股指期货论文.doc

1I 摘要 股指期货是我国资本市场的一项重大制度创新，它能否在金融市场中的发 挥其价格发现功能对我国金融市场资金有效配置和金融体系的完善有着举足轻 重的作用。研究股指期货和股指现货价格之间的关系对金融投资和规避市场风 险有重要的指导意义。本文立足于我国股指期货的发展现状，采用 Granger 因 果检验分析沪深300股指现货和股指期货价格3月31日至4月28日每五分钟 同步数据的联动关系，得出两个市场相互影响，互为因果。又通过 E-G 两步法 协整检验分析得出二者存在长期稳定关系，进一步通过向量误差修正模型 （VEC 模型）分析分别得出二者在短期内当价格偏离长期均衡价格时，受偏离 长期均衡离差的影响较小。基于前面的实证研究，本文最后对稳健发展我国股 指期货市场提出了几点政策建议。 关键词股指期货，Granger 检验，E-G 协整检验，VEC 模型 AbstractStock index futures is a major institutional innovation in Chinese capital market, it can play the role of directing spot price in the financial markets in the development of effective allocation of financial markets and sound financial system plays an important role. The study of stock index futures and index the relationship between spot prices of financial investment and to avoid market risks have important guiding significance. This paper is based on the current development of stock index futures, using Granger causality test of the Shanghai and Shenzhen 300 stock index and stock index futures prices that from March 31 to April 28 of the linkage between synchronous data, and obtained that the two markets have interaction. Then through the E-G two-step cointegration test we get that long-term stable relationship exists between the two markets. The vector error correction model VEC model analysis shows that both in the short run when prices deviate from the long-run equilibrium price, by the deviation from the long-run equilibrium difference was less affected. Based on previous empirical research on Chinese stock index futures market, we put up with several policy recommendations for developing sound. Key words Stock index futures, Granger test, E-G cointegration test, VEC model II 目录 摘要................................................................I Abstract............................................................I 目录...............................................................II 一、股指期货价格的理论概述..........................................1 （一）股指期货的定价原理 ........................................1二 股指现货与股指期货的理论关系 ..............................2 （三）影响股指期货价格的其它因素 ................................3 二、我国股指期货的发展历程及现状....................................4 （一）我国股指期货的发展历程 ....................................4 （二）我国股指期货上市后现状 ....................................5 三、沪深300指数与股指期货价格的实证分析............................7一 数据描述 ..................................................7二 实证分析 ..................................................8 四、研究结论与政策建议.............................................13 （一）研究结论 .................................................13 （二）政策建议 .................................................13 参考文献............................................................1 致谢................................................................21 沪深300 指数与股指期货价格关系的实证研究 2010年4月16日，我国终于迎来了股指期货的上市，股指期货的推出， 是我国资本市场的一项重大制度创新，必将对进一步完善资本市场体系和促进 资本市场功能的发挥起到非常重要的作用。股指期货上市给我国衍生品市场带 来了诸多发展机遇，促进了金融市场一体化、功能化，改变金融市场运行规律， 促进市场拓展和深化，而且