我国股指期货与现货市场间信息传递效应研究

发布时间：2018-03-10 10:06

本文选题：股指期货　切入点：价格发现　出处：《浙江工商大学》2013年硕士论文　论文类型：学位论文

【摘要】：从国外成熟股指期货市场的运行情况来看,期货市场的开设可以在价格和资金流向等多个方面影响股票市场。由于我国沪深300股指期货是在2010年推出的,时间不长,期货市场和现货市场之间的信息传递关系还不是很明确,所以本论文从价格引导和波动溢出效应两个方面作了实证研究。从国外已有的研究成果可以看出,对于国外成熟的股指期货市场,绝大部分的研究结果表明期货市场是价格发现的主要力量,期现货市场间存在相互的波动溢出效应。沪深300股指期货推出以前,我国不少学者采用了仿真交易数据进行研究,结果发现现货市场在价格发现中居于主导地位。在沪深300股指期货推出以后,虽然国内学者也作了一些研究,但是这些研究主要集中在价格的引导关系上。在总结国内和国外文献的基础上,本论文使用五分钟的高频数据研究了沪深300股指期货市场和现货市场间的价格引导关系和波动溢出效应,同时也检验了股指期货市场的价格发现能力。对于价格引导关系,在定性方面采用协整分析、向量误差修正模型、脉冲响应函数和方差分解分析；在定量方面则采用信息份额模型和公共因子模型；在波动溢出方面,由于DCC-MGARCH模型仅能得到波动率间的相关系数,不能具体分析市场间的波动溢出效应,因此采用基于t分布的BEKK-MGARCH模型来研究股指期现货市场间的波动溢出效应。研究结果表明现阶段我国的股指期货市场具备良好的价格发现能力,期货市场对新信息的反应速度要快于现货市场而且期现货市场间存在相互的波动溢出效应。本论文在对研究结论进行总结之后,又具体分析了期货价格领先现货价格的原因,从产品设计差异、交易机制的不同和投资者结构的差异三个方面做了分析。
[Abstract]:Judging from the operation of the mature stock index futures market abroad, the opening of the futures market can affect the stock market in many aspects, such as the price and the capital flow. The information transfer relationship between futures market and spot market is not clear, so this paper makes an empirical study from two aspects: price guidance and volatility spillover effect. As can be seen from the existing research results abroad, for the mature stock index futures market abroad, most of the research results show that the futures market is the main force of price discovery. There are mutual volatility spillover effects between futures market. Before the introduction of CSI 300 stock index futures, many Chinese scholars used simulated trading data to study it. The results show that the spot market plays a leading role in price discovery. After the launch of the Shanghai and Shenzhen 300 stock index futures, although domestic scholars have also done some research, However, these studies mainly focus on the leading relationship of price. On the basis of summing up domestic and foreign literature, This paper studies the price-leading relationship and volatility spillover effect between CSI 300 stock index futures market and spot market using five-minute high frequency data, and also tests the price discovery ability of stock index futures market. In qualitative aspect, cointegration analysis, vector error correction model, impulse response function and variance decomposition analysis are used. In quantitative aspect, information share model and common factor model are used. Because the DCC-MGARCH model can only get the correlation coefficient between volatility and can not analyze the volatility spillover effect among markets, the BEKK-MGARCH model based on t distribution is used to study the volatility spillover effect in the spot market of stock index period. The results show that China's stock index futures market has a good price discovery ability. The reaction speed of futures market to new information is faster than that of spot market and there are mutual volatility spillover effects between futures market and spot market. The differences of product design, trading mechanism and investor structure are analyzed.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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