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我国股指期货与股票市场风险互动的实证分析.docx

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我国股指期货与股票市场风险互动的实证分析 Title:AnEmpiricalAnalysisoftheInteractionBetweenStockIndexFuturesandStockMarketRisksinChina Introduction: TheChinesestockmarkethaswitnessedasignificantgrowthinrecentyears,attractingbothdomesticandinternationalinvestors.Amongthevariousfinancialinstrumentsavailable,stockindexfutureshaveemergedasanimportanttoolfortradingandhedgingpurposes.ThisstudyaimstoconductanempiricalanalysisoftheinteractionbetweenstockindexfuturesandstockmarketrisksinChina. 1.BackgroundandLiteratureReview: 1.1Background: Stockindexfuturesarederivativescontractsthatallowinvestorstospeculateonthefuturevalueofaspecificstockindex.Theyprovideamechanismtomitigateriskexposureandpotentiallyenhancereturns.InChina,theintroductionofstockindexfuturesin2010aimedtodeepenthecapitalmarketandimproveriskmanagement. 1.2LiteratureReview: Severalstudieshaveexaminedtherelationshipbetweenstockindexfuturesandstockmarketrisksinothercountries.Forinstance,Li(2016)foundthatstockindexfuturestradingcanstabilizethestockmarket,reducevolatility,andenhancemarketliquidity.ChenandLu(2015)revealedthatstockindexfuturestradingimprovestheinformationtransmissionefficiencyandenhancesmarketefficiency. 2.Methodology: 2.1DataCollection: ThisstudyutilizesdailydatafromtheChinaFinancialFuturesExchanges(CFFEX)andtheShanghaiStockExchange(SSE)fortheperiodfrom2010to2020.Thedataincludesstockindexfuturesprices,stockmarketindexreturns,tradingvolumes,andotherrelevantvariables. 2.2DataAnalysis: Theempiricalanalysisconsistsofvariousstatisticaltechniques,includingregressionanalysis,correlationanalysis,andvolatilityanalysis.Theaimistoexaminetheinterrelationshipsbetweenstockindexfuturestradingactivity,stockmarketreturns,andvolatility. 3.ResultsandFindings: 3.1CorrelationAnalysis: Thecorrelationanalysisrevealsthedegreeofassociationbetweenstockindexfuturestradingactivityandstockmarketreturns.Positivecorrelationssuggestaparallelmovement,whereasnegativecorrelationsindicateaninverserelationship.Theresultsdemonstrateastrongpositivecorrelation