基于Copula方法的股指期货价格发现功能研究

发布时间：2018-03-18 06:21

本文选题：股指期货　切入点：价格发现　出处：《安徽财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：股指期货是重要的金融衍生品和规避风险的手段。价格发现功能是期货市场的重要功能之一,它反映了期货市场的有效性,故为众多投资者、监管者和研究者所关注。我国在2010年4月推出了沪深300股指期货合约,立即吸引了大批投资者和众多的资金。研究我国沪深300股指期货市场的价格发现功能,能为我国投资者提供借鉴和为设计者提供改进的政策建议。本文首先阐释了期货市场的特点和其价格发现功能,再在股指期货市场的特殊环境下讨论其价格发现功能的形成原因和影响因素,并以沪深300股指期货日收益率数据作为样本进行实证分析。在实证分析过程中,比较并择优选择t-Copula函数建立了Copula-EGARCH-t模型,用来检验期货市场的波动性溢出效应以及现期两市场间的各种相关关系特别是尾部相关性。实证结果表明,现货收益率和期货收益率之间有长期的均衡关系,两者的变化方向有很高的相关性并存在期货市场向现货市场的波动性溢出,期货市场收益率受到新信息冲击后会很快地带动现货市场收益率的变动。通过对尾部相关性的分析,发现在股票市场发生较大波动的情况下,两者的相关关系会更大,期货市场的波动会更加容易蔓延到现货市场,此时期货市场有更强的价格发现功能。从实证结果可以看出,我国沪深300股指期货对现货指数有领涨领跌的作用,并且变动趋势更加明显、波动持续时间更长,较好地体现了价格发现功能。这是由于期货交易的特点和股指期货市场独特的交易机制(如卖空和对冲机制)的设计而形成的。但现货市场的真正价格依然不能得到有效地反映。因此在文章的最后,结合我国的国情和股指期货发展实际,从完善法律、监管体系和发展现货市场等方面提出了一系列的建议。
[Abstract]:Stock index futures are important financial derivatives and means of avoiding risks. Price discovery is one of the important functions of futures market, which reflects the effectiveness of futures market, so it is for many investors. In April 2010, China launched the CSI 300 Stock Index Futures contract, which immediately attracted a large number of investors and a large number of funds. The price discovery function of China's CSI 300 Stock Index Futures Market was studied. For our investors to provide reference and designers to provide policy recommendations for improvement. This paper first explains the characteristics of the futures market and its price discovery function, and then discusses the forming reasons and influencing factors of the price discovery function in the special environment of the stock index futures market. In the process of empirical analysis, Copula-EGARCH-t model is established by comparing and selecting t-Copula function. It is used to test the volatility spillover effect of futures market and all kinds of correlation between the current market and the futures market, especially the tail correlation. The empirical results show that there is a long-term equilibrium relationship between spot yield and futures yield. There is a high correlation between the direction of the two changes and the volatility spillover from the futures market to the spot market. After the rate of return of the futures market is impacted by the new information, it will quickly lead to the change of the return rate of the spot market. It is found that when the stock market fluctuates greatly, the correlation between the two will be greater, and the volatility of the futures market will spread to the spot market more easily. At this time, the futures market has a stronger price discovery function. From the empirical results, we can see that the Shanghai and Shenzhen 300 stock index futures have a leading role in leading the rise and fall of the spot index, and the trend of change is more obvious, and the volatility lasts longer. This is due to the characteristics of futures trading and the design of unique trading mechanisms (such as short selling and hedging) in the stock index futures market. However, the real price in the spot market is still not available. Is effectively reflected. So at the end of the article, Based on the situation of our country and the development of stock index futures, this paper puts forward a series of suggestions from the aspects of perfecting the law, supervising system and developing spot market.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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