股指期货市场风险管理与量化策略研究

发布时间：2018-03-19 15:34

本文选题：股指期货　切入点：变结构协整检验　出处：《中国科学技术大学》2012年博士论文　论文类型：学位论文

【摘要】：近年来,股指期货已发展成为全球资本市场上重要的金融衍生品,为投资者提供了一个不可或缺的投资及对冲的工具。我国已于2010年4月16日在中国金融期货交易所推出了沪深300指数股指期货,标志着中国的金融期货市场迈进了一个崭新的阶段,具有里程碑式的历史意义。股票指数期货具有价格发现、风险转移及资产配置的功能,投资者可以通过投资股指期货而将股票市场价格指数的预期风险转移至股指期货市场。股指期货和现货市场之间的关系是金融市场中最受关注的问题之一。究其原因是,期货合约具有价格发现功能,可以为现货市场提供预测和解释性信息；也有助于投资者对股指期货趋势投资、套期保值等功能更深入的认识。股指期货市场存在价格波动大、保证金杠杆交易等特点,随着股指期货市场的深入发展,如何对股指期货风险进行正确的识别及管理已成为一个重要的问题。股指期货除了可以用来实现套期保值,还可以结合资本市场上的其他产品进行灵活的配置从而提升产品的绩效,极大地丰富了相关结构性产品的开发。因此,本文基于上述方面的问题,利用我国沪深300股指期货真实的市场数据,结合股指期货推出初期的情况展开研究。论文分为绪论、研究主体(共三篇)及总结与展望三大部分,具体结构及内容如下：第一章绪论简要介绍了本文研究的背景和意义,归纳了相关研究的文献综述,阐述了研究内容、结构及主要创新点。第一篇主要讨论我国股指期货市场的运行机制。其中,第二章依据我国的股指期货市场仍处于推出初期的客观情况,推断该市场与指数现货市场之间存在结构性的变化。变点存在的直观证据是期现两市场之间的动态条件相关关系的异动；其统计依据由基于残差的变结构协整检验和邹氏变点检验提供。分阶段Granger因果检验发现：变点前后两个市场引导关系发生转变,并因此得出我国股指期货市场的价格发现机制尚未完全形成,有待进一步发展的结论。在第三章中,利用三阶段门限自回归模型研究了我国股指期货市场的非线性特征及均值回复机制,并给出了有别于传统持有成本模型的无套利区间。该模型估计出的门限值反映出我国现货卖空制度缺失导致反向套利成本过高,只能由市场的投机力量来实现自我矫正的现状。第二篇主要讨论我国股指期货市场的风险管理。风险管理是金融市场中永恒的话题之一,而风险的定义及度量是风险管理的基础和核心问题。在第四章中,介绍了股指期货市场常用的波动率模型及评价模型的损失函数。本文指出,对于波动率建模,现有的准则选取的模型存在着过度拟合的缺陷。首次提出了一种基于拟合优度及平滑性相权衡的新方法,并应用于评价股指期货市场基差的波动率模型。实证结果表明,新方法有效地缩小了模型的选择范围。第五章,对市场的股指期货与指数现货序列分别运用门限双自回归模型建立VaR的估计模型,并运用拟极大似然方法给出了模型的估计。由实证结果,TDAR-VaR模型能够很好地捕捉股指期货市场中的结构变动、“杠杆效应”、非对称性等非线性现象,是VaR估计的有效方法。第三篇主要讨论股指期货在量化策略及资产配置中的应用。第六章,重点讨论了股指期货市场期现套利中的核心问题：如何构建指数现货组合。首先通过模拟比较了几种有代表性的模型在不同情景下的表现,并选用SIS高维选元模型对国内股指期货市场的数据进行了实证分析。第七章,首先对海外机构投资者股指期货的应用进行了考察,结合国内证券投资基金投资股指期货的指引,研究股指期货在金融产品中的创新,并对国内机构运用股指期货进行资产配置及产品设计给出了建议。最后,总结了本文的主要内容及进一步的研究展望。
[Abstract]:In recent years, the stock index futures has become an important global capital market of financial derivatives, provides an indispensable tool for investors and hedge investment. In April 16, 2010 China has Chinese in financial futures exchange launched the Shanghai and Shenzhen 300 stock index futures, marking the Chinese financial futures market entered a new stage that has historical significance of milepost type.
Stock index futures is price discovery, risk transfer and asset allocation, investors can invest in stock index futures and stock market price index is expected to transfer risk to the stock index futures market. The relationship between stock index futures and spot market is one of the most popular financial market concerns. The reason is that the price of futures contracts that function, can provide predictive and explanatory information to the spot market; also helps investors in the stock index futures investment trends, understanding function of hedging deeply. The stock index futures market has price volatility, leverage trading characteristics, with the further development of the stock index futures market, how to identify and correct management the risk of the stock index futures has become an important issue. In addition to the stock index futures can be used for hedging, can also be combined with capital market Other products are configured flexibly to improve the performance of the product, which greatly enriches the development of the related structural products.
Therefore, this paper based on the above problems, the use of market data of China's Shanghai and Shenzhen 300 stock index futures stock index futures with real, early stages of the study. The thesis is divided into introduction, main body of research (three papers) and the summary and Prospect of the three parts, the specific structure and content are as follows:
In the first chapter, the introduction briefly introduces the background and significance of the study, summarizes the literature review of the related research, and expounds the research content, structure and the main innovation points.
