我国股指期货市场避险功能的实证研究

发布时间：2018-04-21 15:18

本文选题：股指期货 + 股票现货　；参考：《东北农业大学》2012年硕士论文

【摘要】：伴随通货膨胀压力不断增大、人民币持续升值、热钱涌入等经济问题的出现,我国经济发展面临来自诸多方面的不确定因素的影响,而其中又以资本市场所受的风险冲击最为显著。因此,如何有效规避资本市场风险成为众所关注的焦点。我国于2010年4月16日推出了股指期货交易,这标志着股票投资者可以利用股指期货市场实现跨越期货、现货两市的双向交易,为防范股票现货市场价格波动风险提供了有效避险工具。股指期货对股票市场具有“双刃剑”效应。一是股指期货市场的避险功能得以有效发挥,从而利于投资者规避股票市场风险,稳定股价并使之趋于合理；另一方面则是对股票市场的消极影响,即股指期货可能会进一步加剧股票市场的价格波动,给投资者的交易活动带来更大的风险。本文以我国股指期货市场为研究对象,主要通过以下三方面考察其避险功能的发挥效果。首先,我国股指期货市场与股票现货市场是否存在长期稳定的均衡关系,原因在于这种长期均衡关系是进行食期保值的前提保证。其次,股指期货市场的交易活动是否会加大股票市场价格波动的风险,对投资者而言是否存在较大的套利空间。这些因素是股指期货市场避险功能得以发挥的重要基础。再次,由于我国目前仅推出了沪深300股指期货一个交易品种,套期保值者的投资选择有限。鉴于此,通过分析沪深300股指期货的套期保值效果来衡量我国股指期货市场避险功能的发挥效果。实证分析过程中,选择股指期货市场利股票现货市场的日数据和1分钟高频数据对两个市场间的联动关系进行探究。研究发现：我国股票市场与股指期货市场问存在联动性且价格变动趋势一致,即期、现两市价格相互影响、不断波动,最终呈现趋于一致的走势。这种长期稳定的均衡关系为套期保值,或者说股指期货市场充分发挥避险功能提供了前提保证。其次,从股指期货市场与股票市场不同指标间的相对变化关系中可以发现如下规律。第一、股票市场和股指期货市场的价格变动存在非均衡状态,这说明某一时点上股指期货市场价格的变动幅度要大于股票现货市场的波幅,即在同一经济环境下股指期货价格的短期波动更为剧烈。第二、股指期货日交易量的异常变化会引起股票现货市场价格的剧烈波动。同时股指期货日交易量并不受股票市场价格波动的影响。这表明投资者在股指期货市场上进行套期保值的需求有限,我国股指期货市场的避险功能有待进一步加强。在此基础上,运用传统OLS模型和二元GARCH模型对沪深300股指期货的套期保值效果进行分析,研究发现二元GARCH模型具有较好的适用性,客观的反映了沪深300股指期货的避险效果。鉴于此,应该从法规、制度、人才利技术等方面不断完善,为吸引更多机构投资者入市进行,风险管理创造条件；同时不断丰富交易标的,在交易品种数量上满足众多股票现货市场投资者的避险需求,减小套期保值的技术难度,以期我国股指期货市场的避险功能得以充分发挥。
[Abstract]:With the increasing pressure of inflation, the continuous appreciation of the RMB, the emergence of economic problems such as the influx of hot money, China's economic development is facing the influence of uncertain factors from many aspects, and the risk of capital market is the most striking. Therefore, how to avoid the risk of capital market has become the focus of attention. China launched the stock index futures trading in April 16, 2010, which indicates that stock investors can use the stock index futures market to cross the futures, the two-way trading in two markets, and provide an effective hedge tool to prevent the risk of the stock market price volatility.
Stock index futures have a "double-edged sword" effect on the stock market. First, the risk avoidance function of the stock index futures market can be played effectively, which helps investors to avoid the risk of the stock market, stabilize the stock price and make it reasonable; on the other hand, the negative effect on the stock market, that is, stock index futures may further aggravate the stock market. Price fluctuations bring greater risks to the investors' trading activities. This paper takes China's stock index futures market as the research object, mainly through the following three aspects to examine the effect of its hedging function. First, whether there is a long-term stable equilibrium relationship between the stock index futures market and the stock spot market in China, the reason lies in this long-term equilibrium. The relationship is the premise of the precondition. Secondly, whether the trading activities of the stock index futures market will increase the risk of the stock market price fluctuation and whether there is a large arbitrage space for the investors. These factors are the important basis for the risk avoidance function of the stock index futures market. Deep 300 stock index futures trading variety, hedging is limited in investment choice. In view of this, the effect of hedging effect on the stock index futures market in China is measured by analyzing the hedging effect of Shanghai and Shenzhen 300 stock index futures.
In the process of empirical analysis, we choose the daily data of stock market in stock index futures market and the 1 minute high frequency data to explore the linkage relationship between the two markets. The long-term stable equilibrium relationship is the premise guarantee for the hedging, or the stock index futures market will give full play to the hedging function. Secondly, it can be found in the relative change relationship between the stock index futures market and the stock market. First, stock market and stock index futures market. There is a non equilibrium state of the price change of the field, which indicates that the fluctuation of the stock index futures market price at some point is greater than the volatility of the stock spot market, that is, the short-term fluctuation of the stock index futures price is more intense in the same economic environment. Second, the abnormal changes in the daily trading volume of the stock index futures will cause the stock spot market price play. The daily trading volume of stock index futures is not affected by the fluctuation of stock market price. It shows that the demand of hedging in stock index futures market is limited. The hedge function of stock index futures market in China needs to be further strengthened. On this basis, the traditional OLS model and two yuan GARCH model are applied to the Shanghai and Shenzhen stock index period 300 stock index period. The analysis of the hedging effect shows that the two yuan GARCH model has better applicability and objectively reflects the hedging effect of the Shanghai and Shenzhen 300 stock index futures.
In view of this, it should be perfected continuously from the aspects of regulations, systems, and talent and profit technology to attract more institutional investors to enter the market and create conditions for risk management; at the same time, it is necessary to enrich the trade mark, meet the hedge demand of many stock spot market investors and reduce the technical difficulty of hedging. It refers to the full play of the hedging function of the futures market.

【学位授予单位】：东北农业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

【参考文献】