沪深300股指期货价格发现、定价偏差及波动率研究

发布时间：2018-06-26 03:10

本文选题：沪深300指数 + 股指期货　；参考：《西南财经大学》2012年博士论文

【摘要】：2010年4月16日,沪深300股指期货在中国金融期货交易所正式挂牌交易,并且以超市场预期的表现成功站稳脚跟。作为我国第一个场内标准化的金融衍生产品,股指期货的平稳上市实现了国家监管部门“高标准,稳起步”的设计初衷。经过两年的发展,股指期货市场的参与人数、合约持仓量、日均成交量等指标稳步提高,市场规模逐渐扩大。从市场的显性指标看,沪深300股指期货市场可以说取得了初步的成功,基本上达到了预期的目标。随着券商自营账户、基金专户、QFⅡ、信托账户等参与股指期货的相关指导文件出台,机构投资者大规模参与股指期货交易的进程也逐渐加快。理论上,在一个完全有效的市场中,新信息应该同时反映在股指期货和现货价格上,信息在两个市场之间传导使得期现价格在长期处于一种均衡稳定状态。然而,现实中由于流动性、交易成本和投资者结构等因素的影响,股指期货与现货价格对信息的反应速度存在差异,价格会偏离长期均衡,即出现套利机会,套利交易使得价格进一步回归无套利区间。国外成熟市场的研究表明,股指期货由于具有高杠杆性、低交易成本、无卖空限制以及快速执行指令等优势,往往能更及时地根据市场信息调整价格,从而比现货市场具有更高的定价效率。沪深300股指期货上市后不到三个月的时间里股市大跌,不仅股指期货引导股票价格变化的预期没有出现(Yang等,2012),股指期货还因此被质疑加剧了股市波动；上市初期主力合约成交持仓比较高,市场内投机交易活跃。2010年9月底开始,指数价格加速上升,股指期货价格也大幅攀升,上升速度一度超过指数,价格波动居高不下,基差较高且持续为正,市场中套利交易不足。直到2011年上半年,各项指标才终于有所好转,价格波动趋于减缓,基差在均衡水平附近平稳变化,持仓量稳步上升,成交持仓比稳定在较低水平。特别地,投资者结构的改善为股指期货市场功能的有效发挥进一步创造了条件。虽然沪深300股指期货上市以来取得了较好的成绩,但其发展过程明显经历了几个不同的阶段,那么股指期货的价格发现机制是否已经形成?股指期货定价是否合理?股指期货是否存在向现货市场的波动溢出?股指期货上市是否起到了稳定现货市场的作用?对这一系列问题的研究实际上也是关于股指期货市场有效性的探讨。由于沪深300股指期货在国内上市时间较短,采用市场真实交易数据进行较系统、全方位和更细致的研究,变得极为必要和迫切,这正是本文的初衷。本文以我国新上市交易的沪深300股指期货为研究对象,对股指期货价格发现机制的形成过程进行深入探讨,并且从定价偏差(定价效率)、波动溢出效应(信息效率)以及稳定现货市场三个侧面展开讨论。最后,本文研究了两个市场基于高频数据的已实现波动率特征。全文共八章,结构安排和主要结论如下：第一章是绪论。主要阐述研究背景、研究意义、研究方法和内容,主要结论、创新点及不足,并给出本文的研究框架。第二章是理论基础与文献综述。主要给出了股指期货价格发现、定价偏差、波动溢出效应、对现货市场波动的影响、以及波动率模型的理论和研究综述,并对关于沪深300股指期货的相关研究进行评述。最后简要介绍了数据的结构突变检验方法。第三章是全文的核心部分,主要目的是研究沪深300股指期货价格发现机制的形成过程。文中首先通过成份股的实时交易数据计算沪深300指数价格,然后分析股指期货上市以来的运行情况,并通过统计方法研究数据的结构突变特征,最后分段估计VECM模型及TVECM模型。本章找到了沪深300股指期货价格发现机制的形成脉络：股指期货上市的前几个月,指数与期货相互影响,但指数在价格发现中起主导作用；2010年底最后几个月,指数与期货的价格发现功能都较弱,相比之下指数引导功能稍微强些；2011年上半年以来,股指期货终于奠定其价格发现功能的主导地位,指数加速向均衡水平调整。股指期货和指数的价格发现功能存在不对称性,在不同时期的表现存在差异。本文将行为金融理论与具体的市场环境相结合给出了一个可能存在的合理解释。股指期货价格发现功能的有效发挥受到期货市场投资者结构、成交量和持仓量(成交持仓比)、现货市场走势、以及基差大小和方向等多方面因素的影响；根据实证结果推断市场中参与交易的主要投资者类型,也是一个非常独特的视角。第四章分析了股指期货定价偏差的影响因素及其非线性调整过程,是关于股指期货市场定价效率的研究。文中通过指数红利点数计算股指期货理论价格,研究发现,市场中以正向定价偏差为主。期货价格的持续高估可以由交易成本来解释一部分,到期时间越长定价偏差越高,波动率与正向定价偏差呈现出正的相关性,上升的股票市场有利于减小定价偏差。采用TAR模型分段研究表明,定价偏差向均衡水平的调整表现出非线性特征,2010年市场中负向定价偏差(期货价格低估)调整速度较快,但是负向定价偏差占的比重较低；2011年上半年,正向定价偏差(期货价格高估)调整速度明显加快,并且正向偏差占的比重较高,定价偏差回归理性调整路径。第五章主要探讨了股指期货与现货市场间的波动溢出效应,即波动水平间的信息传递效应,是关于股指期货市场信息效率的研究。文中将误差修正项作为解释变量加入GARCH-BEKK模型,研究价格的长期均衡关系对市场波动的影响。