股指期货对现货价格发现及波动影响研究

发布时间：2017-12-31 03:17

本文关键词：股指期货对现货价格发现及波动影响研究　出处：《西南财经大学》2012年硕士论文　论文类型：学位论文

【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上市交易,这是国内资本市场经过多年论证、磨合后,走出的改革创新一大步。到目前为止,沪深300股指期货己经运行了将近两年时间,从市场交易情况来看,不论开户数还是交易量,股指期货市场都日趋活跃。那么沪深300股指期货推出对我国股票现货市场到底有什么样的影响,股指期货到底有没有发挥其理论上的价格发现、规避风险等功能,我们今后应该怎么更好地利用这一金融衍生品促进资本市场的发展,这些问题一直都是学术界、管理层、投资者关注的焦点。本文从期货与现货市场间的价格发现功能和波动性影响情况来研究,分析沪深300指数期货在推出后是否实现了其应有的积极功能。从而揭示沪深300指数期货上市后对现货市场造成的影响和带来的冲击,并分析这些现象出现的原因,帮助投资者加深对股指期货的理解,为自己的投资策略提供相关的依据,帮助监管部门进一步采取相应的措施和策略,以促进股指期货市场健康稳定发展。关于股指期货对股票现货市场的影响研究主要集中在讨论股指期货是否发挥了最基本的价格发现功能以及其推出是否增加股市波动性,从股指期货诞生那天起,学术界就对此进行了广泛的研究。在讨论股指期货的价格发现功能方面,现有的研究结论表明在相对较为成熟的资本市场,股指期货与现货市场的价格之间存在长期均衡关系,并且大部分的研究结果都表明股指期货在价格发现过程中占主导作用。国内学者大多运用沪深300指数期货仿真交易数据来进行研究,发现股指期货的价格发现功能尚未完全发挥,存在现货市场引导期货市场的现象。但是由于利用仿真交易数据来代替真实交易数据进行研究和实证,所得结论的可信度和说服力比较有限,与真实情况可能有所偏差。因此本文将借助沪深300股指期货正式推出以来的真实数据,对二者之间的价格发现功能进行研究。本文考察了沪深300股指期货推出后454个交易日价格的真实日频率数据,对两者的价格发现功能进行了实证。通过对股指期货价格与现货价格数据进行ADF平稳性检验发现两者都是非平稳时间序列。但经过一阶差分处理,二者都通过了E-G协整检验,说明两者之间存在着长期均衡的稳定关系。随后,本文通过建立向量误差修正模型(VEC)来具体研究股指期货与现货价格之间从短期偏离到长期均衡的调整过程。接下来,通过对两个时间序列进行Granger因果检验,发现股指期货价格与股指现货市场价格之间呈现出双向的引导关系,两者互为Granger因果原因。实证结果表明,价格发现功能是由两个市场共同完成的。短期来看股指期货对股指现货市场具有一定的价格发现能力。长期来看,当股指期货价格与现货价格发生偏离时,是经期货市场价格的更大程度的调节来完成纠正偏差。在研究股指期货对现货市场的波动影响方面,现有研究结论可归为四种：股指期货推出增加股票现货市场波动性、股指期货推出减少了股票现货市场的波动性、股指期货推出对股票现货市场波动没有影响、股指期货推出对股票现货市场波动的存在非单一影响。可以看出,目前,关于股指期货与股票现货市场的关系的研究,无论在理论上还是实证方面都存在很大分歧,因此有必要对此问题进行深一步的研究分析。并且,由于沪深300股指期货推出时间并不长,以此作为研究标的的文献较少,大部分现存文献都以欧、美、日等发达经济体的现行股指期货为研究对象,而中国的股票现货市场由于采用“T+1”制度、设置涨跌幅限制,因此,研究特有交易制度下的运行沪深300股指期货对股票现市场的影响具有现实意义。为了考察沪深300股指期货对股票现货市场波动性的影响,本文对ARCH族模型进行了修正,添加了虚拟变量以刻画沪深300股指期货推出这一事件。采用64个交易日的日交易数据、分钟高频数据对短期效应进行实证研究,结果表明,股指期货短期内增加了股票现货市场的波动性,但幅度较小；采用892个交易日的日交易数据对长期效应进行实证,结果表明,长期来看,股指期货推出对股票市场的影响是中性的,并不会显著增加或减少现货市场的波动性。此外,本文还运用TGARCH模型,分别对沪深300股指期货推出前后的数据分别进行拟合,实证结果显示,在指期货推出之后,我国股票市场中的杠杆效应消失了,这说明股指期货发挥了其避险作用,增加了市场的流动性,减轻了市场的恐慌性,这也是推出股指期货的意义之一。最后,在总结分析了实证研究结果之后,本文提出了对股指期货市场建设的若干建议,包括加强对股指期货及相关金融衍生品的投资者教育、加快机构投资者的入场步伐、加强对市场投资者的监管、提供套利交易的政策优惠等,对股指期货市场目前的不足和潜在的问题提出了看法和解决途径。现阶段可以算是股指期货成立的初期,此时研究股指期货与现货市场的价格发现关系虽然对投资者及监管者具有借鉴意义,但由于市场的不成熟,所得的结果可能会受到一定的影响。需要在股指期货推出后一段时间继续对二者的关系进行探究和关注。本文由于模型的限制未能采用高频数据进行更为深入的研究,但期货市场与股票市场的价格变动非常迅速,因此在进一步研究中可以采用更适合高频数据的模型以及样本量更大的高频数据来对二者价格发现方面的功能进行研究。沪深300股指期货对我国股票市场的影响是多方面的,例如在流动性及波动溢出方面都有影响,因此在后续的研究中需要考虑这些因素,更加全面的认识股指期货市场对现货市场的影响机制和原理。
[Abstract]:In April 16, 2010, the Shanghai and Shenzhen 300 index futures officially listed for trading in China financial futures exchange, this is the domestic capital market after years of demonstration, after the run out of the reform and innovation of a big step. So far, the CSI 300 stock index futures has been running for nearly two years, judging from market transactions, regardless of the number of accounts and trading volume, stock index the futures market has become increasingly active. So the CSI 300 stock index futures in the end what kind of impact on China's stock market, the stock index futures in the end there is no play on the theory of price discovery and risk aversion function, how should we make better use of the financial derivatives to promote the development of the capital market in the future, these problems have been is the academic management, the focus of investors. This article from the futures and spot markets between the function of price discovery and volatility influence research The analysis of Shanghai and Shenzhen 300 index futures after the launch is to achieve its positive function should be. So as to reveal the impact on the stock market of Shanghai and Shenzhen 300 index futures market and the impact, and analyze the reasons for these phenomena, help investors to deepen understanding of the stock index futures, provide the basis for their investment strategies, help regulators to take further measures and corresponding strategies, in order to promote the healthy and stable development of the futures market.
The research on the impact of stock index futures on stock spot market is mainly focused on whether stock index futures have played the most basic price discovery function and whether their launch will increase the volatility of stock market. Since the birth of stock index futures, academia has made extensive research on this.
In the discussion of the stock index futures price discovery function, the conclusion of the research shows that in the relatively mature capital market, there is a long-term equilibrium relationship between stock index futures and spot market prices, and most of the research results show that the stock index futures have been found Cheng Zhongzhan a leading role in the price. Most of the domestic scholars use the Shanghai and Shenzhen 300 index futures trading simulation data to study, found that the stock index futures price discovery function has not been fully played, the existence of a spot market futures market guide phenomenon. But instead of the real transaction data and empirical research using the simulation transaction data, the conclusion of the credibility and persuasion is limited, and the real situation may be biased. So this paper will use the Shanghai and Shenzhen 300 stock index futures real data has been officially launched, the two between the price discovery function is studied.
