沪深300股指期货市场与现货市场的波动溢出效应研究

发布时间：2018-06-13 09:08

本文选题：沪深300股指期货 + 波动溢出效应　；参考：《西南财经大学》2013年硕士论文

【摘要】：波动溢出效应在各个资本市场中引起了广大学者和政府监管人员的关注,众多国内外文献针对各个金融市场之间的波动溢出效应作了广泛的实证研究,重点探讨一个市场的波动对于另外一个市场造成的影响以及这个波动是如何来回振荡。其中,股指期货市场的波动溢出效应是最受关注的研究对象之一。学术界认为,股指期货的推出对现货市场的波动性存在两个方面(正、反两个方面)的影响。从反面来看,股指期货和股票现货之间存在着一定的替代效应,这导致了现货市场的流动性会因为股指期货的推出而降低；而从正面的影响来看,推出股指期货,会促进股票市场的交易,使得股票市场交易变得更加活跃,并且股票市场的价格波动更为合理,套利及套期保值需求会吸引资金入市,因此可能提高现货市场流动性。从整体上考量,长期看来,股指期货的推出会促进现货市场交易的活跃、稳定和有效的价格发现,进而使股市更加健康合理的发展。而在沪深300股指期货正式推出前,国内的一些学者就已经利用2006年推出的沪深300股指期货仿真合约的数据资料对股指期货市场和现货市场之间的波动溢出性进行了一系列的实证研究。但是由于仿真合约的数据毕竟只是模拟交易下的数据,不具备真实性,没有考虑到正式交易中的经济政策,市场环境和交易者偏好等相关因素对交易的影响,市场交易者不必承担相应真实交易情况下带来的损失(同理,也无法享受真实交易的利润),因此,基于仿真合约数据实证研究结论对现实的参考意义要远远小于基于实盘数据的研究结论。另一方面,沪深300股指期货刚推出之时,由于时间尚短,并且市场上的部分投资者对股指期货没有正确充分的认识,加上股指期货市场发展的不够成熟,使得市场出现了短期的非正常运行。如今,沪深300股指期货推出已近3年,市场投资者对股指期货已有详细了解,市场上的非理性行为已经基本上消失,其市场规模也取得了突破性的发展。另外,股指期货市场作为股票现货市场的一个重要延伸和补充,它对资本市场的风险管理效果也进一步显现出来。因此,HS300股指期货的推出对于股票市场波动性的影响以及背后的成因一直是学术界和政府决策层讨论的热点问题,也是本文试图解决的问题。相较于国外期货市场成立久远,国外市场发展成熟,我国沪深300指数期货仍然属于新兴商品,但随着我国期货市场的快速成长,期货交易在整体金融市场中所扮演的角色日渐重要,其中HS300股指期货带来的对于股票市场的影响更为重要。因此本文将探讨在我国金融市场中,沪深300期货市场与现货市场间的波动外溢性现象。现有的文献中关于金融市场之间的相关性研究方法主要有两类：第一类是研究均值之间的溢出效应,即考察不同市场间的价格走势的时序相关性和条件一阶矩间的相互关系；第二类是研究市场收益率序列之间的波动溢出效应,也就是条件二阶矩间的相关性。“虽然一阶条件下变动的领先滞后关系可以对价格变化提供预测性的信息,但是这种均值关系却不一定意味着信息是由领先市场向滞后市场传递的,因此更为恰当的方法是研究两个市场间的“波动溢出效应”(volatility spillover effeet)"(赵留彦、王一鸣,2003)。此外,两个序列之间的一阶关系很可能是不真实的,在深入研究它们之间的高阶关系后,这种一阶关系可能会消失(Lutkepohl,1993)。所以本文主要研究的重点是两市场间的波动溢出效应。通俗地解释,波动溢出效应是指一个市场的波动不仅受本身市场波动前一期的影响,还要受到其他市场的前期波动影响,这种波动在市场之间的传递效果被称为波动溢出效应,通过对波动溢出效应的研究还可以考察不同市场吸收信息的过程。本研究为了完整检定期货交易对于现货市场所产生的影响,通过建立合适的EGARCH模型分析股票市场与期货市场的报酬率波动性,并基于一元EGARCH模型分析两市场的波动性相互影响。在考虑到一元EGARCH的缺陷之后,加入相关系数的时变性特点,进而引入二元DCC-MVGARCH模型进一步分析期货市场与现货市场的波动溢出效果。本文研究中所选取的数据资料是中国金融期货交易所的沪深300股指期货的“当月连续”时间序列的日交易数据,时间从股指期货正式挂牌交易日2010年4月16日起到2013年2月8日止,剔除非共同交易日的数据,最终得到676个数据。本文为了研究沪深300股指期货与现货市场之间的波动溢出效应,为了研究方便和消除序列的异方差性,对两市场的原始价格取对数,以避免极端资料影响分析结果。最终的实证结果表明在一元的EGARCH模型下,两市场均存在非对称效应,在此基础上的波动溢出效应拟合结果不是很理想,因此很可能与一元EGARCH模型的缺陷有关；紧接着再多元GARCH模型的基础上发现两市场存在波动溢出效应,拟合结果较好,且两收益率序列的时相关系数图表明两市场的联系越来越紧密。
[Abstract]:Volatility spillover effect has attracted the attention of many scholars and government regulators in all capital markets. Many domestic and foreign literatures have made extensive empirical studies on the volatility spillover effects between various financial markets, focusing on the impact of the volatility of a market on the other market and how the volatility is back and forth. Among them, the volatility spillover effect of stock index futures market is one of the most concerned subjects.
The academic circles believe that the introduction of stock index futures has two aspects (positive, two aspects) on the volatility of the spot market. From the negative side, there is a certain substitution effect between stock index futures and stock spot, which leads to the liquidity of the spot market because the stock refers to the introduction of futures, but from the positive effect, The introduction of stock index futures will promote the trading of the stock market, make the trading of the stock market more active, and the price fluctuation of the stock market is more reasonable. The arbitrage and hedging demand will attract the capital into the market, so it may improve the liquidity of the spot market. In the long term, the stock index futures will promote the spot market. The active, stable and effective price discovery of the field trade makes the stock market more healthy and reasonable. And before the Shanghai and Shenzhen 300 stock index futures are officially launched, some domestic scholars have already used the data of the Shanghai and Shenzhen 300 stock index futures simulation contract introduced in 2006 to the volatility spillover between the stock index market and the spot market. A series of empirical studies have been conducted. However, because the data of the simulation contract is only a simulation of the data under the transaction, it does not have the authenticity. It does not take into account the influence of the related factors such as the economic policy, the market environment and the trader's preference on the transaction. The market trader does not have to bear the loss of the corresponding real transaction. (the same reason, also can not enjoy the real transaction profit), therefore, the empirical research conclusion based on the simulation contract data is far less than the real data based research conclusions. On the other hand, the Shanghai and Shenzhen 300 stock index futures have just been introduced, because the time is short, and some investors on the market are not correct to the stock index futures. Fully understanding, and the development of stock index futures market is not mature enough, making the market appear short term abnormal operation. Now, Shanghai and Shenzhen 300 stock index futures have been introduced