结果表明,市场间存在双向的波动溢出效应；短期波动溢出效应以现货市场为主；持久性波动溢出效应在不同时段的表现不同：上市初期以期货市场为主,其后现货市场较大,2011年期货市场的持久性波动溢出明显增强；误差修正项对市场波动有显著影响,且在不同时段的表现存在差异。第六章主要考察股指期货上市对现货市场波动的影响,是关于股指期货稳定现货市场的研究。文中基于跳-扩散随机波动率模型讨论上市前后指数连续波动和跳跃特征的变化,并与股指期货各项指标作比较。研究发现,沪深300股指期货上市确实起到了稳定现货市场的作用,但这一稳定效果主要体现在指数波动率的连续部分,指数波动率的跳跃特征并没有出现特别明显的好转。具体表现为：股指期货上市后,指数连续波动向均值回归速度加快,连续波动呈现出逐渐降低的趋势；“杠杆效应”在经历短暂的消失后逐渐显现；指数跳跃波动在总波动中所占比重较高,但随着交易时间增加,指数平均跳跃次数和跳跃波动所占比重逐渐降低。股指期货市场的连续波动高于指数连续波动,平均跳跃次数高于指数跳跃次数,跳跃波动所占比重也较高。第七章进一步研究了基于高频数据的已实现波动率特征。首先将已实现波动率分解为连续波动和跳跃波动两部分,通过对HAR模型进行扩展研究波动率的长记忆性,以及收益率和交易量对波动率的影响。研究发现,已实现波动率的特征主要通过连续波动来体现,表现出较高的持续性。收益率对连续波动具有显著影响,价格发生变化会增大市场波动；交易量对连续波动影响显著,当期交易量增大连续波动,滞后期交易量减小连续波动。.另外,跳跃波动的可预测能力较低,收益率和交易量对跳跃波动的影响明显降低。最后一章是总结。综上可见,作为新兴股指期货市场,沪深300股指期货在经历了曲折的发展历程后,其价格发现功能已经基本成型,定价偏差回归理性调整路径,股指期货向现货市场的波动溢出效应逐渐增强。更重要的是,作为股票市场的稳定器,现货市场波动逐渐降低,股指期货上市起到了稳定现货市场的作用。随着机构投资者加快入市交易的步伐,股指期货获取信息的效率有了很大的提高,开始在信息传递中发挥主导作用,股指期货市场的有效性不断增强,逐渐走向理性成熟。本文可能的创新点有：(1)本文通过分段研究找到了股指期货价格发现机制的形成脉络,并考察了股指期货和指数价格发现功能的不对称性,最后将行为金融理论与具体的市场环境结合做了更深层次的探讨,分析更全面、彻底；(2)从时变特征来说,定价偏差的调整过程、波动溢出效应演变过程与价格发现机制的形成过程保持高度一致,最后归结到统一的结论上,即沪深300股指期货市场逐渐走向成熟有效；(3)与已有研究只关注波动率不同,本文从连续波动和跳跃波动两方面来考察波动率特征,并得出股指期货的稳定作用主要体现在指数连续波动上,已实现波动率具有长记忆性,收益率和交易量对连续波动影响显著等结论。本文的不足之处可能有：(1)在数据处理上,第三、四和五章分段后的样本一存在结构突变,可能会导致结论不稳定,文中没有再细分样本去研究；在考察股指期货稳定现货市场时,样本数据只有两年左右,时间稍短；由于数据所限,对已实现波动率的研究未考虑市场微观结构噪音的影响；(2)从研究内容上来说,本文大多只关注两个市场,未能充分考虑外界宏观经济因素的影响；文中没有单独研究非股指期货标的指数波动率的变化；(3)在研究方法上,全文主要做的是实证研究,创新也主要体现在实证结论上,理论创新力度还不太够。
[Abstract]:In April 16, 2010, the Shanghai and Shenzhen 300 stock index futures were formally listed on the China Financial Futures Exchange and succeeded in achieving the success of the market. As the first standardized financial derivatives in China, the smooth listing of stock index futures has realized the design original intention of "high standard and steady start" by the national supervision department. Two years of development, the number of participants in the stock index futures market, the contract holding volume, the daily average volume and so on, the market scale is gradually expanding. From the dominant index of the market, the Shanghai and Shenzhen 300 stock index futures market can be said to have achieved a preliminary success, basically reaching the expected goal. With the securities dealers' self account, the fund special account, QF II, letter The related guidance documents of participating in stock index futures have been introduced, and the process of large-scale participation of institutional investors in stock index futures has gradually accelerated.
