基于CVaR的中国股指期货市场风险预警

发布时间：2018-11-25 17:04

【摘要】：股指期货交易在中国推出不久，相关的法制法规和监管措施尚不完善，加上交易自身具有的投机性及高杠杆性，这使得投资者会面临较大的风险。为了防止股指期货交易风险向股票融资市场和实体经济扩散，必须稳定股指期货市场收益，降低股指期货市场的投资风险。通过选取2010年4月到2011年12月期间内五只典型股指期货合约进行统计特征分析，可以看到其收益序列符合基本的正态分布，样本数据具备一阶自相关和偏自相关，，且通过了ARCH效应检验，可以用于GARCH-M模型的构建。此外，通过选取10个重要的宏观经济指标进行最小二乘法和单位根检验，从中发现对股指期货市场有显著长期影响的指标和短期影响指标，可以运用于中国股指期货市场风险的度量。在将对股指期货市场有显著影响的宏观经济指标加入GARCH-M模型后对其进行优化，可以看出在我国股指期货推出之初，因市场的规章制度尚不完善，影响合约收益的不确定性因素较多，运用该模型进行拟合和预测的效果并不理想。而从2011年开始，在股指期货市场有效运行几个季度后，股指期货的市场成熟度提高，残差始终在两个标准差的范围内，拟合和预测结果较好。而以GARCH-M模型为基础，在GED分布下以CVaR方法计算出每个月的最大损失值，并进行了2012年1月份最大损失值的预测后，在风险度量的基础上进行风险分离，得出CPI、汇率等因素对中国股指期货收益的变动有较大的影响，进而有针对性的从抑制通货膨胀、稳定人民币汇率和控制流通中的货币供应量三方面进行宏观经济调控，从而稳定股指期货市场收益，降低股指期货市场的投资风险。
[Abstract]:Not long after the launch of stock index futures trading in China, the relevant legal regulations and regulatory measures are not perfect, plus the speculative and highly leveraged nature of the trading itself, which makes investors face greater risks. In order to prevent the stock index futures trading risk from spreading to the stock financing market and the real economy, it is necessary to stabilize the income of the stock index futures market and reduce the investment risk of the stock index futures market. Through the statistical analysis of five typical stock index futures contracts from April 2010 to December 2011, we can see that the return sequence accords with the basic normal distribution, and the sample data have first order autocorrelation and partial autocorrelation. Through the ARCH effect test, it can be used in the construction of GARCH-M model. In addition, by selecting 10 important macroeconomic indicators for the least square method and unit root test, we find that there are significant long-term and short-term impact indicators on the stock index futures market. It can be used to measure the risk of Chinese stock index futures market. After adding the macroeconomic index which has significant influence on the stock index futures market into the GARCH-M model, we can see that at the beginning of the introduction of stock index futures in our country, the rules and regulations of the market are not perfect. There are many uncertain factors influencing contract income, and the effect of fitting and forecasting by this model is not ideal. Since 2011, the market maturity of stock index futures has been improved, and the residual error has always been within the range of two standard deviations, and the fitting and forecasting results are better. On the basis of GARCH-M model, the maximum loss value of each month is calculated by CVaR method under GED distribution. After forecasting the maximum loss value in January 2012, the risk is separated on the basis of risk measurement, and CPI, is obtained. Exchange rate and other factors have great influence on the change of stock index futures income in China, and then carry out macroeconomic regulation and control from three aspects: restraining inflation, stabilizing the RMB exchange rate and controlling the money supply in circulation. In order to stabilize the income of stock index futures market, reduce the investment risk of stock index futures market.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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