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  本文關鍵詞：股指期貨對現貨價格發(fā)現及波動影響研究　出處：《西南財經大學》2012年碩士論文　論文類型：學位論文

  更多相關文章： 股指期貨 價格發(fā)現 誤差修正模型 波動性 GARCH模型

【摘要】：2010年4月16日,滬深300股指期貨在中國金融期貨交易所正式上市交易,這是國內資本市場經過多年論證、磨合后,走出的改革創(chuàng)新一大步。到目前為止,滬深300股指期貨己經運行了將近兩年時間,從市場交易情況來看,不論開戶數還是交易量,股指期貨市場都日趨活躍。那么滬深300股指期貨推出對我國股票現貨市場到底有什么樣的影響,股指期貨到底有沒有發(fā)揮其理論上的價格發(fā)現、規(guī)避風險等功能,我們今后應該怎么更好地利用這一金融衍生品促進資本市場的發(fā)展,這些問題一直都是學術界、管理層、投資者關注的焦點。本文從期貨與現貨市場間的價格發(fā)現功能和波動性影響情況來研究,分析滬深300指數期貨在推出后是否實現了其應有的積極功能。從而揭示滬深300指數期貨上市后對現貨市場造成的影響和帶來的沖擊,并分析這些現象出現的原因,幫助投資者加深對股指期貨的理解,為自己的投資策略提供相關的依據,幫助監(jiān)管部門進一步采取相應的措施和策略,以促進股指期貨市場健康穩(wěn)定發(fā)展。 關于股指期貨對股票現貨市場的影響研究主要集中在討論股指期貨是否發(fā)揮了最基本的價格發(fā)現功能以及其推出是否增加股市波動性,從股指期貨誕生那天起,學術界就對此進行了廣泛的研究。 在討論股指期貨的價格發(fā)現功能方面,現有的研究結論表明在相對較為成熟的資本市場,股指期貨與現貨市場的價格之間存在長期均衡關系,并且大部分的研究結果都表明股指期貨在價格發(fā)現過程中占主導作用。國內學者大多運用滬深300指數期貨仿真交易數據來進行研究,發(fā)現股指期貨的價格發(fā)現功能尚未完全發(fā)揮,存在現貨市場引導期貨市場的現象。但是由于利用仿真交易數據來代替真實交易數據進行研究和實證,所得結論的可信度和說服力比較有限,與真實情況可能有所偏差。因此本文將借助滬深300股指期貨正式推出以來的真實數據,對二者之間的價格發(fā)現功能進行研究。 本文考察了滬深300股指期貨推出后454個交易日價格的真實日頻率數據,對兩者的價格發(fā)現功能進行了實證。通過對股指期貨價格與現貨價格數據進行ADF平穩(wěn)性檢驗發(fā)現兩者都是非平穩(wěn)時間序列。但經過一階差分處理,二者都通過了E-G協整檢驗,說明兩者之間存在著長期均衡的穩(wěn)定關系。隨后,本文通過建立向量誤差修正模型(VEC)來具體研究股指期貨與現貨價格之間從短期偏離到長期均衡的調整過程。接下來,通過對兩個時間序列進行Granger因果檢驗,發(fā)現股指期貨價格與股指現貨市場價格之間呈現出雙向的引導關系,兩者互為Granger因果原因。實證結果表明,價格發(fā)現功能是由兩個市場共同完成的。短期來看股指期貨對股指現貨市場具有一定的價格發(fā)現能力。長期來看,當股指期貨價格與現貨價格發(fā)生偏離時,是經期貨市場價格的更大程度的調節(jié)來完成糾正偏差。 在研究股指期貨對現貨市場的波動影響方面,現有研究結論可歸為四種：股指期貨推出增加股票現貨市場波動性、股指期貨推出減少了股票現貨市場的波動性、股指期貨推出對股票現貨市場波動沒有影響、股指期貨推出對股票現貨市場波動的存在非單一影響�？梢钥闯�,目前,關于股指期貨與股票現貨市場的關系的研究,無論在理論上還是實證方面都存在很大分歧,因此有必要對此問題進行深一步的研究分析。并且,由于滬深300股指期貨推出時間并不長,以此作為研究標的的文獻較少,大部分現存文獻都以歐、美、日等發(fā)達經濟體的現行股指期貨為研究對象,而中國的股票現貨市場由于采用“T+1”制度、設置漲跌幅限制,因此,研究特有交易制度下的運行滬深300股指期貨對股票現市場的影響具有現實意義。 為了考察滬深300股指期貨對股票現貨市場波動性的影響,本文對ARCH族模型進行了修正,添加了虛擬變量以刻畫滬深300股指期貨推出這一事件。采用64個交易日的日交易數據、分鐘高頻數據對短期效應進行實證研究,結果表明,股指期貨短期內增加了股票現貨市場的波動性,但幅度較��；采用892個交易日的日交易數據對長期效應進行實證,結果表明,長期來看,股指期貨推出對股票市場的影響是中性的,并不會顯著增加或減少現貨市場的波動性。 此外,本文還運用TGARCH模型,分別對滬深300股指期貨推出前后的數據分別進行擬合,實證結果顯示,在指期貨推出之后,我國股票市場中的杠桿效應消失了,這說明股指期貨發(fā)揮了其避險作用,增加了市場的流動性,減輕了市場的恐慌性,這也是推出股指期貨的意義之一。 最后,在總結分析了實證研究結果之后,本文提出了對股指期貨市場建設的若干建議,包括加強對股指期貨及相關金融衍生品的投資者教育、加快機構投資者的入場步伐、加強對市場投資者的監(jiān)管、提供套利交易的政策優(yōu)惠等,對股指期貨市場目前的不足和潛在的問題提出了看法和解決途徑�，F階段可以算是股指期貨成立的初期,此時研究股指期貨與現貨市場的價格發(fā)現關系雖然對投資者及監(jiān)管者具有借鑒意義,但由于市場的不成熟,所得的結果可能會受到一定的影響。需要在股指期貨推出后一段時間繼續(xù)對二者的關系進行探究和關注。本文由于模型的限制未能采用高頻數據進行更為深入的研究,但期貨市場與股票市場的價格變動非常迅速,因此在進一步研究中可以采用更適合高頻數據的模型以及樣本量更大的高頻數據來對二者價格發(fā)現方面的功能進行研究。滬深300股指期貨對我國股票市場的影響是多方面的,例如在流動性及波動溢出方面都有影響,因此在后續(xù)的研究中需要考慮這些因素,更加全面的認識股指期貨市場對現貨市場的影響機制和原理。
