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1、 单位代码10475学号 104753101309分类号硕士学位论文中国股指期货市场与现货市场的关系基于波动性和价格发现的实证研究学科、专业：管理科学与工程研究方向：资本市场机制分析申请学位类别：管理学硕士申请人：姜艳指导教师：刘锦英副教授二一三年五月 THE RELATIONSHIP BETWEEN CHINASSTOCK INDEX FUTURES MARKET ANDSPOT MARKETAN EMPIRICAL STUDY BASED ON VOLATILITY AND PRICE DISCOVERY A Dissertation Submitted tothe Graduate Sc
2、hool of Henan Universityin Partial Fulfillment of the Requirementsfor the Degree ofMaster of Management ScienceByJiang YanSupervisor: Prof. Liu JinyingMay, 2013 摘要上世纪 70年代，西方发达国家纷纷陷入了石油危机中，并由此引发了一系列的“经济滞胀”现象，市场处于严重的危机之中。在当时那个紧急的时刻为了躲避这场风险，人们迫切地盼望一种全新的金融衍生工具出现，来制止危机的继续恶化，就在此时美国出现了世界上第一个期货合约价值线期货合约（19
3、78），在此之后，世界各国尤其是西方发达国家和一些新兴的市场经济国家都陆续开展了自己国家的股指期货市场交易，在多年发展的过程中纷纷积累了丰厚的经验和财富，尝到了新的金融衍生工具带来的好处。我们国家的期货市场发展相对较晚，其探索的道路源于上个世纪末，且在刚开始时经历了一系列的波折，但也在这个过程中不断地吸取教训和借鉴成功国家的经验，从而更好地进行尝试和改革，最终促成了沪深 300指数的诞生。沪深 300指数是由上交所和深交所联合组并成的中证指数有限公司于 2006年 10月 30日首次推出，并于 4年后的2010年 4月 16日正式交易，由于这个指数占据了 A股市场 60%的有效份额，因此对现货
4、市场有着较好的代表作用，能够有效地反映证券市场运行的状况。在沪深两个市场中，沪市在主板市场中具有更为突出的作用，因此本文主要选取的市场为沪市，即用沪市的数据作为现货市场数据的代表进行分析。沪深 300指数从 2010年推出到现在也有了三年的发展，虽然时间还不长，但是已经有足够的数据可以对其进行分析。以前的很多文章由于样本容量小的原因，对期货市场与现货市场间关系研究的结果能否具有代表性还存在一定的疑问，本文试图通过搜集更多的现实数据再次对这个问题进行实证分析，同时在研究对象上与以前研究的对象进行结合，即对与投资者收益直接挂钩的波动性和价格发现进行结合，而非单纯地分析其中任一方面，希望可以得到更加
5、有力的结论，以便说明现货市场波动性的降低，是否是由股指期货市场引起的？以及期货市场能否充分的发挥其价格发现的功能？本文利用能够对投资者的决策起到重要指导意义的广义自回归条件异方差模型（GARCH模型）对 2010年 4月 16日到 2012年 3月 30日的沪深 300指数和上证综合指数日收益率进行实证分析，得到如下结论： 1、股指期货的推出确实有效降低了现货市场的波动性；2、沪深 300股指期货的推出可将指数日收益率的自相关问题进行消除，I 可以更为有效的进行信息的传递。本文证明了我国沪深 300指数的正式推出是比较成功的，但我国毕竟处于金融市场发展的初级阶段，各种非理性的投资和市场操纵现象
6、比较严重，所以为了确保以后期货市场和现货市场的平稳运行，我们一定要加强风险意识，加大风险监管力度，保证市场的健康有序发展。关键词：股指期货，股指现货，波动性，价格发现II ABSTRACT In the 1970s, the Western developed countries have been plunged into the oil crisis, and triggereda series of “stagflation” phenomenon; the market was in serious crisis. In order to avoid this risk at that
7、emergency time, people eagerly look forward to a new financial derivatives, which can stop the situationfrom bad to worse, at this time, in the United States, the worlds first futures contracts-Value Line futurescontracts(1978) have arisen. After this, all over the world, especially Western countrie
8、s and some emergentmarket economy countries are carrying out their own countrys stock index futures market transactions, andhave accumulated rich experiences and wealth in the development process of these years, and have tastedthe benefits of the new financial derivatives.The development of the futu
9、res market in our country is relatively late, and the explorationstarted from the late last century, and experienced a series of ups and downs in the beginning, but also learna lesson and learn from the experience of successful countries in the process continually, and then cancarried out attempt an
10、d reforms better, and finally led to the birth of the CSI 300 Index. The CSI 300 Indexwas first introduced by the China Securities Index Co., Ltd. On October 30,2006, which is a joint groupfrom the Shanghai Stock Exchange and the Shenzhen Stock Exchange, and four years later, transactionformally on
11、April 16,2010, because this index occupies 60% of A-share markets effective share, andtherefore have a better representation on the spot market, which can reflect the situation of the securitiesmarket effectively, in the two markets in Shanghai and Shenzhen, the Shanghai stock market has a morepromi
12、nent role in the motherboard market. This article selected the Shanghai Stock Exchange, the Shanghaistock market deta as representative of the stock market data analysis.The CSI 300 Index has three years of development from 2010 to now, although not a long time,have sufficient data can be analyzed.
13、Because of the small sample size, there are many doubts onrepresentative of the researches results about the relationship between the futures and spot markets. Thisarticle is trying to collect more realistic data and do empirical analysis on this issue again, and docombination while study on previou
14、s research object at the same time, combination the gains of investorsdirectly linked to the volatility and price discovery rather than analysis one of any aspect, and hope can geta more powerful conclusion, in order to illustrate the reduction of the volatility of the spot market, whetherIII it is
15、caused by the stock index futures market? As well as the futures market can be fully play its fuction ofprice discovery?In this paper, we use the generalized autoregressive conditional heteroscedasticity model(GARCH model), which can play an important guiding significance for the decision-making of investors.To make empirical analysis from April 16, 2010
