股指期货

基于Markowitz和VaR模型的股指期货风险预警

Stock Index Futures at Risk Monitor Based on Model Markowitz and Model Value at Risk

本文最终选择ETF作为现货，主要是因为ETF交易成本比股票的交易费用低的多，而且ETF与股指期货有许多相同和相似的特征。

The author finally chooses ETFS as Stocks combination , mainly because of the lower costs , and ETF is similar to The Stock Index Futures .

基于植入SV的VaR模型的股指期货风险度量

The study on measuring the risk of stock index futures based on VaR with SV implanted

股指期货：引入QFII的平衡术

Balance skill in stock index futures inducting QFII

在VAR模型下的格兰杰因果检验中发现股指期货和现货价格互为格兰杰原因，表明价格发现是两个市场相互作用的过程。

The pair wise granger causality test suggests that the stock index futures price and spot market price are mutual granger reasons . Both the derivative and cash market have effect on the price process .

为了进一步验证我们的结论，我们引入GARCH模型和加入虚拟变量的GARCH模型，GARCH检验的结果表明在60分钟数据下，沪深300股指期货的推出对股票市场的波动性影响并不显著。

The results of GARCH test show that the data of 60 minutes , the Shanghai and Shenzhen 300 index futures on the stock market volatility is not significant .

由于我国还没有推出股指期货，本文选用了美国S&P500指数期货的数据进行实证。分析模拟价格波动和基差的VaR值，对我国即将推出的股指期货的风险管理有一定的借鉴意义。

Since our country has not launched stock index futures , this paper chooses to use the date of the United States S & P500 index futures to calculate the price volatility and the VaR-based basis value .

第二，利用VAR模型、脉冲响应等分析工具判断股指期货与股票指数是否存在领先效应？如果存在，找出领先期数。

Second , using VAR model and impulse response analysis tools such as stock index futures and stock index whether there is a leading effect ? If there is , find out the leading number of installments .

同时，作为GARCH实证模型分析的辅助性研究，本文运用图表分析的方法，使用成熟资本市场&香港恒生指数直观的比较了股指期货上市后与现货市场长期波动关系。

Meanwhile , as an associated research of the GARCH empirical model study , this paper , also compares the relations between stock-index futures and the long-term fluctuations in the spot market through schematic analysis .

在声明中，瑞银表示，损失是在过去3个月内投资标普500指数（s&p500）、dax指数和欧元区斯托克指数（eurostoxx）等股指期货造成的。

In its statement , the bank alleged that the losses had been built up over the past three months in S & P 500 , DAX and euro Stoxx index futures .

本文运用计算实验金融的相关理论和Agent-based建模方法研究股指期货市场投资者结构对于市场流动性的影响，特别是噪音交易者的比例与市场流动性间的关系。

This paper , based on Artificial Stock Index Futures Market ( U-Mart ) and Agent-based model method , researches the impact of investor structure to the market liquidity , especially the relationship of the proportion of noise trader and the market liquidity .

文章在极值理论广义帕累托分布（GPD）下，研究了上证以180指数为标的的股指期货的保证金水平，并且与正态分布假设下的保证金水平进行比较。

With the GPD , this paper studies the margin level of the stock index future contract of Shanghai 180 index , and compares with the margin level of hypothesis of normal distribution .

其次，本文采用了新兴市场韩国和台湾市场数据，运用GARCH模型实证研究了股指期货推出前后对现货市场波动性影响。

Secondly , it adopts the data of the emerging South Korea and Taiwan Markets , and employs GARCH model to conduct an empirical study on the impact of stock-index futures on the spot market fluctuations before and after the launch of the former .

事实上，上周二，也就是交易启动后的第三天，中国金融期货交易所（cffe）的股指期货成交量已经超过了上海证交所（sse）的股票成交量。

Indeed , on Tuesday last week , the third day of trading , the value of stock index futures traded on the China Financial Futures Exchange exceeded the value of stocks traded on the Shanghai Stock Exchange .

在BDSS模型的基础上，结合我国股指期货市场的实际，建立了LA-VaR模型。

On the basis of BDSS model and with the reality of stock index future market in china , a VaR model adjusted by liquidity risk is established .

针对中国股票市场波动幅度大的特征，文章运用股指期货对上证50ETF和深证100ETF进行了套期保值实证研究。

Aiming at the characteristics of China stock market fluctuations ' varying within wide limits , this paper takes Shanghai 50 ETF and Shenzhen 100 ETF for the hedge empirical study with the stock index futures .

股指期货开设的效用分析

Analyses on the Utility of the Futures for Stock Market Index

股指期货波动性与股权分置改革关系研究

Study on Volatility of Stock Index Future and Split Stock Reform

机构投资者参与沪深300股指期货问题研究

Research on the Institutional Investor 's Participating in Stock Futures Market

股指期货在投资组合管理中的套期保值研究

Research on Hedging of Stock Index Futures in Investment Portfolio Management

股指期货基于信息传递效应稳定作用的局限性

Limited Stability Role of Stock Index Future Based on Information Transmission

浅谈股指期货市场的风险防范

A Brief Discussion About Risk Control of Chinese Stock Index future Market

股指期货下股票市场运作策略

Study on Strategies of Stock Market under the Environment of Stock-index Futures

第一章是对股指期货的基本概述。

The first chapter is a basic overview of stock index stock .

股指期货的推出对我国证券市场影响的研究

Research of stock index future promoting 's influence on China security market

股指期货的期货交易所监管机制研究

Study on the Supervisory Mechanism of Futures Exchange over Stock Index Futures

近日股指期货模拟交易测试已经开始了。

Recently the test of the simulation transaction has already been started .

在我国股指期货的交易还不是特别的活跃。

In our country stock index futures trading is not particularly active .

中国股指期货风险防范研究

Research on Avoiding the Risk of the Stock Index Futures of China

价格发现是股指期货的基础功能。

Price discovery is the basic function of index futures .