摘 要
金融衍生品市场作为现代金融市场的重要组成部分，其与基础市场的联动关系已成为学术界和实务界关注的核心议题。本文旨在探讨金融衍生品市场与基础市场之间的动态关联机制，揭示两者在价格发现、风险管理及波动传导中的相互作用。研究基于多维时间序列分析框架，采用高频数据对主要股指期货与现货市场的联动性进行实证检验，并引入非线性模型捕捉市场间的复杂互动特征。结果表明，金融衍生品市场与基础市场之间存在显著的双向因果关系，且这种联动性在市场波动加剧时更为明显。此外，衍生品市场在价格发现中发挥了主导作用，而基础市场则在风险传递中占据重要地位。
关键词：金融衍生品市场 基础市场联动性 价格发现
Abstract
As an important part of the modern financial market, the linkage relationship between the financial derivatives market and the basic market has become the core issue of the academic and practical circles. This paper aims to explore the dynamic correlation mechanism between the financial derivatives market and the underlying market, and reveal the interaction between the two in price discovery, risk management and fluctuation transmission. Based on the multi-dimensional time series analysis fr amework, the study used high-frequency data were used to test the linkage between major stock index futures and spot market, and the non-linear model is introduced to capture the complex interaction characteristics between markets. The results show that there is a significant two-way causal relationship between the financial derivatives market and the underlying market, and this linkage is more obvious when the market volatility increases. Moreover, the derivatives market plays a dominant role in price discovery, while the underlying market plays an important role in risk transmission.
Keyword:Financial Derivatives Market Underlying Market Linkage Price Discovery
目 录
1绪论 1
1.1金融衍生品市场与基础市场的研究背景 1
1.2研究金融衍生品与基础市场联动的意义 1
1.3国内外研究现状与评述 1
1.4本文研究方法与技术路线 2
2金融衍生品与基础市场的理论基础 2
2.1金融衍生品的基本概念与分类 2
2.2基础市场的功能与运行机制 3
2.3联动关系的经济学理论支撑 3
2.4衍生品市场与基础市场的相互作用机制 3
2.5理论框架构建与假设提出 4
3金融衍生品与基础市场联动的实证分析 4
3.1数据来源与变量选择 4
3.2模型构建与方法选择 5
3.3实证结果分析与解释 5
3.4不同市场条件下的联动特征 6
3.5实证结论与政策启示 6
4金融衍生品与基础市场联动的影响因素研究 7
4.1宏观经济环境对联动关系的影响 7
4.2市场参与者行为的作用分析 7
4.3监管政策对联动效应的调节作用 8
4.4技术进步与信息传播对联动的影响 8
4.5综合影响因素的交互作用分析 9
结论 9
参考文献 11
致谢 12
