股指期货市场与股票市场价格发现功能与波动溢出关系实证研究

发布时间：2018-02-23 17:37

本文关键词： 股指期货股票市场价格发现波动溢出　出处：《东北财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：股指期货是指以股价指数为标的物的标准化期货合约。自1982年世界上第一张股指期货在美国堪萨斯期货交易所上市交易以来,历经了近一个世纪,股指期货在金融市场中发展最晚,但却是最为成功的金融衍生产品。它同时也是金融衍生产品中发展最为迅速,流动性和交易量最好的。我国于2010年4月16日推出以沪深300指数为标的物的沪深300指数期货合约,从此我国步入股指期货时代。而沪深300指数期货上市以后,沪深股市的波动性明显增强了,尤其是下跌时较股指期货推出之前更快,更猛。这一现象在很多国家推出股指期货期间都有出现,那么股指期货对股票市场的趋势和波动性会产生何种影响,股票市场是否又会对股指期货市场有类似的影响,这都是市场的投资者与监管机构关心的问题。本文就将从股指期货市场及股票市场的价格发现功能,及波动溢出效应两方面出发,来研究两市场之间价格的引导关系和信息在两市场间的传递。就这些问题的研究本文引入了四个国家进行比较分析,这四个国家分别为成熟市场的美国,日本,与新兴市场的印度和中国。这样做不仅可以比较成熟市场与新兴市场在股指期货与股票市场之间的关系的异同,更重要的是得出我国与这些国家研究结果的差距,从而找出我国股指期货市场发展的方向,加快我国股指期货市场从新兴市场向成熟市场发展。本文以四个国家股指期货以及其对应的现货指数的5分钟高频数据做样本,应用向量误差修正模型来研究股指期货市场和股票指数市场价格发现关系；运用脉冲响应函数来分析价格引导关系的内部结构,以及利用方差分解方法来得出两市场在价格发现过程中的贡献程度；借助双变量T-GARCH模型来研究两市场间的波动溢出效应及非对称性效应。创新特色为： (1)本文运用VEC模型来研究股指期货与现货市场的价格发现功能,向量误差修正模型不仅表现出两市场间的长期均衡关系,还可以研究股指期货与现货市场短期的价格的引导关系。用此方法与以往的研究得出的结论略有不同,得出的结论为现货价格在价格发现中占主导地位； (2)本文研究股指期货与现货市场的波动溢出效应所采用的是双变量T-GARCH模型,它考虑到了市场的ARCH效应(市场波动溢出效应),GARCH效应(市场波动受上期预期方差影响),与不对称效应(反映市场非对称性)等,使研究的角度更全面。 (3)不同于以往国内文献只研究国内市场,本文引入3个其他国家的市场进行研究,还加入了新兴市场与成熟市场的对比,使得对股指期货市场与现货市场的研究更有依据,也能更好的研究我国证券市场的特点和发展方向。主要结论： (1)基于向量误差修正模型得出现货市场价格发现占主要地位,即总体上现货价格引导股指期货价格。而短期两市场价格存在双向格兰杰因果关系,各国得出短期价格领先滞后关系略有不同,我国短期股指期货的价格发现功能更有优势,即在短期内股指期货价格领先现货价格。 (2)基于脉冲响应和方差分解方法进一步证明了现货市场在价格发现中占主导地位。 (3)基于双变量T-GARCH模型得出对四个国家来说股指期货市场长期收敛于现货市场,即现货市场占主导地位。而且两市场都存在着明显的双向波动溢出效应,说明信息在两市场间的传递是相互的。成熟市场的股指期货市场波动溢出效应显著,新兴市场的现货市场波动溢出效应更显著。 (4)美国,中国两市场都存在明显杠杆效应,印度股指期货市场存在杠杆效应,日本两市场杠杆效应都不显著。而杠杆效应的结果都很一致,都是市场对“坏消息”更敏感,利空消息更能导致市场波动加剧。
[Abstract]:Stock index futures is a standardized futures contract with stock index as the subject matter. Since 1982 the world's first stock index futures traded on the Kansas futures exchange, after nearly a century, the stock index futures is the latest development in the financial market, but it is the most successful financial derivative products. At the same time is the financial derivative products in the most rapid development, liquidity and trading volume of the best.
China launched in April 16, 2010 in Shanghai and Shenzhen 300 index for the subject of the CSI 300 index futures contracts, since China entered the era of stock index futures. The Shanghai and Shenzhen 300 index futures after the listing, the Shanghai and Shenzhen stock market volatility increased significantly, especially when a stock index futures fell before the launch of the faster, more fierce. This phenomenon in many countries have appeared during the launch of stock index futures, the stock index futures on the stock market trends and volatility will be affected, whether the stock market will have a similar effect on the stock index futures market, this is all about market investors and regulators.
This article from the stock index futures market and stock market price discovery function, two aspects and volatility spillover effect, to study the two market leading relationship and information transfer between prices in the two markets. The research in this paper is introduced in four countries through the comparison and analysis of the four countries respectively in mature markets the United States, Japan, and the emerging market of India and Chinese. It can not only make a comparison of the mature markets and emerging markets in the relationship between stock index futures and stock market, more important is the results in China and these countries, so as to find out the development direction of China's stock index futures market, accelerate our country the stock index futures market development from emerging markets to mature markets.
Based on the four national stock index futures and its corresponding spot index 5 minutes high frequency data sample, the application of vector error correction model to study the stock index futures and stock index market price discovery relationship; by using pulse to analyze the internal structure of the relationship between the guide price response function, and variance decomposition method to derive the two market contribution the degree in the process of price; to study the volatility spillover effect between the two markets and the asymmetric effect with double variable T-GARCH model.
The innovation features are as follows:
(1) found the VEC model is used to study the stock index futures and spot market price, vector error correction model not only shows a long-term equilibrium relationship between the two markets, we can also study the stock index futures and spot market prices to guide short-term relationships. By using this method and the conclusion obtained is slightly different, the conclusion for the spot price in the price discovery in the dominant;
(2) the volatility spillover effect of stock index futures and spot market is studied in this paper by the bivariate T-GARCH model, it takes into account the effect of the ARCH market (market volatility spillover effect (GARCH effect), market volatility by the expected variance and asymmetric effect (influence), reflecting the market asymmetry), make the research more comprehensive perspective.
(3) different from the previous literature only on the domestic market, this paper introduces 3 of the market in other countries, also joined the comparison of emerging markets and mature markets, the stock index futures market and spot market research more basis, characteristics and direction of development of China's securities market research will be better.
The main conclusions are as follows:
(1) the vector error correction model the spot market price discovery occupies the main position based on the general guide spot price index futures price. And there is a two-way causal relationship between Grainger price of two market, countries that short-term price lead lag relationship is slightly different, more short-term advantage function of China's stock index futures price, which means that the stock index at the short-term futures prices leading the spot price.
(2) based on the impulse response and the variance decomposition method, it is further proved that the spot market occupies the dominant position in the price discovery.
(3) dual variable T-GARCH model for four countries stock index futures market long-term convergence in the spot market based on the spot market is dominant. And two markets exist obvious two-way fluctuation spillover effect, information transmission in the two markets is mutual. Stock index futures market volatility spillover effect in mature markets obviously, spot market volatility spillover effect is more significant in emerging markets.
(4) the United States, have obvious leverage effect Chinese two market, India stock index futures market has leverage effect, leverage effect of two Japanese market is not significant. And the result of the leverage effect is favorable, the market is more sensitive to bad news, bad news can lead to increased market volatility.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.5

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