股指期貨對(duì)現(xiàn)貨價(jià)格發(fā)現(xiàn)及波動(dòng)影響研究
本文關(guān)鍵詞:股指期貨對(duì)現(xiàn)貨價(jià)格發(fā)現(xiàn)及波動(dòng)影響研究 出處:《西南財(cái)經(jīng)大學(xué)》2012年碩士論文 論文類型:學(xué)位論文
更多相關(guān)文章: 股指期貨 價(jià)格發(fā)現(xiàn) 誤差修正模型 波動(dòng)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(nèi)資本市場(chǎng)經(jīng)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(jīng)運(yùn)行了將近兩年時(shí)間,從市場(chǎng)交易情況來看,不論開戶數(shù)還是交易量,股指期貨市場(chǎng)都日趨活躍。那么滬深300股指期貨推出對(duì)我國股票現(xiàn)貨市場(chǎng)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(jià)格發(fā)現(xiàn)、規(guī)避風(fēng)險(xiǎn)等功能,我們今后應(yīng)該怎么更好地利用這一金融衍生品促進(jìn)資本市場(chǎng)的發(fā)展,這些問題一直都是學(xué)術(shù)界、管理層、投資者關(guān)注的焦點(diǎn)。本文從期貨與現(xiàn)貨市場(chǎng)間的價(jià)格發(fā)現(xiàn)功能和波動(dòng)性影響情況來研究,分析滬深300指數(shù)期貨在推出后是否實(shí)現(xiàn)了其應(yīng)有的積極功能。從而揭示滬深300指數(shù)期貨上市后對(duì)現(xiàn)貨市場(chǎng)造成的影響和帶來的沖擊,并分析這些現(xiàn)象出現(xiàn)的原因,幫助投資者加深對(duì)股指期貨的理解,為自己的投資策略提供相關(guān)的依據(jù),幫助監(jiān)管部門進(jìn)一步采取相應(yīng)的措施和策略,以促進(jìn)股指期貨市場(chǎng)健康穩(wěn)定發(fā)展。 關(guān)于股指期貨對(duì)股票現(xiàn)貨市場(chǎng)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(jià)格發(fā)現(xiàn)功能以及其推出是否增加股市波動(dòng)性,從股指期貨誕生那天起,學(xué)術(shù)界就對(duì)此進(jìn)行了廣泛的研究。 在討論股指期貨的價(jià)格發(fā)現(xiàn)功能方面,現(xiàn)有的研究結(jié)論表明在相對(duì)較為成熟的資本市場(chǎng),股指期貨與現(xiàn)貨市場(chǎng)的價(jià)格之間存在長期均衡關(guān)系,并且大部分的研究結(jié)果都表明股指期貨在價(jià)格發(fā)現(xiàn)過程中占主導(dǎo)作用。國內(nèi)學(xué)者大多運(yùn)用滬深300指數(shù)期貨仿真交易數(shù)據(jù)來進(jìn)行研究,發(fā)現(xiàn)股指期貨的價(jià)格發(fā)現(xiàn)功能尚未完全發(fā)揮,存在現(xiàn)貨市場(chǎng)引導(dǎo)期貨市場(chǎng)的現(xiàn)象。但是由于利用仿真交易數(shù)據(jù)來代替真實(shí)交易數(shù)據(jù)進(jìn)行研究和實(shí)證,所得結(jié)論的可信度和說服力比較有限,與真實(shí)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(shí)數(shù)據(jù),對(duì)二者之間的價(jià)格發(fā)現(xiàn)功能進(jìn)行研究。 本文考察了滬深300股指期貨推出后454個(gè)交易日價(jià)格的真實(shí)日頻率數(shù)據(jù),對(duì)兩者的價(jià)格發(fā)現(xiàn)功能進(jìn)行了實(shí)證。通過對(duì)股指期貨價(jià)格與現(xiàn)貨價(jià)格數(shù)據(jù)進(jìn)行ADF平穩(wěn)性檢驗(yàn)發(fā)現(xiàn)兩者都是非平穩(wěn)時(shí)間序列。但經(jīng)過一階差分處理,二者都通過了E-G協(xié)整檢驗(yàn),說明兩者之間存在著長期均衡的穩(wěn)定關(guān)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(xiàn)貨價(jià)格之間從短期偏離到長期均衡的調(diào)整過程。接下來,通過對(duì)兩個(gè)時(shí)間序列進(jìn)行Granger因果檢驗(yàn),發(fā)現(xiàn)股指期貨價(jià)格與股指現(xiàn)貨市場(chǎng)價(jià)格之間呈現(xiàn)出雙向的引導(dǎo)關(guān)系,兩者互為Granger因果原因。實(shí)證結(jié)果表明,價(jià)格發(fā)現(xiàn)功能是由兩個(gè)市場(chǎng)共同完成的。短期來看股指期貨對(duì)股指現(xiàn)貨市場(chǎng)具有一定的價(jià)格發(fā)現(xiàn)能力。