沪深300股指期货上市对股市摆荡性及触动量效应

  Abstract

  April 16 ,2010 CSI300 stock index futures officially traded at the China Financial

  Futures Exchange ,which is a milestone in the development of China's financial market 。

  In reviewing the papers of domestic scholars, we found that the level of volatility in

  China focused on the qualitative level, the momentum effect study of the country has

  focused more research on the stock level, the basic use of the choice of the formation and

  holding period directly copied Jegadeesh&Titlnan research methods, and because of the

  time span and different choices on the momentum effect in the Chinese stock market ,there

  is no uniform conclusion.

  So we study dozens of industries,as well as one stock selected from each industry,

  respectively ,to study the relationship before and after the total interval with listed on the

  Shanghai and Shenzhen 300 stock index futures,we mainly use the GARCH model ,

  EGARCH model ,stochastic dominance test,as well as industry momentum effect,analysis

  of the relationship between the industry 。

  Through analysis, we get the following conclusions: 1. Stocks and industry fluctuations

  and non-analysis concluded that the CSI 300 stock index futures market have little influence

  on the total industry, telecommunications, utilities, optional industry,but have some

  influences on others, and may be the main industry accounted industry’s weight is relatively

  small, so they do not have any impact on the overall industry. 2.Dominant test, CSI 300

  stock index futures listed on the market don’t have dominated relationship on all the

  industry and all the one stock selected from each industry ,and no dominated relationship on

  A shares H

  正西服置修盖科技父亲学硕士学位论文

  Calculation of CSI 300 Index Futures’ Optimal Hedging

  Specialty: Applied mathematics

  Name: Zhang Liangliang

  Instructor: Wang Jianguo

  ABSTRACT

  As a type of futures trading, the stock index futures trading and common

  commodity futures trading has the same basic characteristics and process. Stock index

  futures is a investment tool as leverage, if we have a correct judge we can get a high

  income, investors use it to manage the stock portfolio, which prevent systemic risk (we

  usually say grail risk), or get no risking return by arbitrage.