会计财务管理-股票价格波动的实证研究.docxVIP

PAGE 1 PAGE II 股票价格波动的实证研究 摘要：为探究股指期货对股市波动的具体影响，本文就上证50指数期货对相应股票指数波动影响进行实证分析，利用股票指数5分钟高频收盘数据，分全样本、推出前子样本和推出后子样本进行分别的GARCH检验，得到GARCH回归方程，并对GARCH方程的方差方程进行了分析。实证结果表明：上证50指数期货推出后，一定程度上抑制了上证50指数的波动；在股指期货推出前后，股票市场均表现出旧信息对股市波动的影响大于新信息对波动影响的特点，同时股指期货推出后新信息的传播速度加快，旧信息传播速度减缓，信息对波动的冲击有所减弱。 关键词：上证50指数；股指期货；股票波动；garch模型 Abstract: In order to explore the specific influence stock index futures on the stock market volatility, in this paper, the Shanghai 50 index futures to the empirical analysis of corresponding stock index volatility, using the data from the stock index 5 minutes high frequency points, before launching the whole samples samples and sub samples after launch of GARCH, GARCH regression equation is obtained, and the variance equation of GARCH equation are analyzed. The empirical results show that after the launch of sse 50 index futures, the fluctuation of sse 50 index is restrained to some extent. Before and after the launch of stock index futures, the stock market shows that the impact of old information on stock market volatility is greater than that of new information on volatility. At the same time, after the launch of stock index futures, the transmission speed of new information is accelerated, the transmission speed of old information is slowed down, and the impact of information on volatility is somewhat weakened. Keywords: Sse 50 index; Stock index futures; Stock fluctuations; Garch model 目 录 TOC \o 1-3 \h \z \u 1 引言 1 2 相关概述界定 2 2.1 股指期货的概念 2 2.2 股票价格指数 2 2.3 股票回购的定价 2 3 股指期货对股票市场波动影响的理论分析 3 3.1 价格引导机制 3 3.2 期限套利机制 3 4 股指期货对股票市场波动率影响的实证分析——以上证50指数为例 4 4.1 GARCH 模型介绍 4 4.2 样本选取与介绍 4 4.2.1 样本的选取 5 4.2.2 样本平稳性检验 5 4.2.3方法设计 6 4.3 上证50指数期货推出对上证50指数波动影响的实证检验 6 4.3.1 上证50指数期货推出对上证50指数波动影响的GARCH检验 7 4.3.2 上证50指数期货推出前上证50指数的GARCH检验 10 4.3.3 上证50指数期货推出后上证50指数波动影响的GARCH检验 13 5 结论 18 参考文献 18 致 谢 21 PAGE 19 1 引言 股指期货交易对股票市场的波动性影响一直是学术界关注的重点。我国的股指期货市场起步较晚，2010年4月，我国方才推出首个跨市场的沪深300指数期货合约。股指期货的推