沪深300股指期货价格发现与波动溢出实证分析

发布时间：2018-01-02 04:00

本文关键词：沪深300股指期货价格发现与波动溢出实证分析　出处：《哈尔滨工业大学》2013年硕士论文　论文类型：学位论文

【摘要】：我国沪深300股指期货上市已三年有余，它在中国期货市场上交易活跃，从其整个市场的流动性、持仓机构的风险控制水平看来，我国的股指期货市场已经日趋成熟。但是沪深300股指期货是否已经如市场参与者所预期地那样，发挥好了它的价格发现、套期保值和风险管理的基本功能呢？当前尚无定论。股指期货到底对股指现货发挥着什么样的作用，它是否能在一定程度上调整股市的异常波动现象？是否可以给投资者提供更多的投资和套利机会？这些问题都是现在业界以及学术界所共同关注的问题。本课题以沪深300股指期货和沪深300指数2011年全年的5分钟高频成交数据作为研究对象，在符合中国金融期货市场特征的前提下，构建连续的股指期货价格时间序列。在计量统计框架下探讨股指期货市场的价格发现特征，并对其与现货之间的波动溢出关系进行实证分析。本课题通过向量误差修正模型（Vector Error Correction Model，VECM）结合脉冲响应方法、方差分解等信号系统领域中的研究手段，深入剖析沪深300股指期货与现货市场长期均衡关系和短期非均衡的动态调整微观动态结构。本课题以BEKK-GARCH（1，1）模型为基础，对我国股指期现货市场间的波动溢出关系进行了探究。研究结果表明股指期货市场和现货市场之间存在长期均衡关系，且期货价格领先现货价格15分钟；期货市场对现货市场冲击具有吸收消化的过程，，期货的上市可以相应的缓解现货市场的极端波动，发挥稳定金融市场的作用；现货市场对期货市场冲击表现敏感，由期货市场向现货市场的信息传递能在现货市场中快速体现。对波动溢出的实证分析结果表明，市场间双向波动溢出效应显著存在于我国沪深300股指期货和股指现货市场，然而双向溢出呈现非平衡状态。本课题根据实证分析的研究结果给出了利用股指期货和现货之间价格和波动溢出关系进行期现套利的交易策略建议，供我国期货市场的主要参与者参考；而且本研究的结论也为我国股指期货市场的政策制定者及监管方提供了相关决策的参考依据，使得风险控制监管更有效率。
[Abstract]:China's CSI 300 stock index futures market has been more than three years, it Chinese in the futures market trading activity, from the liquidity of the market, the level of risk control mechanism of the positions of view, China's stock index futures market has become increasingly mature. But the Shanghai and Shenzhen 300 stock index futures have such as market participants expected to play good its price discovery, hedging and risk management of the basic function? The current inconclusive. In the end of the stock index futures and stock index spot plays what role, whether it can adjust the abnormal fluctuations in the stock market to some extent? Whether can provide investors with more investment and arbitrage opportunities? These problems are now the industry and the problem of common concern in academic circles.
The Shanghai and Shenzhen 300 stock index futures and the Shanghai and Shenzhen 300 index in 2011 the year of the 5 minute high-frequency transaction data as the research object, in accordance with the characteristics of Chinese financial futures market, stock index futures price to construct a continuous time series. In the statistical framework of stock index futures market price discovery feature, and the relationship between the volatility spillover and the spot for empirical analysis.
This topic through the vector error correction model (Vector Error Correction Model, VECM) with the method of impulse response, variance decomposition research methods in the field of signal system, in-depth analysis of the Shanghai and Shenzhen 300 stock index futures and spot market long-term equilibrium relationship and short-term dynamic adjustment of the micro dynamic structure of non equilibrium. In this paper BEKK-GARCH (1,1) model on the spot market volatility spillover, the relationship between the stock index futures in China were studied.
The results show that there is a long-term equilibrium relationship between stock index futures market and spot market, futures prices and spot prices ahead of 15 minutes; the futures market has the process of digestion and absorption of impact on the spot market, futures market can alleviate the corresponding extreme fluctuations in the stock market, play a role to stabilize the financial market; spot market is sensitive to the futures market impact performance from the futures market to the spot market, the transmission of information can be quickly reflected in the spot market. The results of the empirical analysis of the volatility spillover between the market showed significant two-way volatility spillover effects exist in China's Shanghai and Shenzhen 300 stock index futures and stock index spot market, but the overflow showed non equilibrium. This paper according to the results of empirical analysis are given the price and volatility spillover between stock index futures and spot arbitrage trading strategies are proposed for me The main participants in China's futures market refer to it, and the conclusions of this study provide a reference for policy makers and regulators in China's stock index futures market, making risk control and supervision more efficient.

【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】：2013
【分类号】：F724.5;F224

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