發(fā)布時(shí)間：2018-02-14 14:37

  本文關(guān)鍵詞： 股指期貨 波動(dòng)性 GARCH模型 股災(zāi)　出處：《山東工商學(xué)院》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：股指期貨是一項(xiàng)偉大的金融創(chuàng)新,其對(duì)金融領(lǐng)域防范風(fēng)險(xiǎn)方面的發(fā)展具有重要意義。股指期貨所具有的套期保值等功能可以幫助投資者對(duì)沖風(fēng)險(xiǎn),還可以豐富投資組合,獲取更理想的收益。然而從另一方面考慮,由于股指期貨市場(chǎng)交易的高杠桿性以及市場(chǎng)內(nèi)存在眾多投機(jī)者,又往往導(dǎo)致一個(gè)較小的沖擊被數(shù)倍放大,進(jìn)而對(duì)整個(gè)資本市場(chǎng)造成一定沖擊。正是由于這兩個(gè)方面的作用,股指期貨受到眾多投資者的廣泛關(guān)注,同時(shí)也吸引很多學(xué)者對(duì)股指期貨進(jìn)行深入的研究。股指期貨對(duì)股票市場(chǎng)具有重要影響,股指期貨本身的強(qiáng)波動(dòng)性,使得投資者將股票市場(chǎng)的大幅震蕩也歸因于股指期貨,各種質(zhì)疑使股指期貨經(jīng)常處于監(jiān)管層與投資者目光聚集的焦點(diǎn)。自滬深300股指期貨推出,到現(xiàn)在已有7年時(shí)間,并且目前已是滬深300,上證50與中證500三大股指期貨并行發(fā)展的局面,然而在我國(guó)這樣一個(gè)新興市場(chǎng)國(guó)家,股指期貨市場(chǎng)的發(fā)展并非一路順暢,尤其是在資本市場(chǎng)出現(xiàn)重大事件的情況下,股指期貨便備受質(zhì)疑。就在2014年下半年開(kāi)始,到2015年6月,我國(guó)股票市場(chǎng)經(jīng)歷了一輪大牛市,股指從2000點(diǎn)短短一年時(shí)間最高漲到5178點(diǎn),而跟隨大牛市之后而來(lái)的便是慘烈的股災(zāi),在這樣的一個(gè)背景下,股指期貨被眾多投資者視為是引發(fā)股災(zāi)的“罪魁禍?zhǔn)住�。作為一�?xiàng)救市措施,監(jiān)管層于2015年9月2日發(fā)布公告,限制三大股指期貨交易,由此股指期貨市場(chǎng)“名存實(shí)亡”。本文首先分析了股票市場(chǎng)波動(dòng)性的特征和影響因素,接著分析了境外國(guó)家和地區(qū)在推出股指期貨之后,股票市場(chǎng)波動(dòng)性的變化情況,由此對(duì)比我國(guó)情況進(jìn)行分析。本文還對(duì)股指期貨對(duì)股災(zāi)影響的機(jī)理進(jìn)行了分析,接著結(jié)合實(shí)際交易數(shù)據(jù)進(jìn)一步分析我國(guó)2015年股災(zāi)的情況,論證股指期貨在股災(zāi)中扮演的角色,并分析了限制股指期貨交易所帶來(lái)的影響。計(jì)量分析部分對(duì)滬深300指數(shù)收益率序列數(shù)據(jù)先后運(yùn)用GA RCH模型,和帶有虛擬變量區(qū)分股指期貨推出與否的GARCH模型,對(duì)股指期貨對(duì)于股票市場(chǎng)波動(dòng)性的影響進(jìn)行雙重分析,又通過(guò)建立短期與長(zhǎng)期數(shù)據(jù)帶有虛擬變量的GA RCH模型,考察是否短期內(nèi)的投機(jī)因素在長(zhǎng)期內(nèi)將會(huì)回歸理性,并通過(guò)建立EGARCH模型,研究股票市場(chǎng)受利好利空信息沖擊的變化情況。經(jīng)過(guò)機(jī)理分析,事件分析以及計(jì)量分析,本文最后得出結(jié)論股指期貨并非是發(fā)生股災(zāi)的“元兇”,并且股指期貨對(duì)于股票市場(chǎng)可以起到穩(wěn)定的作用。文章最后結(jié)合研究結(jié)論,就是否應(yīng)當(dāng)恢復(fù)股指期貨交易,以及如何更有效地發(fā)展股票市場(chǎng)與股指期貨,提出了合理建議,希望能夠?yàn)楸O(jiān)管層和投資者帶來(lái)幫助。
[Abstract]:Stock index futures is a great financial innovation, which is of great significance to the development of risk prevention in the financial field. The hedging function of stock index futures can help investors to hedge risks, and can also enrich the investment portfolio. On the other hand, because of the high level of leverage in the stock index futures market and the presence of many speculators in the market, a smaller impact is often magnified several times. It is precisely because of these two roles that stock index futures have received extensive attention from many investors. At the same time, it also attracts many scholars to conduct in-depth research on stock index futures. Stock index futures have an important impact on the stock market. The strong volatility of stock index futures makes investors attribute the large volatility of the stock market to stock index futures. Stock index futures have often been under the spotlight of regulators and investors due to various doubts. It has been seven years since the launch of the Shanghai and Shenzhen 300 stock index futures. At present, the stock index futures of Shanghai and Shenzhen 300, Shanghai Stock Exchange 50 and China Stock Exchange 500 have developed in parallel. However, in an emerging market like China, the stock index futures market has not developed smoothly all the way. Especially in the case of major events in the capital market, stock index futures have been questioned. Since the second half of 2014, by June 2015, China's stock market has experienced a great bull market. The stock index rose to 5178 points from 2000 to 5178 points in a short period of one year, and following the bull market came a tragic stock market disaster. Against such a background, Stock index futures are regarded by many investors as the "chief culprits" of the stock market disaster. As a rescue measure, regulators issued a notice on September 2nd 2015 to restrict the trading of the three major stock index futures. This paper first analyzes the characteristics and influencing factors of stock market volatility, and then analyzes the changes of stock market volatility in foreign countries and regions after the introduction of stock index futures. This paper also analyzes the mechanism of stock index futures' influence on stock market disaster, then further analyzes the situation of China's stock market disaster in 2015 with actual transaction data, and demonstrates the role of stock index futures in the stock market disaster. The paper also analyzes the influence of the limited stock index futures exchange. The econometric analysis applies GARCH model to the series data of Shanghai and Shenzhen 300 index returns successively, and the GARCH model with virtual variables to distinguish whether the stock index futures are coming out or not. This paper makes a double analysis on the influence of stock index futures on the volatility of stock market, and by establishing GA RCH model of short-term and long-term data with fictitious variables, it investigates whether the short-term speculative factors will return to rationality in the long run. Through the establishment of EGARCH model, this paper studies the change of stock market under the impact of positive and negative information, through mechanism analysis, event analysis and econometric analysis. This paper concludes that stock index futures are not the culprit of the stock disaster, and stock index futures can play a stable role in the stock market. And how to develop stock market and stock index futures more effectively, this paper puts forward some reasonable suggestions, hoping to help regulators and investors.
【學(xué)位授予單位】：山東工商學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51;F724.5

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