导　　师： 杜金岷

学科专业： 020204

授予学位： 硕士

作　　者： ;

机构地区： 暨南大学

摘　　要： 本文以沪深300股票指数以及中小板指数为研究对象，着重研究沪深300股指期货的推出对我国股票市场的影响。通过使用格兰杰因果检验、GARCH/(1,1/)模型以及EGARCH/(1,1/)模型等实证方法，笔者研究了沪深300股指期货与现货市场价格的联动效应、沪深300股指期货的推出对股票市场的波动性影响以及沪深300股指期货的推出对股票市场的流动性影响这3个问题。实证结果发现：（1）沪深300股指期货与现货市场之间有着较强领先—滞后关系，股指期货的价格发现作用能够很好地发挥，且期现货市场间存在协整关系。（2）沪深300股指期货的推出同时降低了成分股市场以及非成分股市场的波动性幅度。（3）沪深300股指期货的推出增强了成分股市场及非成分股市场的流动性。针对上述实证结论，本文提出了健全法规、降低套利成本、信息公开等相应的政策建议，以期能为促进股指期货及股票市场的发展贡献力量。 This paper studies the impact of the CSI300stock index futures on China's stockmarket through choosing the CSI300stock index and the small board index assamples. By using Granger causality test, GARCH /(1,1/) model and the EGARCH/(1,1/)model, this paper does research on the price linkage effects between the CSI300stock index futures and the spot market as well as the impact on the volatility andliquidity of stock market for the introduction of index future. The empirical resultsshow that:/(1/)There is a strong lead-lag relationship between the CSI300indexfutures and spot market, which means that the price discovery function of stock indexfutures can play well. Also the co-integration relationship exists between the spotmarket and the future market./(2/)The volatility of the whole stock market reallyreduces because of the introduction of stock index future./(3/)CSI300stock indexfuture enhances the liquidity of the constituent market and the non-constituent market.In response to these empirical results, this paper proposes some policyrecommendations in order to be able to contribute to promoting the development ofstock index futures and stock markets.

关 键 词： 沪深 股指期货 价格发现 波动性 流动性

领　　域： [经济管理] [经济管理]