沪深300股指期货市场特征与功能的实证研究

发布时间：2018-01-01 06:10

本文关键词：沪深300股指期货市场特征与功能的实证研究　出处：《西南交通大学》2012年博士论文　论文类型：学位论文

【摘要】：股指期货是金融市场结构中的重要一环,是金融市场发展和完善的基石。我国于2010年4月16号正式推出了以沪深300指数为标的的沪深300股指期货,在股指期货推出以前,我国股票市场是一个单边交易市场,只能做多不能卖空,市场投资者对市场有较好预期时买入股票,预期较差时卖出股票,容易造成股票市场的大幅波动,使得股票市场的系统性风险很大。股指期货的推出使得卖空机制得以实现,有助于进一步发展和完善我国资本市场,对于建设一个完善的多层次的金融市场体系也有很大的帮助。一般而言,股指期货市场主要有三个方面的功能：套利、价格发现以及套期保值。本文以股指期货为研究对象,实证分析了我国沪深300股指期货的市场特征和市场功能,论文主体包含四个部分,运用的方法模型及得到的主要结论如下所示：论文首先研究了我国沪深300股指期货的价格特征及套利功能。在持有成本模型的基础上运用无套利定价原理,考虑交易费用、冲击成本、卖空限制以及利率变动,推导了我国股指期货的无套利区间。分别以沪深300股指期货的日交易数据和日内5分钟高频数据研究了股指期货的定价误差及影响定价误差幅度的因素。研究表明在我国沪深300股指期货的价格在大多数时间是偏高的,在考虑套利成本的情况下,股指期货的定价在大多数时间是有效率的,但是在股票市场大幅波动的时期,股指期货存在较大幅度的定价误差。从影响股指期货定价误差幅度的因素来看,距到期日越远定价误差越大,现货指数波动越剧烈定价误差越大,股指期货持仓量对定价误差没有显著影响,加息对定价误差的影响跟加息日期有关。当沪深300股指期货存在定价误差时,就可以通过套利获取无风险利润,因此对研究期内的沪深300股指的套利时点和套利利润的大小进行了实证研究,实证结果表明我国沪深300股指期货的定价在研究期内大多是有效的,也就是说在大多数时间不存在套利机会。但是在股票市场大幅波动期间,沪深300股指期货存在正向的套利机会,套利机会主要出现在股指期货推出的前期(IF1005和IF1011),随着股指期货推出时间的延长,套利机会基本消失。第二部分研究了股指期货的价格发现功能。以5分钟高频数据建立向量误差修正模型,显示股指期货与现货指数之间具有长期的协整关系,当因信息冲击发生偏离时,股指期货的调整幅度更为明显,表示股指期货市场在价格发现中要强于现货市场。采用IS和PT模型计算出的价格发现贡献度水平,同样显示股指期货在价格发现中占主导地位。最后辅以方差分解及对脉冲响应反应函数探讨沪深300指数期货与现货指数间信息产生及传递的方式。第三部分研究了沪深300指数与沪深300股指期货的日收益率序列的相关特征。建立Copula-GARCH(1,1)-GED模型实证发现：沪深300指数与股指期货收益率序列之间相关程度非常高,根据不同的标准可选择不同的Copula模型来描述两序列的相关结构；两序列的尾部相关程度非常高,表明当股票市场大幅度波动时,沪深300指数与沪深300股指期货的相关程度显著提高。最后研究了股指期货的套期保值功能。以VaR和CVaR作为套期保值模型的目标函数,推导了基于VaR和CVaR的最优套期保值比例的计算模型,并利用我国沪深300股指期货的实际数据,验证了套期保值的有效性。实证结果发现,基于VaR和CVaR的股指期货套期保值模型能够有效降低投资组合的风险,并能够得到较好的累计收益率。相比较而言,基于CVaR的股指期货套期保值模型能够更好的控制投资组合的风险,基于VaR的股指期货套期保值模型能够得到更优的累计收益率。
[Abstract]:Stock index futures is an important part of financial market structure . It is the cornerstone of the development and perfection of financial market . China ' s stock market is a unilateral trade market , which can only be sold out before the stock index futures is launched . The stock index futures market has three functions : arbitrage , price discovery and hedging . Generally speaking , the stock index futures market has three functions : arbitrage , price discovery and hedging . The paper first studies the price characteristics and arbitrage function of stock index futures in Shanghai and Shenzhen . Based on the holding cost model , the paper studies the pricing error of stock index futures and the factors that affect the margin of pricing error . When the stock index futures of Shanghai and Shenzhen 300 index futures have the pricing error , the arbitrage time points and arbitrage profits can be obtained through arbitrage . The empirical results show that the pricing of the stock index futures in Shanghai and Shenzhen 300 index futures is mostly effective during the study period , that is , there is no arbitrage opportunity in most of the research period . However , the arbitrage opportunity mainly appears in the early stages of stock index futures ( IF1005 and IF1011 ) , and the arbitrage opportunity disappears basically as the stock index futures is pushed out . In the second part , the price discovery function of stock index futures is studied . In the third part , we study the correlation between Shanghai - Shenzhen 300 index and Shanghai - Shenzhen - 300 index futures . Based on the empirical findings of the Copula - ARCH ( 1,1 ) - GED model , the correlation degree between Shanghai - Shenzhen 300 index and stock index futures yield sequence is very high . According to different standards , different Copula models can be selected to describe the correlation structure of two sequences ; the tail - correlation degree of the two sequences is very high , which shows that when the stock market fluctuates greatly , the correlation degree between Shanghai - Shenzhen 300 index and Shanghai - Shenzhen 300 index futures is significantly improved . At last , the hedging function of stock index futures is studied . VaR and CVaR are used as the objective function of hedging model , and the validity of hedging is verified by using the actual data of VaR and CVaR .

【学位授予单位】：西南交通大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F724.5

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