Theoretically, in a fully effective market, the new information should be reflected in the stock index futures and spot prices at the same time. The transmission of information between the two markets makes the present price in a balanced and stable state for a long time. However, in reality, the stock index futures and the spot are affected by the factors such as liquidity, transaction cost and investor structure. There is a difference in the rate of price response to information, the price will deviate from the long-term equilibrium, that is, the arbitrage opportunity appears, the arbitrage trade makes the price return to the non arbitrage range further. Time and place adjust prices according to market information, thus having higher pricing efficiency than spot market.
The stock market plunged in less than three months after the Shanghai and Shenzhen 300 stock index futures market, not only the stock index futures have not been expected to lead to the change of stock prices (Yang, etc., 2012), and the stock index futures have been questioned to aggravate the volatility of the stock market; the initial contracts in the initial stage of the market are relatively high, and the speculative transactions in the market are active in the end of September, in the end of September,.2010. Index prices are rising rapidly, and stock index futures prices have also risen sharply, the rising speed has exceeded the index, the price fluctuation is high, the base difference is high and the market is not enough. Until the first half of 2011, the index has finally improved, the price fluctuation tends to slow down, the base difference is stable near the equilibrium level, holding the warehouse. The volume is steadily increasing, and the turnover ratio is stable at a lower level. In particular, the improvement of the investor structure has further created conditions for the effective function of the stock index futures market.
