股指期货市场波动特征实证研究

发布时间：2018-02-10 09:30

  本文关键词： 股指期货 MS-EGARCH 非对称 成交量 中外比较　出处：《东北财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：2006年2月8日,为了推进股指期货上市的准备工作,国务院批准中国证监会成立了“金融期货筹备领导小组”,并于当年9月8日批准成立了中国金融期货交易所。经过4年的准备阶段,2010年4月16日,中国金融期货交易所推出以沪深300指数为标的物的国内第一份股指期货合约。股指期货的推出为投资者提供了投资组合工具,用于管理非系统风险,还为投资者提供套期保值机会以防范系统风险。除此之外,投资者还可以利用股指期货进行套利,获得无风险收益。股指期货的保证金交易制度具有极大的杠杆作用,可以使投资者以较低的成本获得较高的收益。同时在风险管理、套利研究等方面,对股指期货波动的预测都起到了重要作用。特别是随着股指期货市场的活跃,金融衍生产品的不断推出,波动性作为金融产品定价的一个基础指标,其研究意义日益突出。 本文主要讨论三个问题：第一,对于股指期货收益率波动非对称性研究。第二,股指期货市场收益率波动与成交量之间的关系研究。第三,基于这两个问题比较沪深300股指期货与香港、韩国和日本股指期货波动特征的比较分析。论文的内容围绕这三个方面展开进行,在综合前人研究的基础上,本文建立了MS-EGARCH模型对沪深300股指期货与其他几种股指期货收益率波动非对称性特征进行了讨论,并对结论作出合理的解释。另外,在MS-EGARCH模型的基础上,通过在条件方差方程中引入成交量,研究了成交量与收益率波动之间的关系。最后比较国内沪深300股指期货与其他成熟市场股指期货市场波动特征并做出比较分析。 本文得出的主要结论有： 1.通过建立两状态MS-EGARCH模型,本文得出在高波动状态和低波动状态中,我国沪深300股指期货与香港恒生股指期货、韩国KOSPI200股指期货和日经225股指期货具有相同的非对称特征,即在两种波动状态中,坏消息均相对与好消息更能加剧股指期货市场的波动。 2.通过在MS-EGARCH模型中引入成交量变量,本文验证了我国沪深300股指期货与香港恒生股指期货、韩国KOSPI200股指期货和日经225股指期货的收益率波动与成交量的关系,本文发现我国沪深300股指期货的收益率波动在高波动与低波动状态下都与成交量呈正相关关系,并且在高波动状态中具有更加强烈的相关性。 3.本文通过比较不同波动状态下股指期货的波动特征,.发现香港恒生股指期货、韩国KOSPI200股指期货和日经225股指期货的高波动状态对应的是市场动荡的阶段,而低波动状态对应着市场波动稳定的阶段,而我国沪深300股指期货的高波动状态对应的是市场走势上升的阶段,而低波动状态对应市场走势低迷的阶段。 本文的创新之处表现为： 第一,本文采用两状态MS-EGARCH模型分析了我国沪深300股指期货与香港、韩国、日本几个市场的股指期货收益率波动的非对称性特征,分析不同状态下的非对称性是否有差异。 第二,本文通过在MS-EGARCH模型的条件方差方程中引入新的成交量变量,这样可以分析不同状态下收益率波动与成交量之间的关系。 第三,通过比较不同市场股指期货收益率波动的非对称性不同特征。把握我国股指期货市场波动与几种相对成熟的市场的股指期货波动特征的差异,为我国股指期货市场的发展提出建议。 本文的不足之处： 第一,本文分析比较了我国沪深300股指期货与亚洲成熟市场的几种股指期货连续合约之间的波动特征,而没有考虑其他几种合约。实际上,在投资者投资时,可以同时持有多个合约,本文只是取了交易最为活跃的当月和当季连续合约作为研究对象,得到的结论不一定适用于其他几种合约。 第二,本文旨在分析股指期货波动非对称特征、波动与成交量之间关系以及中外比较分析。由于我国股指期货上市时间只有两年的时间,可用的样本量较少,并且由于时间和精力有限,对于MS-EGARCH模型对于股指期货市场波动的预测问题并没有进行深入讨论,在以后研究中需要把问题转向MS-EGARCH模型的预测问题上来。
[Abstract]:In February 8, 2006, in order to promote the stock index futures listed on the preparatory work, the State Council approved the establishment of the Commission China "financial futures preparation leading group", and in September 8th of that year approved the establishment of the Chinese financial futures exchange. After 4 years of preparation, in April 16, 2010, Chinese financial futures exchange launched in Shanghai and Shenzhen 300 index for the subject of the first domestic the stock index futures. Stock index futures portfolio provides tools for investors, for the management of non system risk, but also provide investors with hedging opportunities to prevent systemic risk. In addition, investors can also use stock index futures arbitrage, arbitrage of stock index futures. The margin trading system has great leverage. So that investors can get higher to lower the cost of revenue. At the same time in risk management, arbitrage and other aspects of research. The prediction of stock index futures has played an important role. Especially with the active stock index futures market and the continuous introduction of financial derivatives, volatility is a basic index for pricing financial products, and its research significance is increasingly prominent.