[Abstract]:In April 16, 2010, the Shanghai and Shenzhen 300 index futures officially listed for trading in China financial futures exchange, this is the domestic capital market after years of demonstration, after the run out of the reform and innovation of a big step. So far, the CSI 300 stock index futures has been running for nearly two years, judging from market transactions, regardless of the number of accounts and trading volume, stock index the futures market has become increasingly active. So the CSI 300 stock index futures in the end what kind of impact on China's stock market, the stock index futures in the end there is no play on the theory of price discovery and risk aversion function, how should we make better use of the financial derivatives to promote the development of the capital market in the future, these problems have been is the academic management, the focus of investors. This article from the futures and spot markets between the function of price discovery and volatility influence research The analysis of Shanghai and Shenzhen 300 index futures after the launch is to achieve its positive function should be. So as to reveal the impact on the stock market of Shanghai and Shenzhen 300 index futures market and the impact, and analyze the reasons for these phenomena, help investors to deepen understanding of the stock index futures, provide the basis for their investment strategies, help regulators to take further measures and corresponding strategies, in order to promote the healthy and stable development of the futures market.
The research on the impact of stock index futures on stock spot market is mainly focused on whether stock index futures have played the most basic price discovery function and whether their launch will increase the volatility of stock market. Since the birth of stock index futures, academia has made extensive research on this.
