股指期货对我国证券市场的影响分析

本文通过对股指期货所具有的特点进行论述,分析了股指期货的推出对我国证券市场产生的有利和不利的影响,并提出了具有针对性的策略和建议.     

我国股指期货交易中的熔断制度

我国股指期货仿真交易正在进行中,相关的制度与规定在此过程中不断地得到修改与完善.其中,国际期货市场中的熔断机制也被运用到我国股指期货交易中.目前我国股指期货交易运用的熔断制度,体现了股票现货市场和期货市场投资主体的行为、意识形态的特点.文章分析了我国股指期货交易中熔断制度设计的特点,阐述了熔断点、熔断启动时间和熔断生效时间安排的合理性,并针对我国股指期货熔断制度的不足提出相关的修改建议.     

机构投资者股指期货会计信息披露——基于风险管理视角

股指期货的高风险性要求会计必须提供及时准确的信息以便相关利益者作出有利的决策.文章通过分析股指期货特有的风险,结合我国衍生金融工具信息披露有关要求,提出股指期货风险管理相关的会计信息质量要求,并力求探寻股指期货风险管理相关的会计信息披露方式.     

我国股指期货市场的周内效应研究

文章通过建立GARCH(1,1)模型研究我国股指期货市场上沪深300股指期货、中证500股指期货和上证50股指期货的周内效应,研究发现随着我国期货投资者结构的完善和产品品种的丰富,沪深300股指期货存在的周内效应也发生了变化,甚至消失,而中证500股指期货和上证50股指期货则不存在周内效应,说明我国股指期货市场变得更有效率。     

股指期货对我国证券市场的影响分析

本文通过对股指期货所具有的特点进行论述，分析了股指期货的推出对我国证券市场产生的有利和不利的影响。并提出了具有针对性的策略和建议。     

我国股指期货推出对股票市场波动性的影响研究——基于沪深300股指期货仿真交易和正式交易

2010年4月16日我国正式推出股指期货,在这一年中,股票波动受各种因素影响,在股指期货推出一年之后,选取沪深300指数,建立GARCH模型探究我国股指期货的推出对我国股票市场波动性的影响,进行实证研究发现,股指期货正式推出对股票市场波动性的影响很小。     

浅议推出股指期货所面临的问题与对策

近来,有关中国如何开创股指期货的讨论十分热烈,推出股指期货已成为证券、期货市场上的热门话题.证监会、期货行业协会负责人均一再表示推出股指期货的时机已经成熟,应尽早开设股指期货交易.然而,股指期货的建立与发展不应脱离我国证券、期货市场的实际状况,特别是在中国加入WTO,放开市场限制,允许外资逐步进入金融证券市场后,这些问题就显得更为突出和紧迫.本文将主要就股指期货的功能、推出股指期货后所面临的问题与对策展开讨论.     

股指期货的风险及防范

股指期货具有规避风险、套期保值的作用,但作为期货品种之一,其本身也具备一定地风险。中国股市与发达国家成熟的证券市场相比具有自己的特点,中国股指期货风险也具有其特殊性。本文主要从市场环境、市场参与主体和市场监管三个方面阐述了我国股指期货面临的风险,并提出了股指期货风险防范建议。     

我国股指期货交易中的熔断制度

我国股指期货仿真交易正在进行中,相关的制度与规定在此过程中不断地得到修改与完善。其中,国际期货市场中的熔断机制也被运用到我国股指期货交易中。目前我国股指期货交易运用的熔断制度,体现了股票现货市场和期货市场投资主体的行为、意识形态的特点。文章分析了我国股指期货交易中熔断制度设计的特点,阐述了熔断点、熔断启动时间和熔断生效时间安排的合理性,并针对我国股指期货熔断制度的不足提出相关的修改建议。     

股指期货推出对股市的影响及对策

本文讨论了股指期货的推出对我国股市的影响,指出股指期货集期货市场和现货市场的风险于一身,其风险具有放大和传递的特征,推出股指期货应充分考虑各方面因素才能防患于未然。     

沪深300股指期货动态套期保值比率模型估计及比较——基于修正的ECM-BGARCH(1,1)模型的实证研究

本文以沪深300股指期货的真实交易数据及沪深300指数为研究对象,在最小方差套期保值的基础上,建立了ECM-BGARCH(1,1)的沪深300股指期货对沪深300指数的动态套期保值模型。其具体特色是:与利用沪深300股指期货仿真交易数据相比,通过利用沪深300股指期货的真实数据得到的最优套期保值比率更具真实性;通过建立具有时变特征、含有自相关和条件异方差的动态BGARCH(1,1)模型,不但考虑了实证所用数据的实际特点,而且保证了套期保值比率预测的准确性;实证研究结果表明,该模型优于现有的套期保值模型。     

ETF套利交易中股指期货套期保值理论与对策研究——基于光大证券“8·16乌龙”事件

作为资本市场上重要的基础金融衍生产品,股指期货为投资者应对市场风险提供了不可或缺的对冲工具。本文基于光大证券“8·16乌龙”事件,对ETF套利交易中股指期贷套期保值进行了文献综述和理论分析,最后提出ETF套利交易中股指期货套期保值的操作对策。     

股指期货对股票市场定价效率的影响

股指期货的推出,能够大大提高股票市场的定价效率。在动态非均衡市场上,股指期货的价格形成集中并传递大量信息。这些信息通过股指期货市场与股票市场间的套利机制及时传递到股票市场,增加相关股票组合价格的信息含量,引导和发现现货价格,从而提高股市的定价效率。     

