股指期货与股指现货的联动性分析-企业管理专业论文.docxVIP

华中科技大学硕士学位论文 华 中 科 技 大 学 硕 士 学 位 论 文 II II Abstract Stock index futures, is a new financial future instruments transaction based on stock price. It is the most important and successful financial derivatives in the wave of financial innovation in 1980s, also it is the youngest and most developed financial derivatives. Stock index futures are playing more and more important role in the international capital market as a risk management instrument. Nowadays, the exchange simulation of SHSE-SZSE300 index futures has traded for more than one year as china stock market experienced a rapid growth. So it is very important to study the interactive relation of the spots and the index futures. We start this passage to give a brief introduction of origin and development of the index futures, the main studies and their conclusions of the interactive relation of the spots and the index futures. Then we introduce the contract design of the exchange simulation of SHSE-SZSE300 which including the index selection, the index adjusting and the trade regulation. In the following part we give several models of interactive relation of the spots and the index futures which including the Agument Dickey-Fuller test, Granger test and vector autoregression model. After that we make an empirical study of the index and index futures selected from the representative countries or areas. These indexes contain the KOSPI200 and its futures,SP500 and its futures, HangSeng index and its futures,SHSE-SZSE300 index and its simulation exchange. At last we give some suggestion to the development of the index futures in our market. By analyzing other countries’ index and futures and summarizing the inner connection of the index and its futures we try our best to give some suggestion to the development of the index futures in our market. Key Words: Stock Index Futures Stock Index The interactive relation III III 目 录 摘 要 I HYPERLINK \l _bookmark0 Abstract II 1 绪论 HYPERLINK \l _bookmark1 1.1 股指期货的发展背景 (1) H