摘要:我国资本市场的快速发展、相关法律法规的完善，为沪深300指数期货的推出奠定了市场基础。股指期货的问世改变了传统的资本市场结构，提供了对冲风险的金融工具。本文基于沪深300指数的日收盘价展开了股指期货的推出对股票现货市场的影响研究。先简单介绍了股指期货的概念及发展过程，然后通过描述性统计分析得到沪深300收益率序列波动聚集以及尖峰厚尾特征，继而对时间序列进行平稳性检验、ARCH效应检验，建立GARCH模型进行实证研究，得到结果为沪深300指数期货的推出降低了股票现货市场的波动性，但这个幅度很小。最后根据研究结果，从投资者、监管、上市公司、期现市场的联动四个方面提出政策建议。

关键词：股指期货；平稳性检验；GARCH模型；波动性

Research on the Impact of the CSI 300 Index Futures on the Stock Market

Abstract:The rapid development of China's capital market and the improvement of relevant laws and regulations have laid a market foundation for the introduction of CSI 300 index futures. The emergence of stock index futures has changed the traditional capital market structure and provided financial instruments to hedge risks. Based on the daily closing price of the CSI 300 index, this paper studies the impact of the introduction of stock index futures on the stock market. First introduces the concept and development process of the stock index futures, and then through the descriptive statistical analysis by the Shanghai and Shenzhen 300 returns volatility clustering and leptokurtic features, and then the time series stationarity test, ARCH effect test, establish the GARCH model for empirical research, the results obtained for the launch of Shanghai and Shenzhen 300 index futures reduce volatility stock market, but the range is very small. Finally, according to the results of the study, we put forward policy recommendations from four aspects of investors, supervision, listed companies and the linkage of the current market.

Keywords: Stock index futures；stationarity test；GARCH model；Volatility

目 录

0引言 1

1国内外关于股指期货对股票现货市场影响的研究综述 1

1.1国外关于股指期货对股票现货市场影响的研究 1

1.2国内关于股指期货对股票现货市场影响的研究 2

2股指期货概述 3

2.1股指期货特点和功能 3

2.2股指期货的发展历史 5

3沪深300指数期货推出对股票现货市场影响的统计性分析 8

3.1沪深300指数日收益率的走势分析 9

3.2沪深300指数的波动性分析 10

3.3沪深300股指期货的相关性分析 12

4沪深300指数期货推出对股票现货市场影响的实证分析 13

4.1样本数据的选取 13

4.2实证模型介绍 13

4.3实证分析过程 14

4.4实证结果分析 18

5政策建议 19

5.1强化股指期货的市场监督 19

5.2提高上市公司质量 20

5.3改善投资者结构 20

5.4建立股票市场与期货市场的联动机制