沪深300股指期货价格发现功能实证分析

发布时间：2018-07-03 10:56

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

【摘要】：每一个完善、成熟的市场都是由众多的投资主体、丰富的产品和严格的市场制度组成的,资本市场也不例外。一个成熟的资本市场要求其有众多的充满活力的投资主体、健康完善的金融产品体系和完整、细化、严格的市场制度。审视我国的资本市场,虽然自改革开放以来已经实现了飞速的发展,具有比较丰富的金融产品,但是距离成为一个成熟、完善的资本市场还有不短的距离。我国的资本市场是一个单边的市场,我们的股票市场没有做空机制,没有一个行之有效的办法来用来对付市场的系统风险。当面临着股票市场的大涨大跌的时候,所有投资者所能做的只是在现货市场上进行抛售或者买进,而这样又进一步恶性循环的造成了股市更大的波动。针对这样的市场现状,推出股指期货是必然的发展趋势。股指期货,全称为股票价格指数期货,从名称便可以看出是以股票价格指数为标的资产的期货,是一种金融衍生产品。股指期货是资本市场发展到定阶段股票市场与期货市场结合而来的产物,是一种新型的金融衍生产品,自1982年世界上第一只股指期货——价值线指数期货在美国堪萨斯期货交易所诞生以来,不过短短三十年的发展历程,可是它在资本市场上却有着重要的地位。这是由于股指期货本身的特点使其具有稳定市场、防止市场大幅波动的作用。随着金融市场的发展、金融产品的丰富,影响市场的不确定因素也越来越多,这就使得股指期货这样可以充当市场稳定剂的金融产品成了现代金融市场不可或缺的重要组成部分。具体来说,股指期货交易是以标准的股指期货合约为载体进行的。股指期货合约是由交易所指定的以某一种股票价格指数作为标的物的标准化期货合约。合约详细的规定了标的指数的种类、合约乘数、保证金比例、到期时问、交割方式、结算方法等等一系列具体的交易规则。交易者根据期货合约的规定,在约定的时间按照约定的价格对标的物进行买卖交割,而一般来说由于其标的物为股票指数,无法实现实物交割,所以买卖双方就以现金来补足买卖价差以完成交易。股票市场的风险分为两大类,即非系统风险和系统风险。非系统风险又称为非市场风险或可分散风险。从其名称便可以知道这种风险是可以分散的,具体做法是通过投资组合的方式来分散风险,虽然不能完全消除但是通过精确的计算可以降到最低。与之相反的,系统风险又称为市场风险或不可分散风险。这种风险是由于市场上某些因素的变化而导致整个股市所有的股票面临的风险。导致系统风险的因素不在上市公司内部,上市公司本身对其不具有控制性,因此系统风险是造成股市大幅波动的元凶。股指期货具有稳定股票现货市场作用主要就体现在交易者通过在股指期货市场上的交易行为可以将股票市场上原本不能够消除的系统风险转移。具体做法是那些持有股票现货但却厌恶风险的交易者可以通过做空股指期货合约进行套期保值；同样那些在未来需要买入股票现货却厌恶风险的交易者可以做多股指期货合约进行套期保值。而股指期货的价格发现功能是使股指期货的套期保值、稳定股票市场、合理配置资本等诸多作用能够顺利完成的基础条件。股指期货对于金融市场的所有积极作用都是依托于价格发现功能而完成的,所以说价格发现功能是股指期货最基本的功能。因此对于“股指期货具有价格发现功能”这一命题的真伪就具有异常重要的意义,自股指期货诞生以来关于此问题的争论就没有停止过。从上世纪八十年代股指期货问世以后众多经济学家们就针对其价格发现功能做了大量的实证和理论分析,但是由于所选样本的差别、市场所处宏观经济环境迥异等等因素,造成论证结果也不尽相同。对于股指期货是否具有价格发现功能的观点大致分为三类：肯定、否定和无法确定。其实对于股指期货是否具有价格发现功能的论证即证明股指期货的价格是否领先于价格发现功能,或者换种说法便是股指期货价格是否为指数现货价格的原因。要验证哪种观点是正确的需要选取合适的样本数据来对其进行实证分析,便会得到一个确定的结果来验证在所选样本所在的股指期货市场内该股指期货是或者不是具有价格发现功能的。本文便是选取我国的沪深300股指期货价格和指数现货价格作为样本数据对股指期货是否具有价格发现功能进行实证分析。我国沪深300指数是由中证指数有限公司编制和维护的,以沪深股市中规模大、流动性好的300只A股作为成分股,基期为2004年12月31日,基点为1000点,运用派许加权综合价格指数公式进行计算。其选取的成分股覆盖范围广、代表性强,已经成为衡量我国股市发展状况的风向标,因此沪深300指数很适合作为股指期货的标的物。我国的沪深300股指期货便是以沪深300指数为标的的股指期货,于2010年4月16日在中国金融期货交易所挂牌上市,到今天已经运行了近两年的时间,市场交易活跃、运行情况稳定。本文选取我国的沪深300股指期货作为研究对象具有特殊的意义。首先,沪深300股指期货是我国内地本土诞生的第一只股指期货,从孕育到正式挂牌上市经历了近二十年的曲折历程。沪深300股指期货作为我国内地首只股指期货肩负着稳定我国股票市场、为广大投资者提供套期保值的平台、完善资本市场等等重要职责。但是由于我国社会形态不同于西方国家、经济发展历史具有自身特色,因此股指期货在我国资本市场中是否能达到预期的积极作用和效果、是否能成为我国未来的资本市场定价中心有待验证,这就需要针对我国的沪深股指期货数据进行分析和研究。而股指期货的众多功能中最基础的功能便是其价格发现功能,股指期货所具有的套期保值、风险转移、资产配置等一系列功能都是以价格发现功能为基础的。因此在我国“股指期货具有价格发现功能”这一命题的真伪就具有非凡的意义,需要以我国本土的股指期货交易的真实数据进行实证分析验证我国的股指期货是否具有价格发现功能。本文以我国沪深300股指期货与指数现货2010年4月16日到2010年11月30日和2010年12月1日到2011年12月30日价格的日数据、2011年6月8日到2011年12月30日价格的30分钟频率数据、2011年6月8日到2011年7月29日的5分钟步长的高频数据四组样本进行实证分析。之所以选取这四组样本数据的目的在于通过第一组和第二组不同时间区间数据分析结果的对比、第二、三、四组不同时间频率数据的分析结果对比得到较为全面的结论。本文的内容结构大致分为：首先对相关名词进行解释,如期货市场、股票指数、股指期货等定义的介绍；然后针对股指期货介绍世界股指期货的发展历史与我国的沪深300股指期货的现状介绍；第三对本文进行实证分析将要用到的检验方法和计量模型进行简单介绍；然后是本文最重要的部分——实证部分。本文的实证分析部分的主要步骤为：(1)对收集到的原始数据进行初步的描述性分析,使我们对数据有认知性的了解,再对其进行进一步的检验分析；(2)对经初步处理得到的样本数据进行检验分析,最先的检验分析是单位根检验,通过检验结果来确定时间序列是否具有平稳性,如果序列数据是不平稳的则对其进行差分处理直到其具有平稳性为止；(3)再对两组时间序列进行协整检验来判断二者之间是否存在长期的稳定状态(即协整关系),若存在协整关系,则再在协整检验的基础上建立误差修正模型来准确描述在短期内两组时间序列是如何相互影响以达到长期稳定关系的；(4)对平稳的两组时间序列或其平稳的差分序列进行Granger因果检验得到它们谁是原因谁是结果的结论。在完成了实证分析部分之后是本文的第五部分,也就是最后一部分,对实证分析的结果进行分析,结合我国金融市场实际情况探究造成此实证分析结果的原因。
