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股指期货市场是金融市场的组成部分,是社会主义市场经济不可或缺的。股指期货市场作用的充分发挥依赖其有效性的高低,具体有四个标志:第一,市场活动的有效性;第二,有众多的交易者参加市场交易活动;第三,所有公开的信息都能够从市场价格上得到及时、准确和全面地反映;第四,市场分配的有效性。有效的金融市场对于经济的正常运行和稳步增长至关重要,研究我国股指期货市场的有效性及其实现途径,具有重大的现实意义。本文从有效市场理论出发,分析了中国股指期货交易市场标的指数沪深300指数收益率的分布特征,然后依据GARCH模型、协整理论、格兰杰因果检验对我国股指期货市场的有效性进行了检验,结果表明中国股指期货市场具有很高的持续性,但中国股指期货市场尚未达到弱式有效,市场风险较大。
The stock index futures market is an integral part of the financial market and an indispensable part of the socialist market economy. The full play of the role of the stock index futures market depends on the level of its effectiveness. There are four specific indicators: first, the effectiveness of market activities; second, a large number of traders participate in market transactions; and third, all public information Can get timely, accurate and comprehensive reflection from the market price; Fourth, the effectiveness of market allocation. An effective financial market is crucial to the normal operation and steady growth of the economy. It is of great practical significance to study the effectiveness of the stock index futures market in China and how to achieve it. Based on the theory of efficient markets, this paper analyzes the distribution characteristics of the returns of the underlying index of Shanghai and Shenzhen 300 Indexes in China’s stock index futures market. Then, based on the GARCH model, cointegration theory and Granger causality test, the effectiveness of China’s stock index futures market Test results show that China’s stock index futures market with high persistence, but China’s stock index futures market has not yet reached the weak effective, the market risk.