三年半时间里，各方投资机构、国内外学者等对沪深300股指期货研究层出不穷，内容涉及我国推出股指期货的内外部环境分析、沪深300股指期货市场效率分析以