生存分析在股市期市涨跌预测中的应用

运用生存分析（Survival Analysis）方法和台湾2009-2011年每日发布的公开数据,建立Cox回归模型（Cox regression model）,预测台湾隔日加权股价指数期货涨跌。实证分析显示:涨幅模型预测结果的正确率为74.47%,绩效验证中平均收益有35.73点;跌幅模型预测的正确率为75.32%,绩效验证中平均收益有37.99点;将涨跌幅模型综合在一起考虑时,在绩效验证中可知平均收益可达38.68点。     

基于AIW-PSO小波神经网络的上证指数预测

针对小波神经网络(Wavelet Neural Network,WNN)的学习算法的不足,采用一种自适应惯性权重粒子群优化算法(Adaptive Inertia Weight Particle Swarm Optimization,AIW-PSO)作为小波神经网络的学习算法,建立AIW-PSO小波神经网络模型对上证指数进行预测,并将预测结果传统小波神经网络模型比较。结果表明,AIW-PSO小波神经网络模型对上证指数具有更好的预测效果。     

The Changes in World Oil Prices, Monetary Factors, and Foreign Index Toward Composite Index Movement： Indonesian Case for the Period of 2005-2011

Capital market is one of the drivers of the economy through the formation of capital investor excess as well as an indicator of a country＇s economy. Movement of stock price index is often influenced by many factors, derived from the company＇s performance, monetary factor, and changes in world oil prices. This study highlights the problem in world oil prices due to political turmoil in the Middle East. The samples are taken from the Jakarta Composite Stock Price Index （JCI）, oil prices, Indonesian inflation rate, Certificate of Bank Indonesia＇s （CBI） rate, and the reserve assets, during the period from January 2005 to December 2011 （84 months）. Using the data published by the Bank of Indonesia, reports of the Central Bureau of Statistics （Biro Pusat Statistik, BPS）, and other relevant sources, the data analyzed through the Eviews 7.1. The main objective of this study is to examine the effect of oil prices, foreign stock price index, and monetary variables （inflation rate, CBI rate, country＇s foreign reserves, and others） toward the JCI analyzed through the error correction model （ECM）. Hypothesis testing with the F-test for the 95% confidence level indicates that the oil price, exchange rate （Indonesian Rupiah （IDR）/United States Dollar （USD））, CBI rate, foreign exchange reserves, the Dow Jones Index, and the Taiwan stock index, both simultaneously as well as partially have a significant influence on the JCI.     

我国股票市场上艾略特波浪模式存在性初探

上证指数是描述中国股票市场运动状况的重要代表,Fibonacci数列包含了艾略特波浪模式中重要的数量特征。本文验证了在艾略特波浪模式下,上证指数中黄金比率和Fibonacci数字的存在性,给出了我国股票市场上艾略特波浪模式存在的一个重要实例,是对股票价格随机游动假说的一个冲击。     

Market liberalization and tax avoidance: Evidence from the Shanghai-Hong Kong Stock Connect Program in China

This study employs two market liberalization programs in China, the Shanghai-Hong Kong Stock Connect (SHSC) program and the Shenzhen-Hong Kong Stock Connect (SZHSC) program, as an exogenous shock to stock market liberalization to explore the impact of market liberalization on tax avoidance. By employing the staggered difference-in-difference regression on Chinese listed firms, we found that market liberalization reduces tax avoidance by approximately 13.1%. This result is robust under parallel trend examination, falsification test, alternative regression methodology, and different measurements for tax avoidance. Additionally, this effect is greater for non-state-owned firms and for firms that have less external monitoring, higher information asymmetry, and stronger financial constraints.     

Stochastic volatility with leverage: Fast and efficient likelihood inference

This paper is concerned with the Bayesian analysis of stochastic volatility (SV) models with leverage. Specifically, the paper shows how the often used Kim et al. [1998. Stochastic volatility: likelihood inference and comparison with ARCH models. Review of Economic Studies 65, 361–393] method that was developed for SV models without leverage can be extended to models with leverage. The approach relies on the novel idea of approximating the joint distribution of the outcome and volatility innovations by a suitably constructed ten-component mixture of bivariate normal distributions. The resulting posterior distribution is summarized by MCMC methods and the small approximation error in working with the mixture approximation is corrected by a reweighting procedure. The overall procedure is fast and highly efficient. We illustrate the ideas on daily returns of the Tokyo Stock Price Index. Finally, extensions of the method are described for superposition models (where the log-volatility is made up of a linear combination of heterogenous and independent autoregressions) and heavy-tailed error distributions (student and log-normal).     

An Extreme Value Approach to Test the Effect of Price Limits on Volatility

Many stock exchanges around the world enforcing daily price limits on the amount asset prices can change to prevent the market from overreacting and to reduce volatility. Price limits are artificial boundaries set by market regulators who restrict price changes of a stock to a pre-specified range during a trading day or a single trading session. The primary aim of price limit rules is to stabilize the markets during panic trading, to moderate vitality by repressing excessive speculation, and to allow stocks to be traded at prices close to their fair value. However, their impact on the market is a somewhat unresolved issue （Harris, 1998）. Using a methodology of comparing volatility based on the extreme value technique, the authors empirically investigate the impact of price limits on the volatility of the Stock Exchange of Thailand. The empirical results support price limits advocates, suggesting that price limits rules moderate stock price volatility.