高频数据条件下中国股指期货市场波动性研究

发布时间：2018-04-16 06:30

本文选题：股指期货 + 波动性　；参考：《哈尔滨工业大学》2012年硕士论文

【摘要】：中国股指期货市场在价格发现、资产配置和规避风险中扮演重要角色。鉴于中国股指期货市场根基薄弱、市场竞争日益加剧，，期货价格易受信息冲击而剧烈波动，甚至出现跳跃。如何科学准确地刻画与跟踪中国股指期货市场波动性，并探究中国股指期货市场是否存在跳跃、跳跃又服从怎样的动态规律，对股指期货的资产定价、风险管理以及市场监管都具有重要的理论和现实意义。本文提出了高频数据条件下中国股指期货市场波动性的度量方法，并探究了中国股指期货市场的跳跃行为，研究结果可为投资者和监管机构提供一定的理论支持。采用三类主流的高频波动率估算方法，估算出中国股指期货市场的波动性，并深入分析了股指期货的波动特征。研究发现，中国股指期货市场高频波动率呈现尖峰、厚尾、非正态及长记忆特征。已实现极差波动率捕捉市场跳跃的能力更强。考虑微观市场结构噪声对波动率影响条件下，基于双幂变差理论框架动态检测了中国股指期货市场的跳跃时点，并从跳跃幅度、跳跃久期等角度进行了研究。研究发现，中国股指期货市场存在跳跃；跳跃幅度和跳跃频率与投资者的风险偏好相关；跳跃具有聚集性和时变性，跳跃贡献趋于平稳。将跳跃分离出久期序列，研究发现中国股指期货市场的跳跃久期服从指数分布，跳跃次数服从Poisson过程，ACD模型能有效拟合和预报跳跃久期；受隔夜信息、午间休息制度、闭市效应以及周末效应的影响，中国股指期货合约的波动性、活跃程度表现出明显的、稳定的倒“W”型、“L”型并存的日内模式。
[Abstract]:China's stock index futures market plays an important role in price discovery, asset allocation and risk aversion.In view of the weak foundation of China's stock index futures market and the increasing competition in the market, futures prices are vulnerable to information shocks and violent fluctuations, and even jump.How to describe and track the volatility of China's stock index futures market scientifically and accurately, and to explore whether there is a jump in China's stock index futures market, and what kind of dynamic rules to follow, and how to price the assets of stock index futures.Risk management and market supervision have important theoretical and practical significance.This paper puts forward a method to measure the volatility of China's stock index futures market under the condition of high frequency data, and probes into the jumping behavior of China's stock index futures market. The research results can provide certain theoretical support for investors and regulators.The volatility of China's stock index futures market is estimated by using three main methods of high-frequency volatility estimation, and the volatility characteristics of stock index futures are deeply analyzed.It is found that the high frequency volatility of Chinese stock index futures market is characterized by peak, thick tail, non-normal and long memory.The ability to capture market jumps has been improved by achieving range volatility.Considering the influence of market structure noise on volatility, the jump time of Chinese stock index futures market is dynamically detected based on the theory framework of double power variation, and the jump amplitude and jump duration are studied.It is found that there is a jump in the stock index futures market in China; the jump amplitude and frequency are related to the risk preference of investors; the jump has aggregation and time variability, and the contribution of jump tends to be stable.The study found that the jump duration of Chinese stock index futures market can be distributed from the index, and the Poisson model can effectively fit and predict the jump duration.Under the influence of closed market effect and weekend effect, the volatility and active degree of Chinese stock index futures contract show obvious, stable "W" type and "L" type coexisting intraday mode.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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