中国的股票指数期货对股市市场价格波动的影响分析Analysis of the China's Stock Index Futures influence on the stock market price volatility
中国的股票指数期货对股市市场价格波动的影响分析Analysis of the China's Stock Index Futures influence on the stock market price volatility
本文从股指期货的理论基础出发，以我国沪深300期货合约的设计方案为研究对象，由海外各期货市场实际情况分析股指期货对我国股票市场价格波动性的影响，揭示我国仿真期货交易市场期货价格与股票现货市场价格波动关系，以此基础，来分析对股票市场波动性可能产生的影响，并给出结论。
本文主要是在查阅了国内外有关股指期货相关资料基础上，借助南华期货仿真模拟、大智慧国泰君安版等操盘软件，运用量化分析、EVIEWS 3.1等工具，配合详实的图片数据例证，在导师的悉心指导下进行研究。
由于中国股票市场是一个非常特殊的市场，我国期货市场价格波动性可能会大于股票现货市场价格波动性，这也是是正常有必要的，期货对新信息的快速反应将主导市场价格发现，短期可能会加大股票市场波动，在沪深300期货正式推出时，也会形成较多套利机会，长期能否稳定现货市场价格波动，抑制现今上证指数价格的宽幅震荡还需要时间的检验。总得来说，海外经验表明，股指期货的推出前后对证券市场的整体影响将呈现先扬后抑长期看涨的态势，提高股票市场信息含量，加大透明度，完善我国证券市场。
关键词：股指期货，沪深300期货合约，“领先-滞后”假说，价格波动影响
The thesis begins with the theoretical foundation of Stock Index Futures (SIF). Take China’s Shanghai 300 Stock Index Futures (IF) contract as example, analyze the price volatility influence of SIF on the China’s stock market from overseas futures markets. And thus, revealing the price volatility relationship between our country’s simulation stock market and the spot stock market. Upon these basis, the thesis further analyze the possible impact of the introduction of IF on China’s stock market price volatility, and reach a conclusion finally.
This thesis is based on the survey of Stock Index Futures related studies in and out the country. With the help of Nanhua simulation trading market software, DZH internet stock software, quantitative analysis, and EVIEWS 3.1 etc, supplied with detailed pictures and figures, implementing my research under the strict guidance of instructors.
As China's stock market is a very special one, it’s normal and necessary that China's futures market price fluctuations of the stock may be greater than the spot market price volatility. Quick response of futures to new information will dominate the market price-discovering; it will enlarge the stock market volatility in short term. And more arbitrage opportunities will appear when Shanghai 300 Stock Index futures contract officially launched. However, whether IF could inhibit Shanghai Composite Index’s wide price concussion nowadays or not still calls for the test of time. In summary, which overseas experiences also shown that, before and after IF launch, the overall price trends of the stock market is declining after rising and go up in long term. The launch of IF can enhance the information capacity of the stock market, increasing the transparency, and improve China’s securities market to a large extent.
Key words: Stock Index Futures, Shanghai 300 Stock Index Futures contract, “lead-lag” hypothesis, price volatility impact
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