股指期貨市場與股票現(xiàn)貨市場的相關(guān)性研究

15700字
原創(chuàng)畢業(yè)論文，僅在本站獨家提交，大家放心使用

目 錄
摘要 1
ABSTRACT 2
引言 3
第1章 我國股指期貨市場的發(fā)展歷程 4
1.1 股指期貨的概述 4
1.2 我國股指期貨發(fā)展歷程 4
第2章 我國股指期貨市場與股票現(xiàn)貨市場價格發(fā)現(xiàn)關(guān)系研究 7
2.1 價格發(fā)現(xiàn)概述 7
2.2 價格發(fā)現(xiàn)功能分析 8
2.2.1 價格發(fā)現(xiàn)功能旳內(nèi)涵 8
2.2.2 股指期貨價格與股票現(xiàn)貨價格關(guān)系分析 9
2.2.3 股指期貨價格發(fā)現(xiàn)理論 9
2.2.4 股指期貨價格發(fā)現(xiàn)功能機制 10
第3章 我國股指期貨市場與股票現(xiàn)貨市場流動性關(guān)系研究 12
3.1 流動性概述 12
3.2 流動性實證分析 13
3.2.1 運用深度指標分析 13
3.2.2 運用緊度指標分析 14
3.2.3 運用彈性指標分析 16
第4章 我國股指期貨市場與股票現(xiàn)貨市場波動性關(guān)系研究 18
4.1 波動性概述 18
4.2 波動性實證分析 19
4.2.1研究市場選擇及數(shù)據(jù)處理 19
4.2.2 滬深 300 股票現(xiàn)貨市場的基本數(shù)據(jù)特征分析 19
第5章 結(jié)論與建議 22
5.1 結(jié)論 22
5.2 建議 23
參考文獻 25

[摘要]：本文以我國股票現(xiàn)貨市場和股指期貨市場為研究對象，重點從價格發(fā)現(xiàn)、流動性和波動性三方面來研究兩個市場的相關(guān)性，幫助投資者加深對股指期貨的理解，為自己的投資策略提供相關(guān)的依據(jù)，幫助監(jiān)管部門進一步采取相應(yīng)的措施和策略，以促進股指期貨市場健康穩(wěn)定發(fā)展。文章首先介紹了我國股指期貨市場的發(fā)展歷程，第二，在價格發(fā)現(xiàn)方面，通過分析股指期貨價格與股票現(xiàn)貨價格關(guān)系，以及論述股指期貨價格發(fā)現(xiàn)功能機制來研究二者相關(guān)性，第三，在流動性方面，通過運用深度指標、緊度指標和彈性指標進行實證分析來研究二者相關(guān)性，第四，在波動性方面，通過對滬深300股票市場的基本數(shù)據(jù)的處理和分析來研究二者相關(guān)性，最后從制度監(jiān)管和投資方面給出了四點建議，為我國期貨市場的發(fā)展和完善提供借鑒。

[關(guān)鍵詞]：股票現(xiàn)貨市場；股指期貨市場；價格發(fā)現(xiàn)；流動性；波動性


ABSTRACT
In this paper, China's stock index futures market and spot market as the research object, the focus from price discovery, liquidity and volatility of the three areas to study the correlation between two markets to help investors deepen their understanding of stock index futures , for their own investment strategy provide a basis to help the regulatory authorities to take further appropriate measures and strategies to promote healthy and stable development of the stock index futures market .
The article first introduces the development of China's stock index futures market , and the second , in terms of price discovery , to study the correlation between the two by analyzing the stock index futures prices and spot prices , as well as discuss the mechanism of stock index futures price discovery function , and the third in mobility , through the use of depth indicators , tightness and elasticity index indicators empirical analysis to investigate the correlation between the two , and the fourth in terms of volatility , through processing and analysis of CSI 300 stock market data to study two basic by correlation Finally, four-point proposal from the regulatory regime and investment, China's futures market to provide a reference for the development and improvement.

[ Keywords ] : the spot market ; stock index futures market ; price discovery ; liquidity ; volatili