应用时间序列分析的股指期货上市前后沪深300指数特性的变化

Changes of HS300 Stock Index Characteristics Caused by Stock Index Futures Based on Time Series Analysis

采用时间序列分析的方法,全面讨论了自沪深300股指期货上市以来,现货市场股票指数的统计特性、价格变动趋势及波动率的变化。研究表明:股指期货上市后,股票指数收益率的时间序列模型和波动率模型在结构上都没有大的变化,即期货的上市没有对现货市场造成大的冲击。这说明,我国期货市场的运行是平稳有效的。期货的成功推出深刻改变了我国证券市场以股票市场为主导的单一结构,为中国金融衍生产品的继续发展奠定了坚实的基础。

This paper adopts the method of time series analysis. Comprehensively,it discusses the statistical characteristics,price trend and volatility of the spot market changed because of the listing of HS300 stock index futures. It shows that the time sequence model and volatility model of stock index returns did not show structural change,namely the spot market was not affected by the listed futures. We can see that,China’s futures-market-operation is steady and effective. HS300 stock index futures have laid a solid foundation for the development of China’s financial derivatives.