沪深300股指期货基差的影响因素及非对称效应研究

发布时间：2018-03-01 13:01

本文关键词： 沪深300 股指期货基差影响因素非对称效应　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：2010年4月16日,中国金融期货交易所正式推出了我国第一份股指期货合约——沪深300股指期货合约。在不到两年的时间里,沪深300股指期货日成交额已突破4000亿元。2012年2月2日,新修订的《期货市场客户开户管理规定》,解决了公募基金等机构投资者股指期货开户问题,这意味着公募基金等机构投资者将正式进入股指期货市场。这将有利于公募基金等机构投资者减少交易成本和进行流动性管理,同时,也为公募基金等机构投资者的产品创新和策略设计提供了新的空间。对于如何利用沪深300股指期货进行套期保值和套利,对这些机构投资者而言是迫切想要知道的问题。而沪深300股指期货基差对于利用沪深300股指期货进行套期保值或者进行套利来说,都是至关重要的。本文便试图通过对沪深300股指期货基差的影响因素以及基差的非对称效应进行实证研究,为沪深300股指期货市场的套期保值者和套利者提供一个参考,以便于他们利用相关结论更好地达到套期保值或者套利的目的。本文主要通过以下五个部分,对沪深300股指期货基差的影响因素以及其非对称效应进行了研究：第一部分是绪论,在该部分本文对选题的背景、意义以及研究方法内容进行了介绍。同时,也对国内外有关基差的一些研究进行了回顾。第二部分是概述部分,主要对沪深300股指期货、其标的以及沪深300股指期货基差的特性进行了简单的介绍。在这个部分本文通过图示分析,观察到沪深300指数的成分股分红情况呈现出周期性,分红主要集中在每年的5月份-9月份。同时,也发现沪深300指数和期现日交易额占比之间,存在明显的反向变动关系。第三部分是本文的重点章节,在这个部分本文首先从国内外学者对基差影响因素进行研究时所提出的多种理论出发,对沪深300股指期货基差的各种可能的影响因素进行了定性分析。然后,利用简单线性模型、ARMA模型以及GARCH模型,实证研究了这些因素对沪深300股指期货基差的影响,并对实证结果进行了分析说明。第四部分也是本文的重点章节,在该部分本文对沪深300股指期货基差的非对称效应展开了研究。首先,通过运用对称效应模型和非对称效应模型,实证研究了基差对现货收益率和期货收益率的风险结构的影响,以证实沪深300股指期货基差是否存在着非对称效应。然后,在此基础上,将利用非对称效应模型取得的套期保值效果与几种传统套保模型的套期保值效果进行了比较,进而对考虑沪深300股指期货基差的非对称效应是否将有助于投资者提高其套期保值的效率进行研究。第五部分,是本文的最后一个部分,主要是对本文前面章节实证部分所得到结果进行归纳总结,进而综合得出本文的最终结论。同时,在这个部分,本文也为后来的学者列出了一些可供进一步研究的方向。通过以上五个部分的研究,本文主要得到了以下结论：第一,在利用简单线性模型对资金成本率与股息率对基差的影响进行研究时,本文发现股息率将对基差产生正向的影响,资金成本率将对基差产生负向的影响。除此之外,通过比较研究,本文发现个人投资者对沪深300股指期货进行定价时,更多将银行贷款利率作为资金成本率,而机构投资者参考的利率主要是国债到期收益率。第二,本文利用ARMA模型研究了各期限连续合约的基差滞后项对基差的影响,实证结果表明沪深300股指期货各期限连续合约基差的一阶、二阶滞后项对基差都有显著为正的影响。并且,滞后二阶的影响要小于滞后一阶。第三,本文通过在ARMA模型中引入现货指数和距到期日时间这两个变量,研究了这两个因素对沪深300股指期货基差的影响。实证结果显示,这两个因素都会对沪深300股指期货的基差产生负的影响。结合本文的第一条结论,本文认为持有成本理论对于分析沪深300股指期货基差的变动是适用的。第四,本文通过对现货指数涨跌幅度加以门限,建立悲观与乐观两个虚拟变量,然后将这两个虚拟变量引入基差的ARMA模型中,实证研究了市场情绪对沪深300股指期货基差的影响。最终,得到的实证结果表明当现货市场处于乐观情绪的时,这种情绪更容易传导至股指期货市场,进而使得沪深300股指期货的基差变小,而当现货市场处于悲观情绪时,这种悲观情绪并不容易传导到股指期货市场上。第五,本文借鉴刘洪(2011)等人的月份效应研究方法,对沪深300股指期货基差的月份效应进行了实证研究,实证结果显示沪深300股指期货基差存在着月份效应。1月和9月交割的合约较其他月份交割的合约的基差显著要小,而在分红高峰期每年的六月份,在该月交割的沪深300股指期货合约基差较其他月份,显著要大。这个结果提醒沪深300股指期货市场上的套期保值者和套利者,在利用基差进行投资决策时,应考虑这些月份交割的合约可能会出现的这种效应。第六,通过将股指期货日交易量的自然对数作为交易成本的代理变量,并建立GARCH模型,本文研究了交易成本对沪深300股指期货基差的影响,结果发现交易成本的增加会显著增加基差的波动性。同时,该实证结果还表明当股指期货市场的流动性越好时,基差越小；反之,基差越大。结合凯恩斯的风险补偿理论进行分析,本文认为这个结果与我国股指期货市场以空头套期保值者居多的事实相一致。第七,本文将“相对波动率”作为衡量期现两市相对风险的指标,并将其引入ARMA模型,研究了期现两市的相对风险对沪深300股指期货基差的影响,结果发现“相对波动率”的滞后一阶项与沪深300股指期货基差之间存在较为显著负向的关系。.