我国有色金属期货价格与同行业股票价格相关性研究

发布时间：2018-03-09 18:00

本文选题：股票价格　切入点：期货价格　出处：《西南财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：A股市场作为中国经济的晴雨表,经过20多年的发展,规模不断增长,经济地位也日益提高,是上市公司重要的融资渠道,也是我国投资者最重要的投资市场。2005年股权分置改革全面开展,中国股市逐渐走向全流通的时代,消除了非流通股东和流通股东的利益冲突,使得二者的利益趋向一致。上市公司的治理水平得到了明显改善,公司业绩得到了显著的提升。目前,中国大陆共有上海和深圳两个证券交易所、106家证券公司,形成了主板市场、中小板市场、创业板市场、三板市场以及新三板市场等多层次的市场格局。2010年12月31上市公司(A、B股)2776家,开户数15204万户,流通市值超过20万亿元相当于当年国内生产总值的一半。全年A股市场累计成交额达到三十万亿元,融资总额突破一万亿元,分红总额五千亿元。我国商品期货市场与股票市场几乎同时兴起,但是其发展道路却略显波折,经过十年的清理整顿,现在形成了上海期货交易所、大连商品交易所和郑州商品交易所三足鼎立的格局,目前我国有26个商品期货上市品种,种类涉及能源、金属和农产品。新修订的《期货交易管理条例》明确指出了期货市场是我国现代金融市场的重要组成部分,充分肯定了期货市场在价格发现和套期保值方面发挥着重要的作用,为我国期货行业的发展指明了方向。《条例》的颁布实施强化证监会的监管职能,建立期货投资者保障基金和对投资者的利益补偿机制,改善了我国期货行业的市场环境,有利于我国期货市场朝着健康、和谐、稳定的方向发展。2010年全国期货市场累计成交金额突破300万亿元,其中股指期货成交额占到成交总额的26%,市场运行平稳,表明股指期货合约在制度设计和交易安排方面设计合理。股票市场侧重于微观经济层面上经济资源的配置和公司风险定价,期货市场则侧重于宏观经济层面的社会经济风险的管理和商品价格发现。期货市场对于现货市场具有价格发现的功能,股票市场又被称作“经济的晴雨表”,如果把两者联系起来进行研究,探讨期货市场对于股票市场的价值发现功能将会更有利于把握经济形势和进行投资决策。研究股票市场与期货市场之间相互影响程度以及期货市场对股票市场的价格发现功能将有着重要现实意义。有效市场假说认为,在一个完全有效的市场中,一个特定的能够影响公司基本价值的信息能够迅速被投资者所知晓,随后市场竞争将驱使证券价格迅速准确地反映该信息,证券价格等于其“内在价值”。有效市场理论已经成为现代金融资产定价的理论基础。近年来,中国资本市场在金融产品创新方面的步伐正在加快,在传统的股票、债券和期货的基础上,进一步推出了可转换公司债券、可交换公司债券、认股权证、备兑权证和ETF等金融产品。尤其是2010年推出的股指期货合约更是受到了市场的青睐,为广大股票投资者提供了套期保值规避市场风险的有力工具,当年成交总额超过商品期货市场上任意单一商品期货品种,一举成为我国期货市场新的霸主。今年年初,中国金融交易所正式推出国债期货仿真交易,使得沉静了十几年的我国国债期货市场再次成为市场关注的焦点。金融产品创新的步伐正在加快,它不会因为次贷危机的爆发而暂停,也不会因为世界格局的改变而终止。对于相关金融市场的研究也越来越成为学者和金融从业人员的重要课题。本文选择上海期货交易所上市的铜、铝、锌三个期货品种及其与之对应的A股市场上以铜、铝、锌为主营业务市值最大的上市公司作为研究对象分析我国有色金属期货价格与股票价格相关性,并提出相应的建议。文章的研究特色在于：跨越了不同的金融市场,深入分析商品期货价格与相关上市公司股票价格的变动特征,探寻二者之间可能存在的内在联系,弥补国内对于该领域研究不足：另外本文采用最新的历史数据进行是实证分析,因此所得出的结论更具参考价值。本文以有效市场作为理论基础,选用单位根检验、格兰杰因果检验、Johansen协整检验、向量误差修正模型和脉冲响应分析等计量方法,综合得出以下结论。1)由于股票市场在卖空方面受到限制,涨跌停板幅度大于期货市场,使得有色金属股票的标准差明显大于期货合约的标准差,从而股票价格的波动比期货剧烈,股票市场蕴涵更大的风险。2)通过Johansen协整检验得出期货价格与股票价格之间存在长期的稳定关系,从而建立了向量误差修正模型。模型误差修正项的系数为负,符合误差修正模型的反向修正机制。其系数较小说明期货对于股票的修正速度较慢,并非是一步到位的,而是一个时期相对较长的过程。3)通过格兰杰因果关系检验发现,铜、铝的期货价格与相对应的股票价格之间存在双向的价格发现机制,期货市场与股票市场之间存在双向的引导机制,说明铜铝作为我国上市较早的有色金属期货品种,其发展较为成熟,铜铝金属期货价格对有色金属类上市公司的股票价格具有价格发现功能。4)通过脉冲响应分析发现股票价格对于自身一个标准差的反映强烈,对于期货价格一个标准差的影响则较弱。
[Abstract]:A stock market as a barometer of economic Chinese, after 20 years of development, the scale of the growing economy, it has become more and more important, is the important channel of financing of listed companies, is also the most important investors in China investment market.2005 share reform to carry out a comprehensive, Chinese stock market gradually to the full circulation of the times, to eliminate the interest conflicts between non tradable shareholders and tradable shareholders, the interests of the two tend to be consistent. The governance level of the listed companies has been significantly improved, the company's performance has been significantly improved. At present, there are China, Shanghai and Shenzhen Stock Exchange two, 106 securities companies, the formation of the motherboard market, small and medium-sized board market, gem in the market, the third market and three new board market multi-level market.2010 December 31 listed companies (A, b) 2776, accounts 152 million 40 thousand, market capitalization of more than 20 trillion yuan is equivalent to Half of the GDP. The annual A stock market total turnover reached 30 trillion yuan, the total financing exceeded one trillion yuan, the total dividend five hundred billion yuan. China's commodity futures market and the stock market rise almost simultaneously, but its development is slightly twists and turns, after ten years of rectification, now formed the Shanghai futures exchange, Dalian the commodity exchange and Zhengzhou commodity exchange at present a situation of tripartite confrontation pattern, 26 kinds of commodity futures listed species, including energy, metals and agricultural products. The newly revised "Regulations on the administration of futures trading" clearly pointed out that the futures market is an important part of modern financial market of our country, fully affirmed the futures market plays an important role in the price discovery and hedging, pointed out the direction. The promulgation and implementation of regulations on strengthening the supervision of the Commission for the development of China's futures industry The functions of the futures investment fund and the establishment of compensation mechanism for the interests of investors, improve China's futures industry market environment, conducive to China's futures market towards a healthy, harmonious and stable development of the.2010 National Futures Market cumulative turnover exceeded 300 trillion yuan, the stock index futures turnover accounted for 26% of total turnover and the smooth operation of the market, that stock index futures contracts in the system design and the design of reasonable trading arrangements.
