沪深300股指期货对股票市场的波动性影响研究 金融学专业VIP免费

题目：沪深300股指期货对股票市场的波动性影响研究摘要沪深300股指期货是以沪深300指数为合约目标物的金融期货合约，并且在交割日期以沪深300指数的现货价格作为基准结算价格。作为一种具有高杠杆性的金融衍生工具，文章通过对比沪深300股指期货推出前后对股票市场波动性的影响来研究其运行机制，并为投资者选择提供相关的建议。本文选用2008年12月1日到2018年12月6日沪深300指数日收盘价作为研究对象共2438个样本数据。2010年4月16日沪深300股指期货推出。通过ADF检验，ARCH效应检验，GARCH族模型分析股指波动性对股票市场影响，实证结果得出以下主要结论：沪深300指数的时间序列将会表现出聚集的现象，在前面时段间波动一直偏大，然而在之后的时期，就会一直处于偏小的状态，证实了沪深300股指期货推出后存在一定杠杆性，放大了新信息对股市的冲击，但总体上降低了股市波动性。关键词：股指期货、沪深300指数、股指波动性、GARCH族模型I沪深300股指期货对股票市场的波动性影响研究摘要AbstractCSI300stockindexfuturesarefinancialfuturescontractswiththeCSI300indexasthesubjectmatterofthecontract,andthespotpriceoftheCSI300indexasthebenchmarksettlementpriceonthedeliverydate.Asahighlyleveragedfinancialderivativetool,thispaperstudiesitsoperatingmechanismbycomparingtheimpactofCSI300stockindexfuturesonstockmarketvolatilitybeforeandaftertheirlaunch,andprovidesrelevantsuggestionsforinvestorstochoose.ThispaperchoosestheclosingpriceofCSI300indexfromDecember1,2008toDecember6,2018astheresearchobject,andhas2438sampledata.OnApril16,2010,CSI300stockindexfutureswerelaunched.ThroughtheanalysisofGARCHfamilymodels,ThroughADFtest,ARCHeffecttest,GARCHfamilymodelisusedtoanalyzetheimpactofstockindexvolatilityonstockmarket.Theempiricalresultsshowthefollowingmainconclusions:ThetimeseriesoftheCSI300Indexwillcontinuetofluctuateinacertainperiodoftime,whilethefluctuateinthefollowingperiodwillcontinuetobesmallandclustereffectappears,whichconfirmsthatthereiscertainleverageafterthelaunchoftheCSI300IndexFutures,andenlargestheimpactofnewinformationonthestockmarket,butgenerallyreducesthevolatilityofthestockspotmarket.Keywords:stockindexfutures,CSI300index,stockindexvolatility,GARCHfamilymodelII沪深300股指期货对股票市场的波动性影响研究目錄目录摘要....................................................................IABSTRACT.......................................................................................................................II第一章绪论...........................................................11.1研究目的.........................................................11.2研究方法.........................................................11.2创新与不足......................................................21.3研究结构.........................................................3第二章国内外文献综述..............................................31.1国内文献综述...................................................21.2国外文献综述...................................................4第三章研究假设.......................................................73.1股指期货的理论基础...........................................73.1.1沪深300股指期货简介.................................73.1.2股指期货的特点.........................................83.1.3股指期货的功能.........................................93.2股指期货与股票市场波动关系..............................103.3波动性产生的原因............................................11第四章实证分析.....................................................124.1样...