沪深300指数回报与期货回报的动态非线性关系

发布时间：2018-03-09 11:30

本文选题：非线性动态联系　切入点：区制转换模型　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文以沪深300现货指数与期货指数1分钟、3分钟、5分钟的交易数据为研究对象,利用持有成本模型、自激励门限自回归模型,门限误差修正模型尝试估计沪深300指数回报与期货回报的动态非线性联系。实证研究结果表明,自激励门限自回归模型能较好地描述沪深300指数定价偏移的变化过程。沪深300指数定价偏移的变化过程是非线性的,且依赖于是否有套利机会出现。基差的均值回复幅度在有套利机会的区间要大于无套利机会的区间,并且这一现象不会随着时间尺度的放大而消失。而门限误差修正模型能较好地描述沪深300现货指数与期货指数的动态非线性联系。这种动态非线性联系与金融市场套利有很重要的联系,但是仅仅在时间间隔为1分钟时,我们能观察到股指期货回报会对价格偏移作出明显的反应,同时股指现货回报会对股指期货回报的变化作出迅速地调整,而当时间尺度放大时这些现象会消失,这可能表明沪深300指数的套利机会会在3分钟之内消失。
[Abstract]:Based on the trading data of Shanghai and Shenzhen 300 spot index and futures index in one minute or three minutes or five minutes, this paper makes use of the holding cost model and the self-incentive threshold autoregressive model. The threshold error correction model attempts to estimate the dynamic nonlinear relationship between Shanghai and Shenzhen 300 index returns and futures returns. The empirical results show that the self-incentive threshold autoregressive model can well describe the change process of Shanghai and Shenzhen 300 index pricing migration, and the change process of Shanghai and Shenzhen 300 index pricing migration is nonlinear. The mean return amplitude of the base difference is larger than that without the arbitrage opportunity, and this phenomenon will not disappear with the time scale amplification. The threshold error correction model can better describe the dynamic nonlinear relationship between Shanghai and Shenzhen 300 spot index and futures index. This dynamic nonlinear relationship is very important to financial market arbitrage, but only when the time interval is 1 minute. We can observe that the return of stock index futures will react obviously to the price deviation, and the spot return of stock index will adjust the change of the return of stock index futures quickly, and these phenomena will disappear when the time scale is enlarged. This may indicate that the Shanghai and Shenzhen 300 index arbitrage opportunities will disappear in three minutes.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F724.5;F832.51

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