The first chapter mainly discusses the operation mechanism of China's stock index futures market. The second chapter based on the stock index futures market in China is still in the early launch of the objective situation, there is a structural change between the market and the stock market index inferred. Direct evidence of the change point is the dynamic conditions between the periods of the current two market related transaction according to statistics provided by the residuals; the variable structure cointegration test and zoushi based on change point test. Granger causality test found that the phase change point before and after the two market leading relationship changed, and then the goods market in China stock index futures price discovery mechanism has not yet fully formed, further development of the conclusion in third. Chapter, auto regression model to study the nonlinear characteristics and the value of China's stock index futures market recovery mechanism using three stage threshold, and presents is different from the traditional cost model The threshold value estimated by this model reflects the shortage of spot selling system in China, which results in the high cost of reverse arbitrage, which can only be realized by the speculative force of the market.
The second chapter mainly discusses the risk management of China's stock index futures market. The risk management is one of the eternal topic in the financial market, and the risk definition and measurement is the core and foundation of risk management. In the fourth chapter, introduces the function loss rate model and evaluation model of stock index futures market volatility. This paper points out that the common. For volatility modeling, the existing model selection criteria for defects of over fitting. A new method is proposed based on the goodness of fit and smoothness of the balance, and applied to the evaluation of the basis of stock index futures market volatility model. The empirical results show that the new method effectively reduces the scope of the model. The fifth chapter, on the spot market stock index futures and index sequence were used to estimate model of double threshold autoregressive model of VaR is built, and the use of quasi maximum likelihood estimation method of the model are presented. From the empirical results, the TDAR-VaR model can well capture the structural changes in stock index futures market, such as the leverage effect, asymmetry and other nonlinear phenomena, which is an effective way of VaR estimation.
The third chapter mainly discusses the application of stock index futures in the quantitative strategy and asset allocation. The sixth chapter focuses on the core problem of the stock index futures market arbitrage: how to construct the index spot portfolio. Firstly by comparison of simulation performance of several representative models in different scenarios, and makes an empirical analysis with the data of SIS high Weixuan element model of domestic stock index futures market. In the seventh chapter, the first application of institutional investors overseas stock index futures were investigated, combined with the domestic securities investment funds in the stock index futures of stock index in the guidelines, financial product innovation in the futures, and the domestic institutions to use stock index futures for asset allocation and product design are given the proposal.
Finally, the main content of this paper and the prospect of further research are summarized.

【学位授予单位】：中国科学技术大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F224;F832.51

【引证文献】