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论文编号：	3611
作者编号：	2220080933
上传时间：	2011/11/4 15:05:38
中文题目：	沪深300指数期货的推出对我国股票市场的影响——基于跨市场联动效应的实证检验
英文题目：	The Impact of HS300 Index Futures to China Share Market——Based on the Empirical Research on the Cross-Market Linkage Effect
指导老师：	张永强
中文关键字：	关键词：股指期货；跨市场联动效应；Granger因果检验；波动率
英文关键字：	Key Words: Share Index Future, Cross-Market Linkage effect, Granger Causality Test, Volatility
中文摘要：	随着我国经济持续高速的发展，中国金融市场风起云涌，商品期货市场的规模日益扩大，已成为国际大宗商品期货交易重要组成部分，三大商品期货交易所的多项指标也跃居全球同行前列，这表明中国商品期货市场潜力十足。国际经验显示，金融期货（期权）向来是国际期货市场的重头（约占国际期货市场成交量的90％以上），在金融期货中，又有约40％是股指期货（期权）。在沪深300指数期货推出前后的155个交易日中，本文采用Granger因果检验方法，研究了中国内地、香港和美国三大股票市场上代表性指数的总体表现。经过实证检验，我们发现：（1）和股指期货推出后相比，在股指期货推出以前，我国内地A股的市场指数震荡次数更多，震荡幅度更大；（2）股指期货推出后，中国内地和美国股票市场波动性却显著增强；（3）在中国内地、香港和美国三个市场中，各自代表性指数在沪深300指数推出前后发生了显著的结构性反转；（4）股指期货的推出，使得我国证券股票市场与美国的证券股票市场两者的跨市场联动性增强。本论文主要分为五章：在第一章中，叙述论文的选题依据，以及相关的文献综述；第二章中则分析期货和股指期货合约相关的概念、定价与套期保值等内容；第三章中，讨论沪深300指数期货的运行情形，第四章则从实证研究的角度论证股指期货的推出对我国股票市场的影响。第五章为结论与政策建议。
英文摘要：	As China's economy continued to develop at high speed, China's financial market blustery and the scale of the commodity futures market is expanding gradually, which has become the important constituent of the international commodity futures trading. Three exchanges markets of commodity futures in china also has many indicators forefront of peer in the world, which reflects that the potential of China commodity futures market is dye-in-the-wood. International experience suggests that the financial futures, we named it as option, is always the important part of international futures market, which occupies 90% of the international futures market volume, and stock index futures (option) takes about 40 percent of financial futures. The paper uses a sample composed of 155 trading days, which were chosen pre and after the initial launching of the HS300 share index futures. By implementing the Granger causality method, we examined the overall performance of the representative share index in three different stock markets around the world, China Mainland, Hong Kong and U.S., which would react to the event. We found some interesting results as follows: First of all, the frequency and range of the concussion from the China A-share index become even drastically before the HS300 share index futures appeared on the market. Secondly, both on the China Mainland and US markets, the representative share index reacted more volatile towards the appearance of the HS300 share index futures. Thirdly, all representative indexes of share markets have changed structurally since the 16th, April, 2010. Last but not least, the cross-markets linkage effect between the share markets of Mainland and American has been strengthened significantly, being the existence of HS300 share index future. There are five chapters in this essay. In chapter 1, we discuss the reason why we study this topic and review the literature. In the second chapter, we analyze the definition, pricing essentials and hedging of futures, and that of stock index futures. We illustrate the market behavior of the HS300 share index futures in Chapter 3. In Chapter 4, we examine the impact of HS300 index futures to China share market based on the empirical research. Then we conclude and put forward some policy suggestions in the final chapter.
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