| Stock index futures is a great financial innovation,and it is of great significance to the development of risk prevention in the financial field.The functions of stock index futures,such as hedging,promote the risk dispersion and smooth operation of the stock market.Through the stock index futures market,investors can also enrich their portfolios and obtain better returns.However,on the other hand,due to the stock index futures market trading high leverage and market memory in many speculators,often leads to a smaller impact is magnified several times,and then have a certain impact on the entire capital market.Because of these two aspects,stock index futures,an important financial innovation product,has attracted extensive attention of many investors,and has attracted many scholars to study stock index futures.Stock index futures have an important impact on the stock market,while stock index futures have strong volatility,Investors are also attributed to the stock market volatility due to stock index futures,all sorts of questions make stock index futures always focus in the eyes of regulators and investors.Since Shanghai and Shenzhen 300 stock index futures officially launched in April 16,2010,it has been 7 years now,And now is the CSI 300,SSE 50 and CSI 500,the three major stock index futures development in parallel,however,in China,an emerging market country,the development of stock index futures market is not all the way smoothly,Especially in the event of capital market events,stock index futures have been questioned.It began in the second half of 2014,to June 2015,China's stock market has undergone a huge bull market,the stock index from 2000 points in a short period of one year rose to the highest 5178 points,and follow the bull market after the stock market crash is fierce,in such a context,the stock index from 2000 points in a short period of one year rose to the highest 5178 points,and follow the bull market after the stock market crash is fierce,in such a background,arch-criminal stock index futures by many investors as "triggered the stock market crash".As a rescue measures,regulators in September 2,2015 announcement,the three limit of stock index futures,the stock index futures market "name".This paper first analyzes the characteristics and influencing factors of stock market volatility,and then compared the various countries and regions after the launch of stock index futures,the change trend of the stock market,the analysis compares China's situation.The mechanism of the effect of stock index futures on the stock market crash is analyzed,and then combined with the actual transaction data for further analysis of China's stock market crash of 2015,that stock index futures play in the role of the stock market crash,and analyzes the impact of the stock index futures exchange limited.In the empirical research part,the Shanghai and Shenzhen 300 index yield series data are introduced according to stock index futures,and the stock index futures trading in September 2,2015 is restricted as the segmentation point,GARCH model and GARCH model with dummy variables to distinguish stock index futures have been used,this paper makes a double analysis of the influence of stock index futures on the stock market volatility,and establishes a GARCH model with dummy variables for both short and long term data,to investigate whether the speculative factors in the short run will be rational in the long run,and to study the change of the stock market's positive and negative information by the asymmetric EGARCH model.Through mechanism analysis,event analysis and quantitative analysis,this paper finally draws the conclusion of stock index futures is not the "culprit" crash,and the stock index futures to stable stock market can play a role in.According to the results of empirical analysis,it shall resume the stock index futures,and how to more effectively develop the stock index futures and stock market,put forward reasonable suggestions,hoping to help the regulators and investors. |
PDF Full Text Request