長期來看,當(dāng)股指期貨價(jià)格與現(xiàn)貨價(jià)格發(fā)生偏離時(shí),是經(jīng)期貨市場(chǎng)價(jià)格的更大程度的調(diào)節(jié)來完成糾正偏差。 在研究股指期貨對(duì)現(xiàn)貨市場(chǎng)的波動(dòng)影響方面,現(xiàn)有研究結(jié)論可歸為四種:股指期貨推出增加股票現(xiàn)貨市場(chǎng)波動(dòng)性、股指期貨推出減少了股票現(xiàn)貨市場(chǎng)的波動(dòng)性、股指期貨推出對(duì)股票現(xiàn)貨市場(chǎng)波動(dòng)沒有影響、股指期貨推出對(duì)股票現(xiàn)貨市場(chǎng)波動(dòng)的存在非單一影響?梢钥闯,目前,關(guān)于股指期貨與股票現(xiàn)貨市場(chǎng)的關(guān)系的研究,無論在理論上還是實(shí)證方面都存在很大分歧,因此有必要對(duì)此問題進(jìn)行深一步的研究分析。并且,由于滬深300股指期貨推出時(shí)間并不長,以此作為研究標(biāo)的的文獻(xiàn)較少,大部分現(xiàn)存文獻(xiàn)都以歐、美、日等發(fā)達(dá)經(jīng)濟(jì)體的現(xiàn)行股指期貨為研究對(duì)象,而中國的股票現(xiàn)貨市場(chǎng)由于采用“T+1”制度、設(shè)置漲跌幅限制,因此,研究特有交易制度下的運(yùn)行滬深300股指期貨對(duì)股票現(xiàn)市場(chǎng)的影響具有現(xiàn)實(shí)意義。 為了考察滬深300股指期貨對(duì)股票現(xiàn)貨市場(chǎng)波動(dòng)性的影響,本文對(duì)ARCH族模型進(jìn)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(gè)交易日的日交易數(shù)據(jù)、分鐘高頻數(shù)據(jù)對(duì)短期效應(yīng)進(jìn)行實(shí)證研究,結(jié)果表明,股指期貨短期內(nèi)增加了股票現(xiàn)貨市場(chǎng)的波動(dòng)性,但幅度較;采用892個(gè)交易日的日交易數(shù)據(jù)對(duì)長期效應(yīng)進(jìn)行實(shí)證,結(jié)果表明,長期來看,股指期貨推出對(duì)股票市場(chǎng)的影響是中性的,并不會(huì)顯著增加或減少現(xiàn)貨市場(chǎng)的波動(dòng)性。 此外,本文還運(yùn)用TGARCH模型,分別對(duì)滬深300股指期貨推出前后的數(shù)據(jù)分別進(jìn)行擬合,實(shí)證結(jié)果顯示,在指期貨推出之后,我國股票市場(chǎng)中的杠桿效應(yīng)消失了,這說明股指期貨發(fā)揮了其避險(xiǎn)作用,增加了市場(chǎng)的流動(dòng)性,減輕了市場(chǎng)的恐慌性,這也是推出股指期貨的意義之一。 最后,在總結(jié)分析了實(shí)證研究結(jié)果之后,本文提出了對(duì)股指期貨市場(chǎng)建設(shè)的若干建議,包括加強(qiáng)對(duì)股指期貨及相關(guān)金融衍生品的投資者教育、加快機(jī)構(gòu)投資者的入場(chǎng)步伐、加強(qiáng)對(duì)市場(chǎng)投資者的監(jiān)管、提供套利交易的政策優(yōu)惠等,對(duì)股指期貨市場(chǎng)目前的不足和潛在的問題提出了看法和解決途徑,F(xiàn)階段可以算是股指期貨成立的初期,此時(shí)研究股指期貨與現(xiàn)貨市場(chǎng)的價(jià)格發(fā)現(xiàn)關(guān)系雖然對(duì)投資者及監(jiān)管者具有借鑒意義,但由于市場(chǎng)的不成熟,所得的結(jié)果可能會(huì)受到一定的影響。需要在股指期貨推出后一段時(shí)間繼續(xù)對(duì)二者的關(guān)系進(jìn)行探究和關(guān)注。本文由于模型的限制未能采用高頻數(shù)據(jù)進(jìn)行更為深入的研究,但期貨市場(chǎng)與股票市場(chǎng)的價(jià)格變動(dòng)非常迅速,因此在進(jìn)一步研究中可以采用更適合高頻數(shù)據(jù)的模型以及樣本量更大的高頻數(shù)據(jù)來對(duì)二者價(jià)格發(fā)現(xiàn)方面的功能進(jìn)行研究。滬深300股指期貨對(duì)我國股票市場(chǎng)的影響是多方面的,例如在流動(dòng)性及波動(dòng)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(rèn)識(shí)股指期貨市場(chǎng)對(duì)現(xiàn)貨市場(chǎng)的影響機(jī)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(xué)位授予單位】:西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】:碩士
【學(xué)位授予年份】:2012
【分類號(hào)】:F224;F832.5
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