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《中國(guó)股市大幅波動(dòng)期間股指期貨對(duì)指數(shù)現(xiàn)貨波動(dòng)影響》由會(huì)員上傳分享,免費(fèi)在線(xiàn)閱讀,更多相關(guān)內(nèi)容在教育資源-天天文庫(kù)。
1、中國(guó)股市大幅波動(dòng)期間股指期貨對(duì)指數(shù)現(xiàn)貨波動(dòng)影響 摘要:針對(duì)股指期貨做空機(jī)制與做多機(jī)制對(duì)指數(shù)現(xiàn)貨的影響有無(wú)異同的問(wèn)題,將2014年7月至2015年8月間中國(guó)股市的大幅波動(dòng)分為上漲期和下跌期,通過(guò)滬深300股指期貨以及滬深300指數(shù)現(xiàn)貨每5分鐘的數(shù)據(jù),利用Garman&Klass波動(dòng)率度量公式、雙變量GARCH模型和EGARCH模型來(lái)分析波動(dòng)中股指期貨對(duì)指數(shù)現(xiàn)貨波動(dòng)的影響。研究認(rèn)為,在市場(chǎng)處于大幅波動(dòng)期,股指期貨和指數(shù)現(xiàn)貨兩個(gè)市場(chǎng)之間存在雙向價(jià)格引導(dǎo)關(guān)系,其中指數(shù)現(xiàn)貨市場(chǎng)處于主導(dǎo)地位,兩個(gè)市場(chǎng)之間風(fēng)險(xiǎn)是相互傳遞的,其中指數(shù)現(xiàn)貨市場(chǎng)的風(fēng)險(xiǎn)傳遞更加顯著
2、;在中??股市波動(dòng)的利多階段,股指期貨的負(fù)收益會(huì)促進(jìn)指數(shù)現(xiàn)貨的波動(dòng),在利空階段,股指期貨的負(fù)收益影響大于正收益影響,股指期貨的做空機(jī)制對(duì)指數(shù)現(xiàn)貨市場(chǎng)帶來(lái)的影響大于做多機(jī)制帶來(lái)的影響;股指期貨以其本身固有的領(lǐng)先于股指的特性,在應(yīng)該抑制波動(dòng)的時(shí)候反而加劇了波動(dòng),造成了負(fù)面影響,中國(guó)金融市場(chǎng)應(yīng)重視其負(fù)面影響,并采取有效措施來(lái)加強(qiáng)對(duì)負(fù)面影響的控制關(guān)鍵詞:股指期貨;指數(shù)現(xiàn)貨;風(fēng)險(xiǎn)傳遞;做空機(jī)制;市場(chǎng)波動(dòng)17中圖分類(lèi)號(hào):F830.91文獻(xiàn)標(biāo)志碼:A文章編號(hào):16716248(2017)02006408Abstract:Inviewofthesimilarit
3、iesanddifferencesthatshortsellingmechanismandlongmechanismofstockindexfuturesaffecttheindexspot,thesharpfluctuationofChinasstockmarketwasdividedintorisingandfallingperiodsfromJuly2014toAugust2015.Basisonthedataofevery5minutesoftheCSI300stockindexfuturesandtheCSI300indexspot,t
4、hispaperanalyzedtheimpactofstockindexfuturesonindexspotvolatilityduringthesharpfluctuationbyGarman&Klassvolatilitymeasurementformula,bivariateGARCHmodelandEGARCHmodel.Theresultsshowthatthereisatwowaypricerelationshipbetweenthestockindexfuturesmarketandindexspotmarketduringthe
5、sharpfluctuationofthemarket,inwhichtheindexspotmarketisdominantwithmoresignificantrisktransmissionandtherisksbetweenthetwomarketsarecommunicatedwitheachother;inthebullishperiodofChinasstockmarketvolatility,thenegativereturnofstockindexfutureswillpromotethevolatilityoftheindex
6、spot.Inthebadstage,thenegative17impactofstockindexfuturesisgreaterthanthepositiveeffect.Theimpactofshortsellingmechanismofstockindexfuturesonthespotmarketisgreaterthanthatoflongmechanism;bythecharacteristicsofinherentprecedencyoverstockindex,stockindexfuturesexacerbatevolatil
7、itywhenitshouldcurbvolatility,causingnegativeeffects.Chinasfinancialmarketshouldpayattentiontoitsnegativeeffectsandtakeeffectivemeasurestostrengthenthecontrolofthenegativeimpact.Keywords:stockindexfutures;indexspot;risktransfer;shortsellingmechanism;marketvolatility股指期貨具有套期保值
8、的功能,能夠使投資者有效地規(guī)避市場(chǎng)風(fēng)險(xiǎn),在金融市場(chǎng)發(fā)揮著舉足輕重的作用。在發(fā)達(dá)國(guó)家的金融市場(chǎng)上,機(jī)構(gòu)投資者作為投資主力,在市場(chǎng)上占有較大