This paper mainly discusses three issues: first, the return rate of stock index futures volatility asymmetry. Second, research on the relationship between volatility and trading volume index futures'return. Third, based on the two problems compared to the CSI 300 stock index futures and comparative analysis of Hongkong, South Korea and Japan stock index futures volatility. The contents of this paper focus on these three aspects, on the basis of previous studies, this paper establishes a MS-EGARCH model of the CSI 300 stock index futures and other kinds of stock index futures volatility asymmetry are discussed, and give a reasonable explanation for the conclusion. In addition, based on the MS-EGARCH model, by introducing the turnover in the the conditional variance equation, and studies the relationship between trading volume and return volatility. Finally comparing between Shanghai and Shenzhen 300 stock index futures and other mature markets, the stock index futures market Volatility features and comparative analysis.
The main conclusions obtained in this paper are as follows:
1. through the establishment of two state MS-EGARCH model, this paper draws on the states of high volatility and low volatility in China's CSI 300 stock index futures and stock index futures in Hongkong, South Korea's KOSPI200 stock index futures and the Nikkei 225 Stock Index futures have asymmetric characteristics of the same, that is in the two state of fluctuation, bad news and good news are relatively more can exacerbate the volatility of stock index futures market.
By introducing the 2. volume variables in the MS-EGARCH model, this paper verifies China's CSI 300 stock index futures and Hongkong stock index futures, volatility and trading volume relationship between South Korea's KOSPI200 stock index futures and the Nikkei 225 Stock Index Futures, this paper found that China's CSI 300 Stock Index Futures Volatility and trading volume are related positively in high volatility with low volatility, and has a much stronger correlation in high volatility.
3. the volatility of stock index futures, the comparison of different volatility. Found that Hongkong's Hang Seng Index Futures, the high volatility of Korea KOSPI200 stock index futures and the Nikkei 225 Stock Index futures market is a volatile phase, and the low volatility state corresponds to market volatility and stable stage, corresponding to the high volatility of China's Shanghai and Shenzhen 300 stock index the futures market trend is rising stage, and the low volatility state corresponding market downturn stage.
The innovation of this article is as follows:
First, we use the two state MS-EGARCH model to analyze the asymmetric characteristics of stock index futures yield volatility of Shanghai and Shenzhen 300 index futures and Hongkong, Korea and Japan.
Second, by introducing new volume variables into the conditional variance equation of MS-EGARCH model, we can analyze the relationship between return volatility and volume in different states.
Third, by comparing the asymmetric characteristics of the volatility of stock index futures in different markets, we can grasp the difference between the fluctuation of China's stock index futures market and the characteristics of stock market futures in several mature markets, and provide suggestions for the development of China's stock index futures market.
The shortcomings of this article are as follows:
First, this paper analyzes and compares the volatility between China's CSI 300 stock index futures and stock index futures market developed Asia several continuous contract, but did not consider several other contracts. In fact, the investors, can hold multiple contracts at the same time, this paper just took the most active trading in the month and quarter as continuous contract the object of study, the conclusions are not necessarily applicable to other kinds of contracts.
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