股指期货与现货市场联动效应研究——以中国市场为例-金融专业论文.docxVIP

万方数据 万方数据 本文研究发现，沪深 300 股指期货推出后，现货市场的波动性有了显著降 低。股指期货市场的较低的交易成本和高杠杆使得信息在市场上传递速度更快， 减弱了现货市场的波动性。同时我们也发现沪深 300 股指期货对现货市场具有 单向的价格引导关系；在价格上，股指期货与现货之间存在领先——滞后效应， 股指期货市场价格提前现货市场价格大约 5 分钟。 关键词：沪深 300 股指期货；沪深 300 指数；联动效应；市场波动性；价格引 导 II Empirical Research on Coupling Effects between Stock Index Future and Spot Market——Evidence From Chinese Market Abstract Since February 24, 1982, Kansas City Board of Trade launched its first stock index futures contracts - Value Line composite average index contracts, the contract marks the launch of the global financial markets began to enter the era of stock index futures. Subsequently, the country in the world launched their stock index futures contracts. As the most important hedging tool, stock index future has undertaken an unprecedented development. O n April 16, 2010, Chinas first stock index futures - Hushen300 stock index futures was lunched officially, which meant that Chinas financial market had entered a new era. In this paper, we will discuss Hushen300 stock index futures’ effects on stock volatility and the Hushen300 stock index futures price discovery function. From these two points, we have collected a lot of data to prepare these two issues empirical research. This paper is divided into six parts. The first part is introduction; it includes the research background and significance of the project, current researches at home and abroad, research methods and the dates. The second part mainly introduces the concept of stock index future and its history, the development of Hushen300 stock index futures, the linkage effects and research hypothesis. Thirdly, this part is about research models. Unit root test, cointegration test, error correction model, Granger causality test, cross-correlation analysis, impulse response analysis, analysis of variance models and theories are described. Both the fourth part and fifth part areempirical study. Based on the data of Hushen300 stock index futures, we establish some models to study th