Although the Shanghai and Shenzhen 300 stock index futures have achieved good results since the listing of stock index futures, the process of its development has experienced several different stages, then whether the price discovery mechanism of stock index futures has been formed? Is the price of stock index futures reasonable? Is the stock index futures spillover to the spot market? Whether the stock index futures are listed on the market is stable or not The research on this series of problems is actually also a discussion about the effectiveness of the stock index futures market. Because of the short time in the domestic market of the Shanghai and Shenzhen 300 stock index futures, it is very necessary and urgent to use the real market data to carry out a more systematic, comprehensive and more detailed study. This is the original intention of this article.
This paper, taking the Shanghai and Shenzhen 300 stock index futures as the research object, discusses the formation process of the price discovery mechanism of the stock index futures, and discusses the three aspects of the pricing deviation (pricing efficiency), the volatility spillover effect (information efficiency) and the stable spot market. Finally, this paper studies the high level of the two markets. Frequency characteristics have been realized.
The paper consists of eight chapters. The main conclusions are as follows:
The first chapter is the introduction, which mainly describes the research background, research significance, research methods and contents, main conclusions, innovations and deficiencies, and gives the research framework of this paper.
The second chapter is the theoretical basis and literature review. It mainly gives the price discovery, pricing deviation, volatility spillover effect, the impact on the volatility of the spot market, the theory and research of volatility model, and reviews the related research on the Shanghai and Shenzhen 300 stock index futures. Finally, the structural mutation test of the data is briefly introduced. Method.
The third chapter is the core part of the full text. The main purpose is to study the formation process of the price discovery mechanism of Shanghai and Shenzhen 300 stock index futures. In this paper, the price of Shanghai and Shenzhen 300 index is calculated by the real time transaction data of the constituent stocks, and then the operation of the stock index futures is analyzed, and the structural change characteristics of the data are studied by the statistical method. Finally, the characteristics of the structural mutation of the data are studied. Finally, the structural change characteristics of the data are studied. Finally, the structural change characteristics of the data are studied. Finally, the structure of the data is studied. This chapter estimates the VECM model and TVECM model. This chapter finds the formation of the price discovery mechanism of Shanghai and Shenzhen 300 stock index futures: the first few months of the stock index futures market, the index and futures interact with each other, but the index plays a leading role in the price discovery; the index and futures price discovery function is weaker than the futures in the last few months of the end of the year, compared with the futures price discovery function. Since the first half of 2011, stock index futures have finally laid the dominant position of its price discovery function, and the index futures and indices have been adjusted to the level of equilibrium. The price discovery function of stock index futures and indices is asymmetrical in different periods. The effect of the stock index futures price discovery function is influenced by many factors such as the structure of the futures market investor, the volume and the position (turnover ratio), the trend of the spot market, the size and direction of the base difference, and deduce the market participation in the market according to the empirical results. The main investor type is also a very unique perspective.
The fourth chapter analyzes the influencing factors and the nonlinear adjustment process of the stock index futures pricing deviation. It is a study on the pricing efficiency of the stock index futures market. In this paper, the theoretical price of stock index futures is calculated by the index bonus points. The study finds that the positive pricing deviation is the dominant factor in the market. The sustained overvaluation of the price of the goods can be solved by the transaction cost. The longer the longer the expiration time, the higher the pricing deviation, the positive correlation between the volatility and the positive pricing deviation. The rising stock market is beneficial to reduce the pricing deviation. The TAR model segmentation study shows that the pricing deviation to the equilibrium level shows a nonlinear characteristic, and the negative pricing deviation (futures price is low) in the market in 2010. The adjustment speed is relatively fast, but the proportion of negative pricing bias is low; in the first half of 2011, the adjustment speed of positive pricing deviation (futures price overvaluation) was quicker, and the proportion of positive deviation was higher, and the pricing deviation returned to rational adjustment path.
The fifth chapter mainly discusses the volatility spillover effect between the stock index futures and the spot market, that is, the information transfer effect between the volatility level, which is about the information efficiency of the stock index futures market. The error correction term is added to the GARCH-BEKK model as an explanatory variable and the effect of the long term equilibrium relationship on the market volatility is studied. There is a two-way volatility spillover effect in the market, and the short-term volatility spillover effect is mainly in the spot market, and the performance of the persistent volatility spillover effect varies in different periods: the initial market is mainly in the futures market at the beginning of the market, then the spot market is larger, and the volatility spillover of the futures market in 2011 is obviously enhanced; the error correction item is on the market. There are significant differences in volatility and differences in performance at different time periods.
