股指期货对股票现货市场波动性的影响研究——兼论2015年股灾成因

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1、浙江工商大学硕士论文股指期货对股票现货市场波动性的影响研究一兼论2015年股灾成因Riskandvolatility，asthetwomajorcharacteristicsoffinancialmarket，hasbeenresearchedmanytimesbydomesticandoverseasscholars，especiallyonvolatilityofstockmarketcausedbystockindexfutures．Somethinksstockindexfutureshasdeepenedthedepthofstockspotmarket，impr

2、ovedtheefficiencyofpricediscovery，reducedthevolatilityofstockmarket．Anotherinsistsstockindexfutureshasenhancedthevolatilitysinceits’highlyleveragedfeatures，especiallyduringthestockmarketcrashinOctober1987．TheabnormalfluctuationofstockmarketinourcountryoccurredinJune2015，alsocausedmanycriti

3、cismonstockindexfuturesThispaperresearchHS300stockindexfutures’impactonspotmarketduringbothsteadyoperatingmarketandabnormaloperatingmarketbyadoptingthecombinationoftheoryandempiricalmethods．Firstly，thispapertakeuseoftheoreticalmethodstoanalysetheimpactofthefuturesmarkettospotmarketvolatili

4、ty,reviewingthedevelopmentofforeignstockindexfuturesmarketandfunctions，makinganqualitativeanalysisoftheinfluenceofstockindexfuturesonthestockmarketvolatility．Secondly，basedonthefuturesmarketandspotmarkettransactiondata，takethedailyclosingpricefromApril17，2006toApril16，2014astheresearchobje

5、ct，andprocessafirstorderdifferentialtoobtaintheHS300stockindexfutures’dailyyieldsequence，usingGARCHmodelexamtheimpactofHS300stockindexfuturesonstockmarketvolatilityIV万方数据浙江工商大学硕士论文股指期货对股票现货市场波动性的影响研究一兼论2015年股灾成因empirically．Inaddition，throughtheanalysisofthemarkettransactiondatafrom2015．5to

6、2015．9，analyzethefunctionofHS300stockindexfuturesduringabnormaloperatingmarket．Finally，choosefuturespricesequenceandindexpricesequencefrom2015．1to2015．12，establishaVECmodeltotesttherelationshipbetweenspotmarketpriceandfuturesmarketpriceduringthecrashofstockmarket．Inthispaper,thestudyfmdtha

7、ttheintroductionofHS300stockindexfutureswillreducethevolatilityofthespotmarket，butthereductionisnotremarkable．Duringthecrashofstockmarket，HS300stockindexfuturesplayedanimportantroleinriskhedging，andit’Snotaninducingfactorinstockcrash．Inaddition，thespotmarketpr