中国股指期货市场信息交易概率及其影响研究

发布时间：2018-01-15 22:35

本文关键词：中国股指期货市场信息交易概率及其影响研究　出处：《天津大学》2012年硕士论文　论文类型：学位论文

【摘要】：资本市场微观结构的信息模型集中探讨的是不对称信息对市场风险资产市场价格的影响。信息是影响市场上投资者交易行为重要的因素之一，投资者可以根据自己的信息，判断市场走势从而进行交易获利。然而，金融市场上的信息不可能完全均衡的，因此，本文以信息不对称为基础，对我国股指期货市场的信息交易进行动态刻画，并在此基础上研究了信息交易概率对市场的影响。本文主体研究内容分为三个部分：第一部分为我国股指期货市场的信息交易的实证研究；第二部分揭示了特别情景下的信息交易概率特征；第三部分，研究了信息交易者占比对市场的影响。具体内容及结论概括如下：第一部分，参考Easley、Lopez和O·Hara（2011）构建的模型，对我国沪深300股指期货市场主力合约、下月合约、下季合约和隔季合约的信息交易概率进行估计及其对市场流动性的影响，发现远期合约一般具有较大的信息交易，并且信息交易概率越大，市场的流动性越差。第二部分，研究了股指期货交割日的信息交易概率的变化，结果发现信息交易者在交割日附近一般选择下月合约交易。此外通过研究股指期货刚上市时的信息交易特征，表明刚上市时，股指期货的信息交易概率普遍较高，市场也因此不稳定。第三部分，采用计算实验金融方法，研究了信息交易者占比对股指期货市场质量的影响。结果发现，信息交易者占比较高的时候，市场出现大的振幅的概率加大，并且还发现，当股指期货市场的信息交易者占比在1/3到1/2之间时，，股指期货市场的透明度以及流动性较好。
[Abstract]:The information model of capital market microstructure focuses on the influence of asymmetric information on the market price of risky assets. Information is one of the important factors that affect the trading behavior of investors in the market. According to their own information, investors can judge the trend of the market to make a profit. However, the information in the financial market can not be completely balanced, therefore, this paper is based on asymmetric information. The information transaction of stock index futures market in China is described dynamically. On this basis, the paper studies the influence of information transaction probability on the market. The main content of this paper is divided into three parts: the first part is the empirical study of information trading in China's stock index futures market; The second part reveals the characteristics of information transaction probability under the special situation. In the third part, the paper studies the influence of the proportion of information traders on the market. The specific contents and conclusions are summarized as follows: The first part, referring to the model constructed by Easley Lopez and O 路Haraji 2011, gives the main contract of Shanghai and Shenzhen 300 stock index futures market next month. The information transaction probability of the next quarter contract and the quarterly contract and its influence on the market liquidity are estimated. It is found that the forward contract generally has a larger information transaction, and the greater the information transaction probability. The market is less liquid. In the second part, the change of information transaction probability of stock index futures on delivery date is studied. The results show that information traders generally choose the next month contract trading near the delivery date. In addition, by studying the information trading characteristics of stock index futures when they first appear on the market, it is shown that when the stock index futures are on the market. The information trading probability of stock index futures is generally high and the market is unstable. In the third part, we study the effect of information traders' proportion on the quality of stock index futures market by using computational experimental financial method. The results show that information traders account for a higher proportion of the stock index futures market. It is also found that the transparency and liquidity of the stock index futures market are better when the proportion of information traders in the stock index futures market is between 1/3 and 1/2.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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