我国股指期货市场流动性风险实证研究

发布时间：2018-05-27 16:21

本文选题：沪深300股指期货 + VAR　；参考：《青岛大学》2012年硕士论文

【摘要】：2010年4月16日随着我国沪深300股指期货的推出,这对于我国期货市场的发展具有比较重大的意义。但是另一方面对于股指期货的风险的管理也成为一个难题。由于我国的期货交易市场是一个新兴的市场,与西方发达国家的成熟市场还有很大的差距,在加上我国的指令驱动的交易机制,使得我们不能照搬国外成熟的研究成果,而需要结合我国的交易机制加以一定的改造。 VAR作为风险管理方法的提出为测度市场风险提供了有力的工具,近年来对于VAR的研究还成为热点的问题,然而这种传统的风险测度方法在实践的过程中忽略的一个重要的方面：流动性风险的影响,这使得计算出来的风险值无法为投资者调工真实、完整、可靠的信息,我们都知道流动性风险是金融市场上不容忽视的一种重要的风险,如果忽略了流动性风险的计算将会严重的低估风险值。不利于交易者在市场上迅速的出清资产。所以如何构建一个包含流动性风险的市场风险模型是目前国内外学者研究的重点。尤其对于我国这样的新兴市场国家,探讨如何构建适合我国股指期货市场风险管理的La-VaR模型具有比较重大的现实意义。本文通过对国内关于流动性及流动性风险研究的分析与总结,结合我国自身市场的特点,在BDSS模型的基础上通过对相关参数和指标的调整,对我国股指期货合约的市场风险和流动性风险进行了计算。实证的结果表明：流动性风险在总的风险中占了很大的比重,如果仅仅考虑市场风险,将会严重的低估风险。我们进行这一系列研究的最终目的是为了套期保值做准备的,所以在文章的结束简要的提及了套期保值资产出清的策略,这将是我们下一步研究的重点内容。
[Abstract]:April 16, 2010 with the launch of China's Shanghai and Shenzhen 300 stock index futures, this is of great significance to the development of China's futures market. On the other hand, the risk management of stock index futures has become a difficult problem. Because the futures trading market of our country is an emerging market, and there is still a big gap between our country's futures trading market and the mature market of the western developed countries, in addition to the order driven trading mechanism of our country, we cannot copy the mature research results of foreign countries. And needs to combine our country's transaction mechanism to carry on the certain transformation. As a method of risk management, VAR provides a powerful tool for measuring market risk. In recent years, the research on VAR has become a hot issue. However, one important aspect of this traditional risk measurement method is the influence of liquidity risk, which makes the calculated risk value impossible for investors to adjust true, complete and reliable information. We all know that liquidity risk is an important risk that can not be ignored in financial market. If we ignore the calculation of liquidity risk, we will seriously underestimate the value of risk. It is not good for traders to sell their assets quickly in the market. Therefore, how to construct a market risk model including liquidity risk is the focus of domestic and foreign scholars. Especially for emerging market countries such as China, it is of great practical significance to discuss how to construct La-VaR model suitable for risk management of stock index futures market in China. Based on the analysis and summary of domestic research on liquidity and liquidity risk, combined with the characteristics of China's own market, this paper adjusts the relevant parameters and indicators on the basis of BDSS model. The market risk and liquidity risk of stock index futures contract in China are calculated. The empirical results show that liquidity risk accounts for a large proportion of the total risk, if only considering market risk, it will seriously underestimate the risk. The ultimate purpose of this series of studies is to prepare for hedging, so at the end of the article briefly mentioned the strategy of hedging asset clearing, which will be the focus of our next research.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

【参考文献】