The allocation of the stock market to focus on the micro economic level of economic resources and corporate risk pricing, found social economic risk in the futures market is focused on macroeconomic management and commodity prices. Futures market has the function of price discovery for the stock market, the stock market is referred to as the "barometer of the economy, if the two are linked the research, to explore the value of the futures market to the stock market's discovery function will be more conducive to grasp the economic situation and make investment decisions. Between the stock market and futures market mutual influence on the stock market and futures market price discovery will have important practical significance. The efficient market hypothesis holds that in a perfectly efficient market. A specific company can influence the basic value of information can be transmitted to investors quickly, then market competition will That stock prices reflect the information quickly and accurately, the stock price is equal to its intrinsic value. The efficient market theory has become the theoretical basis of modern financial asset pricing. In recent years, China capital market in the financial product innovation is accelerating the pace of the traditional stock, bonds and Futures Based on further launched Switching Company bonds, convertible bonds, warrants, warrants and ETF financial products. Especially in 2010 the launch of stock index futures contract is more favored by the market, provides a powerful tool for hedging to avoid market risks for investors, the total turnover of more than any single commodity futures market futures as one of China's futures market, the new overlord. At the beginning of this year, Chinese financial exchange officially launched bond futures trading, so quiet China's bond futures market for more than ten years once again become the focus of the market. The pace of financial innovation is speeding up, it will not stop because of the outbreak of the subprime crisis, not because the change of the world structure and terminated. For the study of financial markets is becoming an important topic for scholars and financial practitioners.
This paper chooses listed on the Shanghai Futures Exchange copper, aluminum and zinc futures of three and its corresponding A stock market to copper, aluminum and zinc as the main business of the largest market capitalization of listed companies as the research object, analysis of China's non-ferrous metals futures prices and stock price correlation, and put forward the corresponding suggestions. In featured articles the different financial markets, in-depth analysis of changes in commodity futures price and the stock prices of listed companies, to explore the possible inherent linkages between the two, to make up for domestic research in this field is insufficient: another paper uses historical data of the latest empirical analysis, so the conclusion is more valuable in order to effectively market. As the theoretical basis, using unit root test, Grainger causality test, Johansen cointegration test, vector error correction model and impulse response analysis The measurement methods, comprehensive conclusions.1) because the stock market restrictions on short selling, the price limit is greater than the futures market, the non-ferrous metal stocks was significantly greater than the standard deviation of the standard deviation of futures contracts, and stock price fluctuations than futures sharply, the stock market has a greater risk of.2) through Johansen cointegration test that there is a long-term stable relationship between futures prices and stock prices, so as to establish the vector error correction model. The coefficient of model error correction term is negative, with the reverse error correction model of the correction mechanism. The coefficient is smaller that futures for stock correction is slow, not in one step, but a period of relatively the long process of.3) by Grainger causality test found that the price of copper, there are two-way between aluminum futures prices and the corresponding stock price discovery machine There are two-way system, guiding mechanism between the futures market and stock market, listed as that of copper and aluminum non-ferrous metals futures earlier, its development is relatively mature, with copper and aluminum metal futures prices of non-ferrous metals listed company's stock price the price discovery function of.4) through the impulse response analysis shows that the stock price to reflect their own a standard the strong and weak effect on a standard futures price difference.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F724.5;F426.32;F224

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