这个结果表明,期现相对风险越高,基差越小：期现相对风险越低,基差越大。该实证结果也意味着沪深300股指期货市场上的部分套期保值者,可能更偏好于逐日套保,即：利用前一天的市场相对风险,以决定隔日是否进行套保以及套保的数量。第八,沪深300股指期货基差非对称效应的实证结果显示沪深300股指期货正负基差对沪深300现期波动率的确存在着非对称性的影响。并且从整体上来看,沪深300股指期货基差分别与期现波动率之间存在着一种V型的关系。当基差为正时,随着基差的增加,现期波动率都将增大；当基差为负时,随着基差的增加,现期波动率都将减小。同时,实证结果也表明正基差的这种影响要大于负基差。通过该实证研究结果,本文还发现随着沪深300股指期货基差增加的,现货指数与期货价格之间的相关性,呈现出先增强后减弱的现象。在此基础上,本文通过对各个模型套期保值效果的比较,发现利用基差非对称效应模型进行套期保值,取得的套期保值效果最好。这个结果表明,对于沪深300股指期货,如果套期保值者在决定对冲比率时,考虑到基差存在的非对称效应,那么,他将能够改善套期保值的效果。本文的创新之处,主要体现在以下几个方面：首先,本文较为系统地对沪深300股指期货基差的影响因素以及非对称效应进行了分析和实证,这是前人没有做过的研究。其次,在研究沪深300股指期货基差的影响因素时,本文对沪深300股指期货基差的月份效应进行了实证分析。同时,将成交量作为衡量交易成本的一个指标,研究了交易成本对基差以及基差波动率的影响。再者,本文利用“相对波动率”来衡量沪深300期现两市的相对风险,并以此为基础,研究了期现两市的相对风险对沪深300股指期货基差的影响。最后,本文在对基差的非对称效应进行研究时,所运用的模型与原有的非对效应模型相比有一定的改变,并且估计的方法在文中有详细的阐述,这将为后来的学者们对这个问题进行更为深入的研究提供便利。
[Abstract]:In April 16, 2010, Chinese financial futures exchange officially launched China's first stock index futures contracts, the Shanghai and Shenzhen 300 stock index futures contracts. In less than two years, the Shanghai and Shenzhen 300 stock index futures turnover has exceeded 400 billion yuan.2012 in February 2nd, the newly revised "Regulations of futures market customer account >, solve the institutional investors raised fund stock index futures account, which means that raised funds and other institutional investors will officially enter the stock index futures market. This will be conducive to raised funds and other institutional investors to reduce transaction costs and liquidity management, at the same time, also provides a new space for the design of product innovation and strategy raised funds and other institutional investors. About how to use the Shanghai and Shenzhen 300 stock index futures for hedging and arbitrage, the institutional investors are eager to know the problem of Shanghai and Shenzhen 300 stock index futures. The basis for the use of the Shanghai and Shenzhen 300 stock index futures for hedging or arbitrage, is essential. This paper attempts to conduct empirical research through the impact on the Shanghai and Shenzhen 300 stock index futures based asymmetric effect factors as well as the basis, to provide a reference for the Shanghai and Shenzhen 300 stock index futures market hedging and arbitrage, so that they using the relevant conclusions to better achieve the purpose of arbitrage or hedging.