In the discussion of the stock index futures price discovery function, the conclusion of the research shows that in the relatively mature capital market, there is a long-term equilibrium relationship between stock index futures and spot market prices, and most of the research results show that the stock index futures have been found Cheng Zhongzhan a leading role in the price. Most of the domestic scholars use the Shanghai and Shenzhen 300 index futures trading simulation data to study, found that the stock index futures price discovery function has not been fully played, the existence of a spot market futures market guide phenomenon. But instead of the real transaction data and empirical research using the simulation transaction data, the conclusion of the credibility and persuasion is limited, and the real situation may be biased. So this paper will use the Shanghai and Shenzhen 300 stock index futures real data has been officially launched, the two between the price discovery function is studied.
This paper examines the real daily data of 454 trading days the price after the launch of CSI 300 stock index futures, the price discovery function of the ADF. Through empirical testing the stationarity of the stock index futures price and spot price data found that the two are non-stationary time series. But after the first order difference, all two through the E-G cointegration test shows that a stable long-run equilibrium relationship exists between them. Then, this paper constructs a vector error correction model (VEC) to specific research between stock index futures and spot prices in the short-term adjustment process to deviate from the long-term equilibrium. Next, through the Granger causality test on the two time series, found between stock index futures and stock index spot market prices show a two-way relationship between the two guide, Granger causality. The empirical results show that the price discovery function is composed of two city In the short term, stock index futures have a price discovery capability for the stock index spot market. In the long run, when the price of index futures and spot prices deviate from the spot price, they are able to complete the correction bias by adjusting the futures market price to a greater degree.
In terms of the influence of the fluctuation of stock index futures on the spot market, the existing research results can be classified into four kinds: the introduction of stock index futures increased stock market volatility, stock index futures reduce the volatility of the stock market, stock index futures has no effect on the stock market volatility, stock index futures on stock market volatility exists not a single effect. It can be seen that, at present, the research on the relationship between stock index futures and spot market, there are great differences in both theoretical and empirical aspects, so it is necessary to ask questions of the further research. And, because of the CSI 300 stock index futures is not a long time, as a research subject in the literature, most of the existing literature in Europe, the United States, Japan and other developed economies, the current stock index futures as the research object, and the stock market by Chinese In the adoption of the "T+1" system, we set the price limit. Therefore, it has practical significance to study the impact of the Shanghai and Shenzhen 300 stock index futures on the stock market under the specific trading system.
In order to investigate the effects of Shanghai and Shenzhen 300 stock index futures on the volatility of the stock market, this paper modifies the ARCH model, adding a dummy variable to characterize the CSI 300 stock index futures this event. The daily trading data of 64 trading days, high frequency data for empirical research on short-term effect. The results show that the stock index futures increase the volatility of the stock market in the short term, but to a lesser extent; empirical, long-term effect of day trading data of the 892 trading days showed that the long term, the impact of stock index futures on the stock market is neutral and does not significantly increase or decrease the volatility of the stock market.
In addition, this paper uses the TGARCH model, respectively, before and after the CSI 300 stock index futures data were fitted respectively. The empirical results show that after futures launch, the leverage effect in Chinese stock market disappeared, the stock index futures to play its hedging effect, increase market liquidity, reduce panic the market, which is one of the introduction of the significance of the stock index futures.
Finally, in summing up the results of empirical research, this paper puts forward some suggestions on the construction of the stock index futures market, including strengthening the education of investors on the stock index futures and financial derivatives, accelerating the entry of institutional investors, strengthening the supervision on the financial market, provide arbitrage and other preferential policies, and put forward the views and solutions on the way the stock index futures market lack of current and potential problems. At this stage can be regarded as the initial establishment of stock index futures, the study of stock index futures and spot market price discovery although the relationship is of great significance for investors and regulators, but because the market is not mature, the results may be affected. After the launch of stock index futures for a period of time to continue to explore and focus on the relationship between the two. In this paper, due to the limitation of failed to model using high frequency data More in-depth research, but the price of futures market and the stock market is very fast, so the further research can be studied on the two aspects of the price discovery function using high-frequency data is more suitable for high frequency data model and a larger sample size. The Shanghai and Shenzhen 300 stock index futures on the stock market of our country is in many aspects, for example, has an impact on the liquidity and volatility spillover, therefore in the follow-up studies need to consider these factors, mechanism and effect of the principle of a more comprehensive understanding of the stock index futures market to the spot market.

【學位授予單位】：西南財經大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F832.5

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