股指期貨市場(chǎng)與股票現(xiàn)貨市場(chǎng)的相關(guān)性研究

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目 錄
摘要 1
ABSTRACT 2
引言 3
第1章 我國(guó)股指期貨市場(chǎng)的發(fā)展歷程 4
1.1 股指期貨的概述 4
1.2 我國(guó)股指期貨發(fā)展歷程 4
第2章 我國(guó)股指期貨市場(chǎng)與股票現(xiàn)貨市場(chǎng)價(jià)格發(fā)現(xiàn)關(guān)系研究 7
2.1 價(jià)格發(fā)現(xiàn)概述 7
2.2 價(jià)格發(fā)現(xiàn)功能分析 8
2.2.1 價(jià)格發(fā)現(xiàn)功能旳內(nèi)涵 8
2.2.2 股指期貨價(jià)格與股票現(xiàn)貨價(jià)格關(guān)系分析 9
2.2.3 股指期貨價(jià)格發(fā)現(xiàn)理論 9
2.2.4 股指期貨價(jià)格發(fā)現(xiàn)功能機(jī)制 10
第3章 我國(guó)股指期貨市場(chǎng)與股票現(xiàn)貨市場(chǎng)流動(dòng)性關(guān)系研究 12
3.1 流動(dòng)性概述 12
3.2 流動(dòng)性實(shí)證分析 13
3.2.1 運(yùn)用深度指標(biāo)分析 13
3.2.2 運(yùn)用緊度指標(biāo)分析 14
3.2.3 運(yùn)用彈性指標(biāo)分析 16
第4章 我國(guó)股指期貨市場(chǎng)與股票現(xiàn)貨市場(chǎng)波動(dòng)性關(guān)系研究 18
4.1 波動(dòng)性概述 18
4.2 波動(dòng)性實(shí)證分析 19
4.2.1研究市場(chǎng)選擇及數(shù)據(jù)處理 19
4.2.2 滬深 300 股票現(xiàn)貨市場(chǎng)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(xiàn) 25

[摘要]：本文以我國(guó)股票現(xiàn)貨市場(chǎng)和股指期貨市場(chǎng)為研究對(duì)象，重點(diǎn)從價(jià)格發(fā)現(xiàn)、流動(dòng)性和波動(dòng)性三方面來(lái)研究?jī)蓚€(gè)市場(chǎng)的相關(guān)性，幫助投資者加深對(duì)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(jìn)一步采取相應(yīng)的措施和策略，以促進(jìn)股指期貨市場(chǎng)健康穩(wěn)定發(fā)展。文章首先介紹了我國(guó)股指期貨市場(chǎng)的發(fā)展歷程，第二，在價(jià)格發(fā)現(xiàn)方面，通過(guò)分析股指期貨價(jià)格與股票現(xiàn)貨價(jià)格關(guān)系，以及論述股指期貨價(jià)格發(fā)現(xiàn)功能機(jī)制來(lái)研究二者相關(guān)性，第三，在流動(dòng)性方面，通過(guò)運(yùn)用深度指標(biāo)、緊度指標(biāo)和彈性指標(biāo)進(jìn)行實(shí)證分析來(lái)研究二者相關(guān)性，第四，在波動(dòng)性方面，通過(guò)對(duì)滬深300股票市場(chǎng)的基本數(shù)據(jù)的處理和分析來(lái)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(diǎn)建議，為我國(guó)期貨市場(chǎng)的發(fā)展和完善提供借鑒。

[關(guān)鍵詞]：股票現(xiàn)貨市場(chǎng)；股指期貨市場(chǎng)；價(jià)格發(fā)現(xiàn)；流動(dòng)性；波動(dòng)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