我国股指期货与股票市场的互动影响及跨市场监管研究

发布时间：2018-01-13 19:04

本文关键词：我国股指期货与股票市场的互动影响及跨市场监管研究　出处：《中南大学》2012年博士论文　论文类型：学位论文

【摘要】：摘要：股指期货产品在市场推出后,国内外学者对它开展了大量的理论研究。这些研究中,理论上主要集中在分析股指期货市场的引入对股票现货市场的影响,实证上则集中在分析两个市场价格之间的引导关系以及股指期货市场的引入对股票现货市场的影响等方面。我国股指期货上市交易2年多来,股票市场经历了一段深度调整,引起许多投资者对股指期货的作用质疑。因此,对我国股指期货与股票市场的关系及监管进行研究显得尤为重要。基于此,本文以我国沪深300股指期货与股票现货为研究对象,试图从理论和实证上对两个市场的信息、风险的互动关系及监管进行研究,为我国股指期货市场的健康发展提供依据。围绕我国目前的股指期货与股票现货市场,本文开展了以下研究工作并得到结论如下： 1.在考虑股票市场存在卖空限制以及股票市场与股指期货市场存在不同交易成本的情况下,从市场微观结构角度对参与市场的投资者行为进行分析,通过分析其不同市场结构下的交易策略,进而将股票现货与股指期货市场的所包含的信息量进行对比分析,从理论上分析股票现货与股指期货市场价格之间的互动关系。研究表明：股指期货市场的价格与股票市场的价格之间存在着相互引导关系,并且股指期货市场引导股票现货市场的程度要大于股票现货市场引导股指期货市场的程度。 2.从波动率和收益率的角度实证分析了我国沪深300股票现货与股指期货市场之间的引导、信息传播方式和及风险互动关系相关性。研究表明：我国沪深300股指期货市场与股票现货市场之间存在双向的价格引导关系,两个市场相互影响、互为因果。股指期货与股指现货市场具有较强的风险相关性,当我国股票现货市场出现持续下跌、剧烈波动等极端风险事件时,沪深300股票指数与沪深300股指期货的风险关联性加强。在信息传播上,股指现货与股指期货对公司信息和系统性信息的反应速度不同,股指期货市场对系统性信息反应速度更快,信息从期货市场传播到股票市场；而对于非系统性信息,投资者倾向于首先在股票市场交易,信息从股票市场传播到期货市场。 (3)从波动性与流动性角度研究了股指期货与股票市场的跨市场操纵识别方法对我国沪深300股指期货与股票现货市场的跨市场操纵和监管进行研究,基于流动性和波动性的角度并在前面研究的基础上对探讨了跨市场操纵行为的判别方法以及就我国跨市场监管问题进行了探讨提出建议。研究表明：基于流动性和波动性的跨市场操纵判别方法具有良好的跨市场操纵识别力,为跨市场操纵活动的识别和监管提供了可靠的技术手段。建立一个集事前预防、事中控制及事后管理于一体的跨市场监管机制更有利于跨市场风险监管。
[Abstract]:Absrtact: after the introduction of stock index futures in the market, scholars at home and abroad have carried out a lot of theoretical research on it. In these studies, it is mainly focused on the analysis of the impact of the introduction of stock index futures market on the stock spot market. The empirical analysis focuses on the leading relationship between the two market prices and the influence of the introduction of the stock index futures market on the spot stock market. China's stock index futures have been listed for more than two years. The stock market has experienced a period of deep adjustment, causing many investors to question the role of stock index futures. Therefore, it is particularly important to study the relationship and supervision between stock index futures and stock market. This paper takes CSI 300 stock index futures and stock spot as the research object, tries to study the information, risk interaction and supervision of the two markets theoretically and empirically. It provides the basis for the healthy development of stock index futures market in China. Focusing on the current stock index futures and stock spot markets in China, the following research work has been carried out in this paper and the conclusions are as follows: 1. Considering the existence of short selling restriction in stock market and different transaction costs between stock market and stock index futures market, this paper analyzes the behavior of investors participating in the market from the point of view of market microstructure. By analyzing the trading strategies under different market structures, the paper compares the amount of information contained in the stock spot and stock index futures markets. This paper theoretically analyzes the interactive relationship between stock spot and stock index futures market price. The research shows that there is a mutual guiding relationship between stock index futures market price and stock market price. And the stock index futures market guides the stock spot market to a greater extent than the stock spot market to guide the stock index futures market. 2. From the angle of volatility and yield, the paper empirically analyzes the guidance between the spot stock and stock index futures market of CSI 300 in China. The study shows that there is a two-way price-leading relationship between CSI 300 stock index futures market and stock spot market, and the two markets affect each other. Mutual causality. Stock index futures and stock index spot market has a strong risk correlation, when China's stock spot market continued to fall, violent fluctuations and other extreme risk events. Shanghai and Shenzhen 300 stock index index and Shanghai and Shenzhen 300 stock index futures risk relevance. In information dissemination, stock index spot and stock index futures to corporate information and systematic information reaction speed is different. The stock index futures market responds more quickly to the systematic information, which spreads from the futures market to the stock market; For non-systemic information, investors tend to trade in the stock market first, and the information spreads from the stock market to the futures market. From the perspective of volatility and liquidity, this paper studies the cross-market manipulation and supervision of Shanghai and Shenzhen 300 stock index futures and spot stock markets. Based on the perspective of liquidity and volatility and on the basis of previous studies, this paper discusses the discriminating methods of cross-market manipulation and puts forward some suggestions on cross-market supervision in China. The discriminant method of cross-market manipulation based on liquidity and volatility has a good ability to identify cross-market manipulation. It provides a reliable technical means for the identification and supervision of cross-market manipulation activities, and establishing a cross-market supervision mechanism which integrates pre-prevention, in-event control and post-management is more conducive to cross-market risk supervision.
【学位授予单位】：中南大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;F724.5

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