新信息冲击下沪深300股指期货价格发现功能研究

发布时间：2018-06-07 20:54

本文选题：沪深300股指期货 + 沪深300股价指数　；参考：《南京航空航天大学》2013年硕士论文

【摘要】：沪深300股指期货于2010年4月10日在我国资本市场得以推出，迄今为止已经平稳运行2年多的时间，随着沪深300股指期货的交易量日渐增加，交易额亦日益扩大，预示着股指期货市场亦逐渐走向成熟，股指期货市场已经成为我国资本市场当中不可缺少的一部分。沪深300股指期货这一金融衍生品在设计之初就被赋予价格发现、规避风险以及资产配置三大功能，而价格发现功能在这三大功能当中是作为最基础的功能而存在的。自沪深300股指期货上市交易以来，股指期货市场功能的发挥特别是价格发现功能的发挥如何，成为业内人员关注的焦点。本文利用沪深300股指期货和沪深300股价指数的日内高频数据，基于市场新信息产生之后对于市场冲击影响的基础之上，第一部分考虑沪深300股指期货市场及其现货市场对于市场新信息冲击的反应传递过程，首先运用向量误差修正模型研究分析两个市场之间的相互引导关系，确定沪深300股指期货与沪深300股价指数两者的价格之间的领先——滞后关系，然后运用脉冲响应函数以及方差分解的方法确定沪深300股指期货及其现货指数的价格发现功能的相对强弱以及两者之间的动态影响过程；另外一部分考虑的是沪深300股指期货以及沪深300股价指数两个市场对于市场新信息的吸收融入过程，在向量误差修正模型的基础之上运用永久短暂模型和信息份额模型确定沪深300股指期货和沪深300股价指数在价格发现功能当中的相对贡献比率，确定两者之间价格发现功能的相对强弱。研究结果表明沪深300股指期货及其现货两者的对数价格收益率序列之间在长期内存在稳定的动态均衡关系，，但是在短期内沪深300股指期货对数价格收益率要领先沪深300股价指数对数价格收益率大约15分钟；在价格发现功能方面，沪深300股指期货对于价格发现功能的贡献比率要高于沪深300股价指数的贡献比率，即沪深300股指期货相对于沪深300股价指数而言具有价格发现功能,对于股指期货的价格具有引导作用。
[Abstract]:Shanghai and Shenzhen 300 stock index futures were launched in China's capital market on April 10, 2010. Up to now, the stock index futures have been running smoothly for more than two years. With the increasing trading volume of Shanghai and Shenzhen 300 stock index futures, the trading volume is also expanding day by day. It indicates that the stock index futures market is gradually maturing, and the stock index futures market has become an indispensable part of the capital market in our country. The financial derivatives of Shanghai and Shenzhen 300 stock index futures are endowed with three functions: price discovery, risk avoidance and asset allocation, among which the price discovery function exists as the most basic function. Since the listing and trading of the Shanghai and Shenzhen 300 stock index futures, how does the function of the stock index futures market, especially the function of price discovery, come into play? Based on the intraday high frequency data of CSI 300 stock index futures and CSI 300 stock price index, based on the impact of the new market information on the market impact, this paper makes use of the daily high frequency data of CSI 300 stock index futures and CSI 300 stock price index. In the first part, we consider the reaction transfer process of Shanghai and Shenzhen 300 stock index futures market and its spot market to the impact of new information. Firstly, we use vector error correction model to study and analyze the mutual guiding relationship between the two markets. Determining the leading-lag relationship between the prices of the Shanghai and Shenzhen 300 stock index futures and the Shanghai and Shenzhen 300 stock price indices, Then the impulse response function and variance decomposition method are used to determine the relative strength of the price discovery function of Shanghai and Shenzhen 300 stock index futures and its spot index and the dynamic influence process between them. The other part considers the process of absorbing new information in the Shanghai and Shenzhen 300 stock index futures and the Shanghai and Shenzhen 300 stock index markets. On the basis of vector error correction model, the relative contribution ratio of Shanghai and Shenzhen 300 stock index futures and Shanghai and Shenzhen 300 stock price index in price discovery function is determined by using permanent transient model and information share model. The results show that there is a stable dynamic equilibrium relationship between the logarithmic price return series of CSI 300 stock index futures and spot stock index futures in the long run. However, in the short term, the logarithmic price yield of the Shanghai-Shenzhen 300 stock index futures will be about 15 minutes ahead of the logarithmic price return rate of the CSI 300 stock index; in terms of price discovery function, The contribution ratio of Shanghai and Shenzhen 300 stock index futures to price discovery function is higher than that of Shanghai and Shenzhen 300 stock price index, that is to say, Shanghai and Shenzhen 300 stock index futures have price discovery function relative to Shanghai and Shenzhen 300 stock price index. For the price of stock index futures have a guiding role.
【学位授予单位】：南京航空航天大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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