This paper mainly through the following five parts, the influence factors of the Shanghai and Shenzhen 300 stock index futures basis and the asymmetric effect is studied:
The first part is the introduction, in this part the paper about the background, content, significance and research methods are introduced. At the same time, also some studies at home and abroad on the basis of the review.
The second part is an overview of the main characteristics of Shanghai and Shenzhen 300 stock index futures, the subject and the Shanghai and Shenzhen 300 stock index futures basis were introduced. In this part of this paper through graphic analysis, the observed index dividend CSI 300 index shows a periodicity, divided into red mainly in the annual May -9 month at the same time. And also found that the Shanghai and Shenzhen 300 index and the daily trading volume accounted for, there are changes obviously inverse relationship.
The third part is the focus of this chapter, a variety of theories proposed in this part of this paper from the domestic and foreign scholars on the basis of study on the influencing factors of the qualitative analysis of influencing factors of the Shanghai and Shenzhen 300 stock index futures basis may. Then, using a simple linear model, ARMA model and GARCH model, empirical research the influence of these factors on the Shanghai and Shenzhen 300 stock index futures basis, and the results are analyzed and explained.
The fourth part is the key chapter, in this part of this paper the asymmetric effect of the Shanghai and Shenzhen 300 stock index futures basis were studied. Firstly, by using the symmetrical effect model and asymmetric effect model, the empirical study on the influence of basis on the yields of spot and futures return risk structure, to prove that the Shanghai and Shenzhen 300 stock index futures the basis whether there exists asymmetric effect. Then, on this basis, will use the asymmetric effect model to obtain the effect of hedging with several traditional hedging hedging models are compared, and then to consider the asymmetric effect of Shanghai and Shenzhen 300 stock index futures basis will help investors to improve the efficiency of the hedging study.
The fifth part is the last part of this paper, mainly on the previous sections of this article empirical results are summarized, and concluded that the final conclusion of this article. At the same time, in this part, the paper also lists some for further research direction for later scholars.
Through the study of the above five parts, the main conclusions are as follows:
First, the influence on the cost of capital rate on the basis of the study and dividend rate using a simple linear model, this paper found that the dividend rate will have a positive impact on the basis of capital cost rate will have a negative impact on the basis. In addition, through the comparative study, this paper found individual investors pricing on the Shanghai and Shenzhen 300 stock index futures, more bank loans as the capital cost rate, while institutional investors reference interest rate is mainly bond yield to maturity.
Second, study the period of continuous contract basis lag influence on the basis of the ARMA model in this paper, the empirical results show that the first-order CSI 300 stock index futures for each period of continuous contract basis, on the basis of two order lag has positive effect. And the lagged effect of order two is less than the first order lag.
Third, through the introduction of the stock index and the expiration time of the two variables in the ARMA model, studied the influence of these two factors on the Shanghai and Shenzhen 300 stock index futures basis. The empirical results show that these two factors will have a negative impact on the Shanghai and Shenzhen 300 stock index futures basis. The first conclusion combined in this paper this paper argues that the holding cost theory is applicable for the analysis of the Shanghai and Shenzhen 300 stock index futures basis changes.
