中国股指期货与现货间信息传导与交互作用的研究

发布时间：2017-12-31 05:33

本文关键词：中国股指期货与现货间信息传导与交互作用的研究　出处：《哈尔滨工业大学》2016年博士论文　论文类型：学位论文

【摘要】：股指期货是以股票价格指数为交易标的的一种金融衍生产品。自20世纪80年代在美国诞生以来,股指期货在全世界范围得到了快速发展,已发展成为交易量最大的期货品种。2010年4月16日,中国也推出了以沪深300指数为标的的股指期货。股指期货的推出不仅可以为投资者增加新的避险工具、提高资金的使用率,而且有助于进一步完善我国资本市场的结构、推动金融创新,对我国金融市场的健康发展有着重要意义。然而,股指期货作为一种新兴的衍生品,在中国自上市的五年多来经历了曲折的发展过程。其刚诞生时,股市正处于熊市阶段。一经推出,股指期货即面临着加剧现货市场的波动性,导致市场下跌的指责。在接后的几年,随着市场的稳步发展,股指期货避险和投机的功能越来越受到投资者的重视,股指期货的成交量快速上升,到2015年初已成为全球最大的市场。但是2015年6月突如其来的股灾给股指期货的发展带来了沉重的打击。众多的中小投资者指责股指期货是做空市场的罪魁祸首。监管机构收紧了股指期货交易,市场急剧萎缩,成交量下降了99%。如今,由于流动性的缺乏,股指期货已经基本上失去了投机和避险的功能。中国股指期货在短短几年时间里,经历从稚嫩到成熟再到几乎突然死亡的发展过程。由于股指期货对股市发展的重要性,对中国股指期货市场进行深入研究,为恢复其正常交易提供有效的政策支持是非常重要和急迫的。本研究以中国股指期货和股市现货市场的互相影响和信息传递为研究内容,深入地探索了两市场间互相影响的模式和效果。本研究对股指期货市场进行分阶段分析,揭示了股指期货在其发展过程中与现货市场之间关系的逐步变化过程。通过格兰杰检验和多元GARCH模型考察了两者之间的引导关系和波动性溢出关系。结果显示股指期货在其较成熟的阶段已经能够有效地发挥价格发现的作用,对现货价格有引导作用。本研究对股指期货和现货指数的波动性结构进行了分析,揭示了两市场内部结构的差异。本文创新地将提出新的波动性解析模型,同时考察了跳跃性,短时波动性和长时波动性等多种动态特征。模型的实证结果发现期货市场存在更多的跳跃因素,而现货市场存在更多的短时波动性。将该结果与中国市场的涨跌停制度结合分析发现,涨跌停制度对现货和期货市场有着不同程度的价格稳定作用,是造成这种现象的主要原因。本研究对期现基差动态过程和市场价格稳定因素之间的关系进行了分析,揭示了期货市场在现货市场受到价格稳定因素影响时的表现情况。本文从基差的独特视角来考察期现之间的动态关系,并提出了衡量期现价格整合程度和价格稳定因素的指标。通过新的指标为代理变量,进行了相关性检验模型的建构。实证的结果显示价格稳定因素的三个变量越大时,期现基差的波动性会明显降低。实证结果揭示了期货价格在现货价格波动受限时依然能按照其受影响的程度进行自我的调整,期货价格的波动更为自由,价格发现能力也更强。该研究证明了中国的股指期货市场已经较为成熟,具有较强的价格发现能力。说明股灾前股指期货的市场环境,监管政策总体来说都已较为完善。该研究对期现市场的波动性结构和基差的分析也发现,两市场监管政策的不一致性也存在潜藏的风险,而两市场不同的准入门槛也使不同类型的投资者面对着不公平的风险环境。本研究的内容可以为市场监管政策的改进提供一定的参考,以期能尽快恢复股指期货的正常交易,同时也可以为套利交易者的模型改进提供新的思路,为投机交易者提供衡量风险的指标。
[Abstract]:Stock index futures is the stock price index is the subject of the transaction is a kind of financial derivative products. Since 1980s in the United States since the birth of stock index futures has been developing rapidly in the world, has become the largest trading volume of the futures of.2010 in April 16th, Chinese also pushed out in Shanghai and Shenzhen 300 index as the underlying stock index futures at the launch of stock index futures can not only increase the new hedging tool for investors, improve the utilization rate of funds, but also help to further improve the structure of China's capital market, promote financial innovation, is of great significance for the healthy development of China's financial market. However, the stock index futures as a new derivatives, in China since the listing of more than five years has experienced a tortuous development process. Its birth, the stock market is in a bear market. By the introduction of stock index futures, which faces the volatility of the spot market, The market dropped the accusations. In a few years later, with the steady development of the market, the stock index futures hedging and speculation of the function is more and more valued by the investors, stock index futures trading volume increased rapidly at the beginning of 2015 has become the largest market in the world. But in June 2015 the sudden crash brought a heavy blow to the development the stock index futures. Many small investors blamed the stock index futures is short of the market. Arch-criminal regulators tightened stock index futures trading market rapidly shrinking, turnover fell by 99%. today, due to the lack of liquidity, stock index futures has basically lost speculation and hedging function. Chinese stock index futures in just a few years experience, the development process from immature to mature to almost sudden death. Due to the importance of stock index futures on stock market development, the China stock index futures market in Shenzhen In the study, to provide effective policy support is very important and urgent to restore its normal trading. Based on the mutual influence China stock index futures and stock markets and the information transmission as the research content, in-depth exploration of the mode and effect of the mutual influence between the two markets. The research on stock index futures market phase analysis and reveals the gradual changes in the relationship between the stock index futures in the process of its development and spot market. Through the Grainger test and multivariate GARCH model to investigate the relationship between lead and volatility spillovers between the two. The results show that the stock index futures in the mature stage has been able to effectively play the role of price discovery, leading role on the spot price volatility. The structure of the stock index futures and stock index were analyzed to reveal the difference of the internal structure of the two markets. This paper The proposed analytical model of new wave, the jump, short-term volatility and long-term volatility and other dynamic characteristics. The empirical results show that the model exists jump factors more futures market, and has short term volatility more spot market. The results with the China market price limit system analysis found that the price limit system has a different effect on the stable price of spot and futures market, is the main reason for this phenomenon. This study analyzes the relationship between the basis of dynamic process and the stability of market price factors, reveals the performance of futures market is affected by the factors of price stability in the spot market. This paper examines the dynamic relationship between the current period from the unique perspective of the basis, and puts forward the measure of the degree of integration is the price and price stability factors through the new index index. As the proxy variables to construct correlation test model. The empirical results show that the three variables of price stability factor is large, the volatility of the basis will be significantly reduced. The empirical results reveal the futures price for self adjustment according to the influence degree is still limited in spot price, futures price the volatility is more free, the price discovery ability. The study has proved that the stock index futures market China has been more mature, with strong price discovery ability. The market environment of the stock index futures before the stock market crash, regulatory policies generally have been relatively perfect. The research on the analysis of the current market volatility structure and basis also found that the inconsistency of regulatory policies in two markets also exist potential risks, and two different market access threshold also make different types of investors face the risk of unfair Environment, the contents of this study can provide some references for the improvement of market regulation policy, hoping to restore the normal trading of stock index futures as soon as possible, and also provide new ideas for the improvement of arbitrage traders, and provide indicators for speculators to measure risks.

【学位授予单位】：哈尔滨工业大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F832.51;F724.5

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