摘要我国在2010年4月推出了股指期货。沪深300指数是我国第一个挂牌的，在我国股票市场已经经历了五年左右。由于股指期货的规避风险的功能和价格发现的功能，结束了我国股票交易的单项形式，改变了投资者买卖股票只能通过股票的涨跌来收益的现状。股指期货的发行将是我国股票市场的重要的里程碑，对我国股票市场产生重要的影响。86410

本文将选择适当的模型，对实际数据进行分析。将两者相结合，就股指期货的市场对现货市场的影响程度等方面进行研究。本文选取沪深300平均期货合约的收盘价和现货的收盘价作为本文的实验对象。选用沪深300指数的原因是：一方面它是我国推出最早的交易品种，另一方面沪深300它可以比较全面的体现我国股票市场的情况。本文将运用协整以及误差修正模型验证股指期货和现货之间的影响，以及期货市场对现货市场的有效性作用。

经过本文的实证检验的结果看来，股指期货和现货之间拥有稳定均衡关系，股指期货可以对现货价格偏离均衡起调节修正作用，减少现货市场的波动。据此本文对股指期货市场在我国的发展方面提出了几点意见：（1）加快发展股指期货，扩大股指期货的应用范围；（2）我国对股票市场这一块应加强监管，放宽政策。

毕业论文关键词：股指期货、现货、协整及DHSY模型

Abstract Shanghai and Shenzhen 300 stock index future, which was the first stock index future traded on the market, has been traded for six years since April 2010。 Stock index future has functions of avoiding risk and price discovery。 Because of these functions, Stock Trading in China has finished the form of Inpidual transactions。 The present situation is that the investor cannot obtain the interest until the up and down which stock has brought。 Stock index future will have an important impact on stock market in China。 

This article will use the method of combining theoretical model and empirical analysis to study if the stock index future has the impact on spot market。 The article has selected the closing price of Shanghai and Shenzhen 300 stock index future and spot。 There are two reasons for selecting CSI300 index。 On the one hand, Shanghai and Shenzhen 300 stock index future was the first stock index future traded on the market。 On the other hand, Shanghai and Shenzhen 300 stock index future reflected the situation of stock market in China。 This article uses the Co-integration and error correction model to study if the stock index future has the impact on spot market and the effectiveness of the role of the futures market on the spot market。

By the result of positive test, there is Long-term equilibrium relationship between stock index futures and spot。 If the spot price deviation is from equilibrium, stock index future price can make the spot price to right path。 Stock index future can reduce the fluctuation of spot market。 The article also gives some suggestions about stock index future。 For one thing, we can accelerate the development of stock index futures and expand the scope of application of stock index futures。 For another thing, the stock market should strengthen supervision in China and the government can adopt more liberal policies。

Keywords: stock index futures; stock; Co-integration and error correction model

目录

第一章 绪论 1

1。1研究背景和意义 1

1。1。1研究背景 1

1。1。2研究意义 1

1。2国内研究现状 2

1。3本文研究的主要思路和方法