毕业论文--沪深300股指期货与现货市场的联动效应研究.docx

本科毕业论文 题 目 沪深300股指期货与现货 市场的联动效应研究  指导教师 职称 学生姓名 一二三 学号xxxxxxxxxxxx 专 业 班级 二班 院 （系） 完成时间 2016年4月30日 PAGE I 沪深300股指期货与现货市场的联动效应研究 摘 要 随着经济市场的发展，经济全球化已经是每个国家的经济必经的道路，因此每个国家的进出口贸易都十分的频繁，同时增加了各国贸易结构的复杂度。单一市场的价格也越来越容易受到外来因素的影响而引起波动，这种情况在经济学中被称为联动效应。联动效应也存在于证券、期货和外汇市场等经济交易中，减少了诸多限制因素。 在2014年年中，金融期货交易正式进行了沪深300股指期贷的推出。该项举措为中国日后的经济市场不仅仅起到了指导的作用，同时也完善了我国的金融市场当中的不足和缺陷，不断向国外先进完备的金融交易市场靠近。如今，对于该项举措的推出，对于我国的经济市场的影响到底多深，究竟将我国的金融事业进行了怎样的变化，一直都是各界学者争执不下的话题。 本篇论文主要对于三百多个交易日及沪深300现货指数以及股指期货的价格的联系进行了研究，并且利用单位根及协调检验等多种检验方法对其进行分析。结果表明，这两者间的价格联系主要为单向的引导，而期货在市场当中则是产生了一种价格发现的作用。但是该作用在现货市场当中要弱一些。 关键词 沪深300/联动效应/实证分析 Empirical Research on Coupling Effects between Hushen 300 Stock Index Future and Spot Market ABSTRACT Because of the drastic volatility of the stock index futures, people also think the stock index futures as the reason of the spot volatility and investors often put the stock index futures on the head of the hazards. Stock futures, as one of financial derivatives, take great part in hedging, price discovery function and resource allocation so that it can reduce the volatility of the spot market in some extent. In the same time, the leverage effect of the stock index futures together with the speculator in the financial market make the drastic impact on the spot market. In our country, the relevant government released the first stock index futures in April 16th,2010, named HS300 stock index futures and began the development of the stock index, playing great role in our financial market and promoting the development of our financial market. The HS300 stock index futures attract great attention and discussion since it launched. Because the short operation of the HS300 stock index futures and the problem is so complicate, different people take different opinion towards this problem. The paper using the VAR model, JJ co-integration test and vector error correction model,