This paper examines the real daily data of 454 trading days the price after the launch of CSI 300 stock index futures, the price discovery function of the ADF. Through empirical testing the stationarity of the stock index futures price and spot price data found that the two are non-stationary time series. But after the first order difference, all two through the E-G cointegration test shows that a stable long-run equilibrium relationship exists between them. Then, this paper constructs a vector error correction model (VEC) to specific research between stock index futures and spot prices in the short-term adjustment process to deviate from the long-term equilibrium. Next, through the Granger causality test on the two time series, found between stock index futures and stock index spot market prices show a two-way relationship between the two guide, Granger causality. The empirical results show that the price discovery function is composed of two city In the short term, stock index futures have a price discovery capability for the stock index spot market. In the long run, when the price of index futures and spot prices deviate from the spot price, they are able to complete the correction bias by adjusting the futures market price to a greater degree.
In terms of the influence of the fluctuation of stock index futures on the spot market, the existing research results can be classified into four kinds: the introduction of stock index futures increased stock market volatility, stock index futures reduce the volatility of the stock market, stock index futures has no effect on the stock market volatility, stock index futures on stock market volatility exists not a single effect. It can be seen that, at present, the research on the relationship between stock index futures and spot market, there are great differences in both theoretical and empirical aspects, so it is necessary to ask questions of the further research. And, because of the CSI 300 stock index futures is not a long time, as a research subject in the literature, most of the existing literature in Europe, the United States, Japan and other developed economies, the current stock index futures as the research object, and the stock market by Chinese In the adoption of the "T+1" system, we set the price limit. Therefore, it has practical significance to study the impact of the Shanghai and Shenzhen 300 stock index futures on the stock market under the specific trading system.
In order to investigate the effects of Shanghai and Shenzhen 300 stock index futures on the volatility of the stock market, this paper modifies the ARCH model, adding a dummy variable to characterize the CSI 300 stock index futures this event. The daily trading data of 64 trading days, high frequency data for empirical research on short-term effect. The results show that the stock index futures increase the volatility of the stock market in the short term, but to a lesser extent; empirical, long-term effect of day trading data of the 892 trading days showed that the long term, the impact of stock index futures on the stock market is neutral and does not significantly increase or decrease the volatility of the stock market.
In addition, this paper uses the TGARCH model, respectively, before and after the CSI 300 stock index futures data were fitted respectively. The empirical results show that after futures launch, the leverage effect in Chinese stock market disappeared, the stock index futures to play its hedging effect, increase market liquidity, reduce panic the market, which is one of the introduction of the significance of the stock index futures.
Finally, in summing up the results of empirical research, this paper puts forward some suggestions on the construction of the stock index futures market, including strengthening the education of investors on the stock index futures and financial derivatives, accelerating the entry of institutional investors, strengthening the supervision on the financial market, provide arbitrage and other preferential policies, and put forward the views and solutions on the way the stock index futures market lack of current and potential problems. At this stage can be regarded as the initial establishment of stock index futures, the study of stock index futures and spot market price discovery although the relationship is of great significance for investors and regulators, but because the market is not mature, the results may be affected. After the launch of stock index futures for a period of time to continue to explore and focus on the relationship between the two. In this paper, due to the limitation of failed to model using high frequency data More in-depth research, but the price of futures market and the stock market is very fast, so the further research can be studied on the two aspects of the price discovery function using high-frequency data is more suitable for high frequency data model and a larger sample size. The Shanghai and Shenzhen 300 stock index futures on the stock market of our country is in many aspects, for example, has an impact on the liquidity and volatility spillover, therefore in the follow-up studies need to consider these factors, mechanism and effect of the principle of a more comprehensive understanding of the stock index futures market to the spot market.

【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】：F224;F832.5

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