[Abstract]:Every perfect and mature market is made up of a large number of investors, rich products and a strict market system, and the capital market is no exception. A mature capital market requires a large number of energetic investment bodies, a healthy and perfect financial product system and a complete, detailed and strict market system. Although the capital market has achieved rapid development since the reform and opening up, it has a relatively rich financial product, but it has no short distance to become a mature and perfect capital market. The capital market of our country is a unilateral market. Our stock market has no short mechanism, and there is no effective method. To deal with the systemic risk of the market. When the stock market is in a big drop, all the investors can do just to sell or buy in the spot market, and the further vicious cycle has caused a greater volatility in the stock market.
Stock index futures, all known as stock price index futures, can be seen from the name of the stock price index as the underlying asset futures, is a financial derivative product. Stock index futures is the product of the development of the capital market to the fixed phase of the stock market and the futures market, is a new type of financial derivatives, from the 1982 World. The first stock index futures, since the birth of the value line index futures in the Kansas futures exchange of the United States, is only thirty years of development, but it has an important position in the capital market. This is due to the characteristics of the stock index futures itself, which has the effect of stabilizing the market and preventing the large fluctuation of the market. The development, the wealth of financial products, and more and more uncertainties affecting the market, which makes the stock index futures as a market stabilizer, has become an indispensable part of the modern financial market.
Specifically, the stock index futures transaction is carried out by the standard stock index futures contract. The stock index futures contract is a standardized futures contract designated by the exchange with a stock price index as the target. The contract specifies the categories of the index, the number of contracts, the margin ratio, the expiration time, the way of delivery, and the conclusion of the contract. A series of specific rules of transaction, such as the method of calculation, and so on. According to the stipulations of the futures contract, the trader is able to deliver the sale at the agreed time to the subject matter at the agreed price, and generally, because its target is the stock index, it can not achieve the physical delivery, so the buyer and seller will make up the sale spread by cash to complete the transaction.
The risk of the stock market is divided into two categories, namely, non system risk and system risk. Non system risk is also known as non market risk or dispersible risk. From its name, it can be known that the risk can be dispersed, and the concrete practice is to disperse the risk through the way of portfolio, although it can not be completely eliminated but through accurate calculation. In contrast, the system risk is also known as the market risk or the non dispersive risk. This risk is due to the changes in the market factors that lead to the risk of all stocks in the stock market. The factors that cause the system risk are not within the listed company, and the listed company itself is not controlled by the listed company itself, so the system is not in its own control. Risk is the culprit in the stock market.