The sixth chapter mainly examines the impact of stock index futures on the volatility of the spot market. It is a study on the stock market of stock index futures. Based on the jump diffusion stochastic volatility model, the changes of the continuous volatility and jumping characteristics before and after the listing are discussed and compared with the indexes of stock index futures. The study found that the Shanghai and Shenzhen stock index futures are the 300 stock index futures. It does play a role in stabilizing the spot market, but the stability effect is mainly reflected in the continuous part of the index volatility, and the jump feature of the index volatility does not show a special improvement. The "leverage effect" appears gradually after the brief disappearance; the proportion of the index jump fluctuation is higher in the total fluctuation, but with the increase of the transaction time, the proportion of the exponential average jump times and the jump fluctuation gradually decreases. The continuous wave movement of the stock index futures market is higher than the index continuous fluctuation and the average jump times are high. In the exponential jump times, the proportion of jump volatility is also higher.
In the seventh chapter, we further study the characteristics of volatility based on high frequency data. First, we decompose the realized volatility into two parts of continuous wave and jump wave. By extending the long memory of the volatility by extending the HAR model, and the influence of the rate of return and the volume of the transaction on the volatility. The rate of return has a significant impact on the continuous fluctuation, the change of the price will increase the fluctuation of the market, the volume of transaction has a significant influence on the continuous fluctuation, the volume of transaction increases continuously and the volume of the lag period decreases continuously. In addition, the predictability of the jump fluctuation is lower, The impact of yield and trading volume on jump volatility is significantly reduced.
The last chapter is a summary.
To sum up, as a new stock index futures market, the price discovery function of Shanghai and Shenzhen 300 stock index futures has been basically formed after a tortuous development process, the pricing deviation regress to the rational adjustment path, the volatility spillover effect of stock index futures to the spot market is gradually enhanced. More importantly, as a stabilizer of the stock market, the spot market is more important. Volatility has gradually decreased, stock index futures have played a role in stabilizing the spot market. As institutional investors accelerate the pace of market entry, the efficiency of stock index futures acquisition information has been greatly improved, and it begins to play a leading role in information transmission. The efficiency of stock index futures market is increasing and gradually to rational maturity.
The possible innovation points of this paper are as follows: (1) in this paper, the formation of the price discovery mechanism of stock index futures is found through the sectional study, and the asymmetry of the index futures and index price discovery function is examined. Finally, the behavioral finance theory and the specific market environment are combined to do a deeper discussion, and the analysis is more comprehensive and thorough; (2) from time to time In terms of variable characteristics, the adjustment process of pricing deviation, the evolution process of volatility spillover effect and the formation process of price discovery mechanism remain highly consistent. Finally, it comes down to the unified conclusion that the Shanghai and Shenzhen 300 stock index futures market is gradually becoming mature and effective; (3) the volatility and jump fluctuation in this paper are different from those of the existing research. The two aspect is to investigate the characteristics of volatility and conclude that the stability of stock index futures is mainly reflected in the continuous fluctuation of index. The volatility has a long memory, the rate of return and the volume of the transaction have a significant impact on the continuous fluctuation.
The shortcomings of this paper may be as follows: (1) in data processing, there is a structural mutation in the sample of the third, fourth and five chapters, which may lead to the instability of the conclusion, and there is no further subdivision of the sample to study. The study of volatility does not take into account the influence of market microstructure noise; (2) from the research content, this paper mainly focuses on two markets and fails to fully consider the influence of the external macroeconomic factors; the change of the index volatility of non stock index futures is not studied separately in this paper; (3) the full text is mainly done in the research method. It is empirical research, and innovation is mainly reflected in the empirical conclusion, and the theoretical innovation is not enough.
【学位授予单位】：西南财经大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51

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