股指期货风险溢价现象的比较研究

发布时间：2018-07-28 13:03

【摘要】：木文由研究股指期货市场的风险转移功能入手,深入研究了海内外主要股指期货市场的风险溢价转移效应,根据常规的套期保值策略模拟,计算出各市场的风险溢价率,继而按照简化的二期不确定决策模型估计市场的风险厌恶系数,从而推断市场中套期保值者、投机者等市场参与者的参与程度,以及市场风险转移功能发挥的程度。国内对期货的风险溢价(Risk Premium)的研究较少,且目前也仅集中于商品期货；而国外对于股指期货的风险溢价的研究一般都以资本市场理论(如CAPM模型)为基础展开,类似于对一般证券市场的研究。这也是为什么本文从始自终都以一般期货市场自身的特性着手研究,从而发现股指期货市场的风险溢价本质。具体而言,以美国SP500、英国FTSE100、香港HSI、印度NIFTY、台湾TAIEX、新加坡富时中国A50以及我国沪深300等7种全球主要股指期货作为研究对象,市场数据均来自交易所的公开资料或权威数据库,如Bloomberg、 Wind和CSMAR.根据一般常规的套期保值策略模拟结果显示,所有样本市场的风险溢价率均显著为负,且大部分市场都显著以反向市场为主导,即卖方套期保值者为主的市场,除我国沪深300股指期货市场却显著以正向市场为主；成熟市场的风险溢价率的绝对值水平普遍低于新兴市场的水平。因此,成熟市场的经验值对我国鼓励股指期货市场发展而实施的政策导向提供了科学的依据。而且,本文首次根据简化的二期不确定决策模型进行实证检验,估算风险厌恶系数,部分显著结果表明套期保值者的参与程度受到整体市场风险变化的影响,由于全球市场风险的变化传导性,部分成熟市场和新兴市场之间也存在着某段时期内一致的变动趋势。最后,结论表明一般的股指期货市场普遍存在着与商品期货市场一样的风险溢价效应,且由于股票现货市场主要以多头为主,因此统计结果也证实股指期货市场则以空头套期保值为主,即套期保值者参与到股指期货市场中,将风险转移给投机者的同时,也支付相应的风险溢价作为补偿。然而,我国沪深300指数期货市场则表现出现相反的结果,主要原因在于目前我国股指期货市场才刚刚起步,政策上对于参与者有较为严格的限制,导致套机保值的机构参与者并不充分。然而,近期证监会正在有序不紊地推进公募基金参与到市场中,而且对《期货市场客户开户管理规定》的修订等举措,都表明我国股指期货正在向更完善的方向发展。
[Abstract]:By studying the risk transfer function of stock index futures market, this paper deeply studies the risk premium transfer effect of the major stock index futures markets at home and abroad, and calculates the risk premium rate of each market according to the conventional hedging strategy simulation. Then the risk aversion coefficient of the market is estimated according to the simplified two-stage uncertain decision model, and the degree of participation of market participants, such as hedgers and speculators, as well as the degree of market risk transfer function are inferred. There are few studies on the risk premium of futures in China, and at present only focus on commodity futures, while the research on risk premium of stock index futures abroad is generally based on the capital market theory (such as CAPM model). Similar to the study of the general stock market. This is why this paper starts to study the characteristics of the general futures market from the beginning to the end, and finds out the nature of the risk premium in the stock index futures market. Specifically, seven major global stock index futures, such as SP500 of the United States, FTSE 100 of the United Kingdom, HSI of Hong Kong, NIFTY of India, TAIEX of Taiwan, A50 of FTSE China in Singapore and 300 of China's Shanghai and Shenzhen stock indexes are taken as research objects. The market data are all from the public information or authoritative database of the exchange. For example, Bloomberg, Wind and CSMAR. According to the simulation results of general hedging strategy, the risk premium rate of all sample markets is significantly negative, and most of the markets are dominated by reverse market, that is, the market where the seller is the main hedger. Except for the Shanghai and Shenzhen 300 stock index futures market in China, the positive market is the main one, and the absolute value of risk premium rate in mature market is generally lower than that in emerging market. Therefore, the experience of the mature market provides a scientific basis for the policy direction of encouraging the development of the stock index futures market in China. Moreover, the empirical test is carried out for the first time according to the simplified second-stage uncertain decision model, and the risk aversion coefficient is estimated. Some significant results show that the participation of hedgers is affected by the change of overall market risk. Due to the transmissibility of global market risk, there is a consistent trend between some mature markets and emerging markets. Finally, the conclusion shows that the general stock index futures market has the same risk premium effect as the commodity futures market, and the stock spot market is mainly long. Therefore, the statistical results also confirm that the stock index futures market is mainly short hedging, that is, the hedgers participate in the stock index futures market, transfer the risk to the speculators, but also pay the corresponding risk premium as compensation. However, China's Shanghai and Shenzhen 300 index futures market shows the opposite result. The main reason is that the stock index futures market in our country is just beginning at present, and there are relatively strict restrictions on the participants in the policy. The institutional participants that lead to hedging are inadequate. However, recently, the Securities Regulatory Commission is promoting the public funds to participate in the market in an orderly and unorderly manner, and the revision of the regulations on customer account opening in the futures market shows that the stock index futures in China are developing towards a more perfect direction.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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