国债期货的推出对现货波动性影响的实证分析-金融学专业论文.docxVIP

摘 要 国债期货于 2013 年 9 月 6 日正式登陆中国金融交易所，成为了继股指期货 后，国内另一个重要的金融衍生产品。随着中国经济的发展和资本市场广度和深 度的不断扩大，市场参与者和广大投资者都对国债期货寄予厚望。然而，在我国 现实利率市场的条件下，国债期货的推出能否发挥其稳定现货市场波动，降低利 率风险的作用，众多投资者和学者都在密切关注。本文先从国际市场入手，阐述 了国债期货的产生背景，并介绍了日本及韩国国债期货推出后市场的运行情况。 为中国市场的后续运行提供了样本参考。接着，从正反两个方面讨论了国债期货 功能的发挥。最后利用国债指数数据构建 GARCH 模型，分析了我国国债期货的 推出对于国债指数的影响。实证结论表明国债期货的推出在一定程度上加剧了现 货市场波动，但增加的幅度很小，信息对价格波动性的冲击增大。同时现货市场 价格对新信息敏感度有所增加，而对旧信息的敏感度有所降低。但旧信息仍然是 引起现货市场价格波动的主要原因。表明过去的信息没有被市场充分吸收，其影 响较为持久，投资者还是主要依靠过去的信息对市场进行研究和判断。此外 EGARCH(1，1)和 TARCH(1，1)模型的结果表明国债期货推出后，现货市场的非 对称效应有所减弱。基于以上结果，笔者认为应当优化投资者结构，适度放宽市 场准入条件，吸引更多的机构投资者尤其是银行、保险等机构进入国债期货市场 交易。同时也要加强投资者教育，完善市场监管体系，进而促进国债期货稳定现 货市场，规避利率风险的功能的发挥。 关键字： 国债期货，现货市场，波动性，GARCH/TARCH/EGARCH 模型 Abstract On September 6, 2013 Treasury futures officially landed in China Financial Exchange, then became another important domestic financial derivatives. With the development of Chinas economy, market participants and investors pay much attention and hope to Treasury futures. However，under the conditions of the real market interest rates, Treasury futures play a key role in stabling the volatility of spot market and lowing interest rate risk, many investors and academics are watching closely . This paper begins with the international market, elaborates the background of treasury futures, and introduces in Japan and South Korea after the launch of the operation of government bond futures market to provide a sample reference for subsequent runs of the Chinese market. Then, it will discuss the functions of bond futures from both positive and negative aspects. Finally, using the bond index data to construct GARCH model, analyzes the introduction of the Treasury bond futures index impact. The empirical results show that the introduction of bond futures to some extent exacerbated the stock market volatility. But the rate of increase is small, the impact of information on price volatility increases. While spot market prices have increased sensitivity to new information, and the sensitivity of