股指期货对现货市场影响的实证研究-金融学专业论文.docxVIP

II II Abstract Abstract Listing of stock index futures, promoted the innovation of financial products, changed the pattern of China’s stock market, where investors can only become a stock market bull. After nearly 4 years’ development, daily trading of stock index futures outstripped the stock market’s daily volume. The development stock index futures attracted wide concern on investors, regulators, and academics. Do the stock index futures can inhibit the volatility of stock market? How do the relationship between the prices of futures and spot market? How about effect of hedging in stock index futures? In terms of studying the affection stock index futures influence on the spot market comprehensively, In order to make the research more comprehensive, this document selects different measurement model for the three issues in the empirical analysis. This study found that after the introduction of stock index futures, the volatility of stock index has slowed down, but the effect was not apparent. In terms of information transfer, old information impact on the market is larger than the new information impact on the market, the efficiency of information transfer was not been improved. By adopting EGARCH Model to analysis, writer found that as Foreign markets Chinese stock index market also exist non-symmetry. Through analysis of the price of stock index futures and stock index futures, writer found that there is a long-standing co-integrate relationship between them. The long term relationship will restrict their short-term fluctuations. In the short run, futures and spot influence each other, but the direction is not consistent, the change of the price of spot will cause the price of futures to move to the opposite direction, the change of the price of futures will cause the price of spot to move to the same direction. In term of the degree of the affection, the affection of stock index futures influence the spot market is more heavy than the affection of spot market i