股指期货与股票现货市场关系研究.doc

中文摘要在中国,推出股指期货成为近期的热点。关于股指期货应该何时推出,股指期货推出后是否对现货市场产生很大的影响,以及股指期货与现货市场的变化有什么互动关系等等,都成为颇受争议的问题。该文分析了一些实证的研究结果, 主要从指数期货与股票现货市场指数波动性比较分析、指数期货推出前后股票现货市场指数运行特征分析、指数期货推出前后股票现货市场指数波动性比较分析这三方面来进行探讨和研究,进而考察指数期货与股票现货市场的互动关系,试图对我国指数期货投资策略的制定起到一定的参考意义。在这三方面的研究中, 依次采用了引用数据法、图表分析法以及GARcH模型法来进行分析。前两种方法选取了国外主要证券市场来分析股指期货与现货市场的波动关系,最后一种方法主要是引用香港恒生的数据进行了统计估计,实证出股指期货交易并不增加现货价格的波动性。最后通过对这三点的综合,得出的结论是:股指期货的推出从长期来看对股市现货影响不大,而且还有促进的作用;但指数期货的推出时机选择对标的物指数的短期走势有重要影响,对选择推出时机具有重要的政策参考意义。关键词:股指期货波动性GARcH模型 Abstract This paper disc usses som e questio ns follows:When sh ould begin to trade stock index fut ures in country?W ill it haVe much influe nce on the stock market? What ’ s Lhe relationship between the stock index futures and the stock market?Firstly ,pare the V01atility between the stock index futures and the st ock market, by quoting history d ata. Secondly, I use the chart to analysis the character befor e and after the anticiDation of the stock index futures into stocks market. Finally, I us e the GARCH mo del estimate the coefficient of the V ariable, which stan ds for the influe nce on the volatility of stock mar ket after the anticiDaL ion the stoc k index future s. The resu lt this coefficient is statistically not first two methods refer to the data in main foreign security I玎arkets,while th e third makes us e of conclusion , begin to trade stock index f utures in our countr v。 w订1 have little influ ence the volatility of stoc k market for the lo ng run. ev en benefit the stock oweVer, it will significantly affect the short~tim e trend of the stock fore, this analysis coul d have so me implication for the p01icy of when should we begin t o trade stock index futures. Key Words:stock index future s, Volatil ity,(诅RCH model 一、导论(一)股指期货简介 1、股指期货定义股票指数期货是指以股票指数为交易标的的期货合约。股票指数即股票价格指数,是由证券交易所或金融服务机构编制的表明股票行市变动的一种供参考的指示数字。般票指数常常公开发布,作为市场价格变动的指标,用以检验投资的效果和预测股票市场的动向。 2、股指期货的功能从理论上看,一方面,股票指数期货交易发挥了稳定证券市场与规避投资风险的积极功能,扩大了证券市场的规模;增加了机构投资者对获取证券市场新信息的渠道,提高了对新信息反应的速度