股指期货对股票市场价格发现机制研究——基于沪深300和KASE股指期货对比分析-金融学专业论文.docxVIP

I I 摘要 金融衍生市场是发达基础市场的产物。在西方发达国家先建立基础市场， 它发展到一定的水平之后才开办相应的衍生品市场。而在有些发展中国家并非 如此。例如，哈萨克斯坦证券市场的创立才有十几年的时间，现货市场处于初 步发展阶段，还没有具备建立衍生品市场的客观条件。哈国就在这种情况下， 于 2010 年 12 月启动了期货市场，推出了哈萨克斯坦证券交易所（简称 KASE）指数期货。在我国，股票市场一直以来存在流动性不足的问题，因此 相应的期货市场也受到了其影响。 中国作为快速发展的国家，其资本市场的表现也相当好。其期货市场建立 在充分活跃的基础市场之上。HS300 指数期货的开发成为中国证券市场发展的 转折点。从它推出以来才有四年的时间，但它已成为全世界交易最为活跃的期 货合约之一。 期货作为金融衍生品，它在理论上具备了像风险转移、资产有效配置、对 现货市场的价格发现等功能。至于它在现实生活中是否真正地发挥了其作用， 应该对此进行详细的理论分析和实证研究。本文使用计量经济模型，分别对 HS300 和 KASE 指数期货的价格发现功能进行研究和对比分析。 关键词：沪深 300 指数，KASE 指数，股指期货，价格发现，误差修正模型， Granger 因果检验 II II Abstract Derivatives market is a result of developed stock market. In developed western countries they first establish spot market, and only after years of experience and hard work, when it achieves certain level of development, creating derivatives markets becomes an inevitable choice. But in some developing countries this process sometimes goes in a different way. Kazakhstan’s capital market could be typical example for that. Kazakhstan’s capital market was established in 1993, and it’s still in its early stage of development, therefore it has not prepared objective conditions to build its derivatives market. Under such circumstances in December 2010, was launched first futures contract in my country—— Kazakhstan Stock Exchange (KASE) Index Futures. Naturally, the lack of liquidity in Kazakhstan’s stock market has negative impact on derivatives development. China being a fast-developing country, its capital market also has high achievements. Its futures market was established on the base of fully active stock market. The launch of CSI 300 stock index futures has become a turning point in the development of Chinese capital market. Chinese futures market, in 4 years of its existing, nowadays makes impressive results not only in China, but in the whole world. Futures as a derivative originally should have functions such as: risk transfer, effective asset allocation and price discovery. As for the question of whether futures really pl