Stock index futures have the effect of stabilizing stock spot market, which is mainly reflected in the system risk transfer that can not be eliminated in the stock market by trading behavior in stock index futures market. Hedging; the same traders who need to buy stock in the future but disgust risk can make multiple stock index futures contracts for hedging. The price discovery function of stock index futures is the basic condition that can make the stock index futures hedging, the stock market, the rational allocation of capital and so on. All the positive effects of futures on the financial market are based on the price discovery function. Therefore, the price discovery function is the most basic function of the stock index futures. Therefore, the authenticity of the proposition of "the price discovery function" of "stock index futures" is of great significance. Since the stock index futures came out in 80s of last century, many economists have done a lot of empirical and theoretical analysis on its price discovery function, but the results are not the same because of the difference in the selected samples and the macro economic environment in the market. Whether the goods have the function of price discovery can be roughly divided into three categories: affirmation, negation and uncertainty.
In fact, whether the stock index futures have the price discovery function proves whether the price of the stock index futures is ahead of the price discovery function, or whether the stock index futures price is the reason for the index spot price. We will get a definite result to verify that the stock index futures in the stock index futures market where the selected samples are located is or does not have the function of price discovery. This article is to choose our country's Shanghai and Shenzhen 300 stock index futures price and the index spot price as sample data to make an empirical analysis of the price discovery function of the stock index period goods. Analysis.
The Shanghai and Shenzhen 300 index is compiled and maintained by the China Securities Index Co. The 300 A shares in the Shanghai and Shenzhen stock market are large in scale and good in liquidity. The base period is December 31, 2004 and the base point is 1000. In order to measure the vane of the development of China's stock market, the Shanghai and Shenzhen 300 index is very suitable as the target of the stock index futures. The Shanghai and Shenzhen 300 stock index futures are the stock index futures with the Shanghai and Shenzhen 300 index as the standard. In April 16, 2010, the Shanghai and Shenzhen stock index futures were listed on the Chinese financial futures exchange, and the market has been running for nearly two years. The transaction is active and the operation is stable.
This paper selects the Shanghai and Shenzhen 300 stock index futures as the research object. First, the Shanghai and Shenzhen 300 stock index futures are the first stock index futures in the mainland of our country. The stock index futures of Shanghai and Shenzhen stock index futures have undergone a zigzag course for nearly twenty years. The Shanghai and Shenzhen 300 stock index futures are the first stock index futures in the mainland of China. The stock market of our country provides the platform of hedging for the majority of investors and consummate the important responsibilities of the capital market. However, because the social form is different from the western countries, the history of economic development has its own characteristics, so whether the stock index futures can achieve the expected positive effect and effect in the capital market of our country and whether it can be made or not. China's future capital market pricing center needs to be verified, which requires analysis and Research on the Shanghai and Shenzhen stock index futures data in China. The most basic function of the stock index futures is its price discovery function, the hedging of the stock index futures, the risk transfer, the asset allocation and so on is the price of the stock index futures. The authenticity of the proposition that the stock index futures have the price discovery function is of great significance. It is necessary to make an empirical analysis of the real data of the stock index futures trading in our country to verify whether the stock index futures of our country have the function of price occurrence.
In this paper, we take the daily data of the Shanghai and Shenzhen 300 stock index futures and the index spot from April 16, 2010 to November 30, 2010 and December 1, 2010 to December 30, 2011, the 30 minute frequency data of June 8, 2011 to December 30, 2011, four groups of high-frequency data from June 8, 2011 to 5 minutes. The purpose of the four sets of sample data is to compare the results of data analysis between the first and second groups of different time intervals, and to compare the results of the second, third, four groups of different time frequency data to get a more comprehensive conclusion.
The content structure of this article is divided into the following: first, explain the relevant nouns, such as the introduction of futures market, stock index, stock index futures and so on; then, introduce the development history of the stock index futures and the present situation of China's Shanghai and Shenzhen 300 stock index futures for stock index futures; third the empirical analysis will be used in this paper. The main part of this paper is the most important part of this paper. The main steps of the empirical analysis are: (1) a preliminary descriptive analysis of the collected raw data so that we have a cognitive understanding of the data and further analysis of the data; (2) to the classics The initial analysis of the sample data is tested and analyzed. The first test analysis is the unit root test. The test results are used to determine whether the time series is stable. If the sequence data is unstable, the difference processing is carried out until it has the stability. (3) then the two sets of time series are cointegration test. Whether there is a long-term stable state (i.e. cointegration) between the two broken ones, if there is cointegration relationship, then the error correction model is established on the basis of cointegration test to accurately describe how the two groups of time series are affected to achieve long-term stability in the short term. (4) the stationary two groups of time series or the stationary difference of their difference. The sequence carries on the Granger causality test to get them who is the reason who is the conclusion of the result. After the completion of the empirical analysis part, the fifth part of this paper is the last part, the results of the empirical analysis are analyzed, and the reasons for the results of the empirical analysis are explored in combination with the actual situation of the financial market in China.
【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】：F832.5;F224

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