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论文编号：	3206
作者编号：	2120092335
上传时间：	2011/6/3 22:54:42
中文题目：	股指期货推出对我国股票市场波动性影响的研究
英文题目：	An Research on Impact of Stock Index Futures’ Appearance on the Stock Spot Market
指导老师：	王永进
中文关键字：	股指期货;波动性;GARCH模型;ARMA模型
英文关键字：	Stock index futures;Volatility;GARCH model;ARMA model
中文摘要：	自上世纪80年代股指期货被推出以来，虽然历史并不算长，但股指期货已然成为世界金融市场上发展势头迅猛、影响力大的金融衍生工具。众所周知，股指期货在推出之初，原本目的是为了更好地管理和规避股票现货市场的系统风险，但1987年10月美国股市发生的股灾使人们意识到股指期货并非永久可靠，坚不可催，人们需要加深了解股指期货的推出对股票市场的波动性是如何影响的。波动性可谓金融市场的一个重要特征，是监管者及市场参与者都非常关注的一个重要指标，同时也是学术研究的热点问题。因为它是投资风险大小的极好体现，又是制定监管政策的有力导向和依据。随着我国资本市场的不断发展、成熟与壮大，市场各方参与者需要有力的规避风险的工具以维护股票市场的平稳运行，因而对股指期货被推出的需要显得尤为迫切。 经过深入研究和不断探索，2006年10月30日，中国金融期货交易正式开始沪深300股指期货的仿真交易。加之，新加坡市场推出基于我国股指为标的物的股指期货，这一离岸期货的出现，填补了无法满足投资者对我国股票市场风险规避的空白，但也意味着定价权的争夺变得尤为紧迫。2010年4月16日，我国正式推出沪深300股指期货，这对于我国金融衍生品市场的发展是重要的一步，更是划时代的一天。考察并借鉴其他国家及地区金融市场的经验，不难发现，世界其他国家或地区在推出股指期货以前或推出以后，都会探讨股指期货的推出对股票市场波动性影响的问题。同样，这个问题对我国资本市场的健康发展和平稳运行也是有着至关重要的现实意义。 基于这个出发点，本文参考前人的研究成果，不仅从理论的角度探讨股指期货对现货市场的影响，同时考虑到我国金融市场的实际情况，将定性与定量的分析方法结合起来，建立ARAM、GARCH等模型，利用ADF、ARCH-LM等检验，深入研究股指期货对股票现货波动性的影响。在实证研究中，选取沪深300股票价格指数来研究推出股指期货前后股票市场波动性的变化，也即在模型中通过一个虚拟变量来区分体现推出股指期货前与后沪深300指数收益率的波动变化。为体现沪深300成分股所在行业受此影响的程度，本文还创新性地考察了沪深300行业指数，对各个行业所受的影响进行研究，最终得出结论并指明了更深入研究的方向。
英文摘要：	The stock index futures have been the most influential and the most fast-growing derivatives since it was created and even it was not a long history. As is known to all, the stock index futures are created to manage the system risk of the stock market, but stock market crash in October 1987 in the United States causes people to find out that the stock index futures are not reliable all the time. And it is necessary to study how the introduction of the stock index futures influences the volatility of the stock market. Volatility is one of the most obvious characteristics of financial markets, and both the supervisors and the participants pay great attention to it. Meanwhile, there are lots of studies on it. Since it can demonstrate the risk of the investment and it can be the effective guide of the supervision. With the growing of our financial market, all the participants are eager to use a new tool as stock index futures to avoid the risk and make the market run steadily. After a long discussion, on October 30, 2006, the simulation trading of HS300 stock index futures started. Moreover, the stock index futures based on China stock market have started in Singapore, which means it is a little bit urgent for us to start our own stock index futures to get the pricing right back. On April 16, 2010, HS300 stock index futures officially started, which is a really big day for China financial market. That is to say, as the other countries or areas, deep study on the volatility effect of stock index futures is necessary and significant. Based on this purpose and the studies in this field before, this article focuses on it from both theoretical and practical angles. This article sets up ARMA and GARCH models and studies on the sample data before and after the introduction of stock index futures. In order to find out the impact on different industries, we innovatively study on the stock indexes of different industries. On the basis of empirical results we draw conclusions and deep analysis.
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