股指期货引入对股市波动的影响

摘要本文主要对国内外股指期货对股市波动的影响的实证研究进行综述，并对2010年我国新推出的沪深300股指期货引入后股市的波动变化进行分析，研究我国股指期货能否影响股市的波动性，又会给股市波动带来怎样的影响。运用沪深300股指期货推出前后两年的沪深300指数收盘价得到的日收益率，建立GARCH（1，1）模型进行实证分析，从而发现我国股指期货推出后现货市场的波动性下降，但影响并不十分显著，得出结论并提出相关建议。希望可以为现货和期货投资者及相关政策制定者提供参考依据。64947

关键词：股指期货；沪深300股指期货；沪深300指数；波动

毕业论文外文摘要

Title The effects of introduction of stock index futures on stock market volatility

Abstract

This paper mainly reviews the empirical studies of the stock index futures on the fluctuation of stock market at home and abroad,and stock market volatility changes are analyzed after the new CSI 300 stock index futures introduced in China in 2010.It researches if our country's stock index futures can influence stock market volatility, and how that influences to stock market volatility. Using the day returns from the CSI 300 index closing price of CSI 300 stock index futures introduced before and after two years, GARCH (1, 1) model is built to carry on the empirical analysis, and finds that the spot market volatility fall after the stock index futures introduced in, but the impact is not very significant. The article comes to the conclusion and puts forward related Suggestions. Hope it can provide the spot and futures investors and relevant policy makers with the reference basis.

Keywords: Stock index futures; CSI 300 stock index futures; CSI 300 stock index; Volatility

1 绪论 1

1.1 选题背景及意义 1

1.2 研究对象 1

1.3 国内外研究综述 2

1.4 本文研究方法与文章结构 6

2 GARCH模型简介 7

2.1 GARCH模型的概述 7

2.2 GARCH模型的基本原理 7

2.3 GARCH模型的缺陷 8

3 沪深300指数数据的处理以及相关检验 8

3.1 沪深300指数样本的选取和处理 8

3.2 对数收益率平稳性检验 9

3.3 收益率数列自相关性检验 11

4 股指期货对股票现货市场价格波动性影响的分析模型构建 12

4.1 ARCH效应的检验 12

4.2 GARCH模型的构建及检验 13

5 结论及建议 17

5.1 结论 17

5.2 建议 17

致谢 19

参考文献 20

1 绪论

1.1 选题背景及意义

1.1.1 选题背景股指期货引入对股市波动的影响:http://www.751com.cn/jingji/lunwen_72377.html