for nearly 3 years, market investors have a detailed understanding of stock index futures, the irrational behavior in the market has basically disappeared, and its market scale has also made a breakthrough development. In addition, as an important extension and supplement of the stock spot market, the stock index futures market has also shown the effect of risk management on the capital market. Therefore, the impact of the introduction of the HS300 stock index futures on the volatility of the stock market and the causes behind it have always been the hot issues in the academic and government decision-making layers. This paper tries to solve the problem. Compared with the foreign futures market and the mature foreign market, the Shanghai and Shenzhen 300 index futures still belong to the emerging commodities. However, with the rapid growth of China's futures market, the role of futures trading in the overall financial market is becoming increasingly important, in which the HS300 stock index futures bring stock to the stock. The impact of the market is more important.
Therefore, this paper will discuss the volatility spillover phenomenon between the 300 futures market and the spot market in the Chinese financial market. There are two main methods of research on the correlation between the financial markets in the existing literature: the first kind is the study of the spillover effect between the mean value, that is, to examine the temporal correlation of the price trend among different markets. The relationship between the first order moment and the condition first moment; the second kind is the volatility spillover effect between the market returns, that is, the correlation between the two moments of the condition. "Although the leading lag relationship under the first order condition can provide the predictive information for the price change, but this mean relationship does not necessarily mean that the information is From the leading market to the lagging market, the more appropriate method is to study the "volatility spillover effeet" between two markets "(Zhao Liuyan, Wang Yiming, 2003). In addition, the first order relationship between the two sequences is likely to be untrue, and this first order after deep study of the high order relationship between them The relationship may disappear (Lutkepohl, 1993). So the main focus of this paper is the volatility spillover effect between the two markets. A popular explanation, the volatility spillover effect is that the volatility of a market is not only influenced by the previous period of the market volatility, but also influenced by the previous period fluctuations in other markets, which is transmitted between the market. The effect is called volatility spillover effect. Through the study of volatility spillover effect, we can examine the process of absorbing information in different markets. In order to fully examine the impact of futures trading on the spot market, this study is based on the establishment of a suitable EGARCH model to analyze the volatility of the return rate of the stock market and the futures market, and based on the one dollar E. The GARCH model analyzes the volatility interaction of the two market. After considering the defects of the one dollar EGARCH, the time-varying characteristic of the correlation coefficient is added, and then the two element DCC-MVGARCH model is introduced to further analyze the volatility spillover effect of the futures market and the spot market. The data selected in this study are the China Financial Futures Exchange. The daily transaction data of the "month continuous" time series of Shanghai and Shenzhen 300 stock index futures, from April 16, 2010 to February 8, 2013 from the formal listing of stock index futures to February 8, 2013, eliminated the data from the non common trading day, and finally got 676 data. This paper is to study the volatility spillover effect between the Shanghai and Shenzhen 300 stock index futures and the spot market. In order to study and eliminate the heteroscedasticity of the sequence, the logarithm of the original price of the two market is taken to avoid the result of the analysis of the influence of extreme data. The final empirical results show that the two market has asymmetric effect under the one dollar EGARCH model, and the result of the fluctuation spillover effect on this basis is not very ideal, so it is likely to be the same. The defect of the one element EGARCH model is related; on the basis of the multiple GARCH model, it is found that there is a volatility spillover effect in the two market, and the fitting results are better, and the time correlation coefficient diagram of the two yield sequence shows that the connection of the two market is becoming more and more close.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F723;F224

【参考文献】