Fourth, based on the index of the stock price to a threshold, pessimism and optimism two dummy variables, then the ARMA model of the two dummy variables into the basis of empirical research on the impact of market sentiment on the Shanghai and Shenzhen 300 stock index futures basis. Finally, the empirical results show that when the stock market is optimistic mood when the mood more easily transfer to the stock index futures market, and then makes the Shanghai and Shenzhen 300 stock index futures basis becomes small, and when the stock market in pessimism, this pessimism is not easy to transfer to the stock index futures market.
Fifth, according to Liu Hong (2011) month effect research method et al, in effect on the Shanghai and Shenzhen 300 stock index futures on the basis of empirical research, the empirical results show that Shanghai and Shenzhen 300 stock index futures basis has month effect.1 months and contract for delivery in September than other months delivery contract basis was smaller in the bonus the peak of June each year, in the month of delivery of the Shanghai and Shenzhen 300 stock index futures contract basis than other months, significantly larger. This result reminds the Shanghai and Shenzhen 300 stock index futures market hedging and arbitrage, investment decisions in the gap, should consider these September delivery contracts may appear this kind of effect.
Sixth, the natural logarithm of stock index futures trading volume as a proxy for transaction costs, and the establishment of GARCH model, this paper studies the impact of transaction cost on the basis of the Shanghai and Shenzhen 300 stock index futures, the results show that the increase of transaction costs will significantly increase the volatility of basis. At the same time, the empirical results also show that the liquidity is better when the stock index futures market, the smaller the basis; on the other hand, the greater the risk compensation basis. According to Keynes's theory of analysis, this paper thinks that this result is consistent with China's stock index futures market with short hedging are the facts.
Seventh, the relative volatility as a measure of the two cities is now the relative risk index, and the introduction of ARMA model, the effect of relative risk of two cities is now on the Shanghai and Shenzhen 300 stock index futures basis, the "relative volatility" lag between the first order and the Shanghai and Shenzhen 300 stock index futures the basis is a significant negative relationship. To the results show that the current relative risk is higher, the smaller the basis: the relative risk is lower, the basis is greater. The empirical results also means of hedging hedging part of Shanghai and Shenzhen 300 stock index futures market, may prefer to daily hedging, namely: relative risk the day before the market to decide whether the next day, hedging and hedging amount.
Eighth, an asymmetric effect of Shanghai and Shenzhen 300 stock index futures basis according to the results of Shanghai and Shenzhen 300 stock index futures on the basis on the volatility of Shanghai and Shenzhen 300 positive and negative current rate indeed has the effect of non symmetry. And on the whole, the Shanghai and Shenzhen 300 stock index futures basis respectively with current fluctuation between a V type rate between when the basis. For the time being, with the basis of current increased, volatility will increase; when the basis is negative, with the basis of current increased, volatility will decrease. At the same time, the empirical results also show that this effect is poor than negative basis. Through the empirical research results, this paper also found that as the Shanghai and Shenzhen 300 stock index futures basis increases, the correlation between stock index and futures prices, showing first increased and then decreased the phenomenon.
On this basis, through the comparison of various models of hedging, found that asymmetric effect model of hedging by basis, the best hedging results. The results show that the Shanghai and Shenzhen 300 stock index futures, if hedging in the decision on the thrust ratio, considering asymmetric effect of basis, so there and he will be able to improve the effect of hedging.
The innovation of this article is mainly reflected in the following aspects:
First of all, this paper systematically influence on the Shanghai and Shenzhen 300 stock index futures basis factors and asymmetric effect analysis and empirical research this is unprecedented.
Secondly, in the study of impact factors of the Shanghai and Shenzhen 300 stock index futures basis when the monthly effect of Shanghai and Shenzhen 300 stock index futures basis for empirical analysis. At the same time, the turnover as a measure of transaction costs, the impact of transaction cost on basis and basis of volatility.
Furthermore, the relative risk relative volatility to measure the CSI 300 period is now two, and on this basis, effects of relative risk of two cities is now on the Shanghai and Shenzhen 300 stock index futures basis.
Finally, this paper conducts the research on asymmetric effect of basis, by the use of the model and the original model of non effect compared with certain changes, and the estimation method is described in this paper, which will later scholars have more in-depth research to provide convenience to this problem.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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