沪深300股指与期货的高频动态关系实证研究

发布时间：2018-03-28 20:07

本文选题：股指期货　切入点：VAR模型　出处：《电子科技大学》2012年硕士论文

【摘要】：股指期货作为重要的金融衍生工具,在各国的金融市场中占有不可或缺的地位。我国股指期货自2010年4月16日推出一年多以来,运行平稳、交易活跃、交易量日渐放大,和现货市场联动日趋紧密,对股票市场的影响已初现端倪。但是,我国目前的股指期货市场无论是在交易规模、交易品种、交易机制,还是在参与交易的人员结构和专业素质来说都与发达市场具有较大的差距,它仅仅是一个起步的市场、发展的市场,这决定了我国股指期货市场和股票市场之间的动态关系有别于发达市场,具有自身的特征。本文首先回顾了我国股指期货推出的历程及上市以来的运营现状,接着在分析股指期货基本功能的基础上探讨了股指期货与现货之间的交互关系。然后采用2011年2月9日至2011年4月8日的一分钟高频数据,分别运用了误差修正的VAR模型和双变量GARCH模型对我国沪深300股指期货和现货之间的价格发现能力和波动溢出效应进行了研究,主要得出了以下研究结论。 (1)沪深300股指期货价格和现货价格之间存在着长期均衡的协整关系,沪深300股指期货价格与指数价格走势基本一致,拟合度良好。 (2)沪深300股指期货和现货之间存在交互的价格引导关系。沪深300股指期货虽然上市时间较短,亦已表现出了较强的价格发现能力,而且随着机构资金的不断加入,期货市场的逐步成熟,股指期货的价格发现能力正在逐步增强。 (3)沪深300股指期货和现货之间存在着双向的波动溢出效应。由于我国股指期货市场仍然是一个起步的市场、发展的市场,沪深300股指现货对股指期货的波动溢出效应要大于股指期货对沪深300股指现货的波动溢出效应。本文的研究结论,一方面可为进一步完善我国股指期货市场交易机制、充分发挥股指期货的作用的政策的制定提供参考依据；另一方面对揭示我国股指期货市场的价格发现机制及其微观结构有着重要的理论价值；此外,对投资者进行套期保值、风险管理或者套利交易策略制定和实施具有现实的指导意义。
[Abstract]:Stock index futures, as an important financial derivative, play an indispensable role in the financial markets of various countries. Since the launch of stock index futures in China on April 16, 2010, the stock index futures have been running smoothly, trading is active, and the trading volume has been enlarged day by day. The linkage with the spot market is getting closer and closer, and the impact on the stock market has begun to emerge. However, the current stock index futures market in our country is not only in terms of trading scale, trading varieties, and trading mechanisms, Still, in terms of personnel structure and professional quality involved in the transaction, there is a big gap between the developed market and the developed market. It is only a starting market, a developing market. This determines that the dynamic relationship between the stock index futures market and the stock market is different from the developed market and has its own characteristics. Firstly, this paper reviews the history of stock index futures in China and the current situation of stock index futures operation since its listing. Then, on the basis of analyzing the basic function of stock index futures, the interaction between stock index futures and spot is discussed, and then the one-minute high frequency data from February 9, 2011 to April 8, 2011 are used. The paper studies the price discovery ability and volatility spillover effect between Shanghai and Shenzhen 300 stock index futures and spot by using error modified VAR model and bivariate GARCH model respectively. The main conclusions are as follows. 1) there is a long-term equilibrium cointegration relationship between the futures price of Shanghai and Shenzhen 300 stock index and spot price. The price of Shanghai and Shenzhen 300 stock index futures is basically consistent with the index price, and the fitting degree is good. (2) there is an interactive price-guiding relationship between Shanghai and Shenzhen 300 stock index futures and spot stock index futures. Although the listing time of Shanghai and Shenzhen 300 stock index futures is relatively short, they have also shown strong price discovery ability, and with the continuous participation of institutional funds, With the maturity of the futures market, the price discovery ability of the stock index futures is gradually enhanced. There is a two-way volatility spillover effect between Shanghai and Shenzhen 300 stock index futures and spot. Because the stock index futures market in China is still a starting market and a developing market, The spillover effect of Shanghai and Shenzhen 300 stock index spot on stock index futures is larger than that on Shanghai and Shenzhen 300 stock index spot. On the one hand, the conclusion of this paper can provide a reference for further perfecting the trading mechanism of stock index futures market in our country and giving full play to the role of stock index futures in the formulation of policies; On the other hand, it has important theoretical value to reveal the price discovery mechanism and its microstructure of stock index futures market in China. Risk management or arbitrage trading strategy formulation and implementation has practical significance.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】