融资融券交易下股指期货市场功能的时变性研究

发布时间：2018-06-29 08:38

本文选题：融资融券 + 股指期货　；参考：《西南财经大学》2012年博士论文

【摘要】：我国证券市场于2010年3月31日开始实施融资融券交易试点,它改变了我国证券市场长期以来的单边市场格局；我国资本市场于2010年4月16日正式推出股指期货交易,有利于完善资本市场结构和发挥资本市场功能。证券现货融资融券交易和股指期货交易相差半个月先后陆续推出,意味着证券市场的融资融券交易和股指期货交易将长期共存于我国资本市场,是我国资本市场交易制度的重大变化,对我国资本市场的发展将产生深刻的影响。那么,在我国证券现货融资融券交易和股指期货交易共同发展的过程中,融资融券交易影响股指期货市场功能的作用机理是怎样的?股指期货的市场功能包括套期保值功能、期现套利功能、价格发现功能这些与两个市场都紧密相关的功能将呈现出怎样的具体状况呢?这些市场功能又将表现出怎样的动态性和时变特征呢?证券投资者和期货交易者等跨市场参与者应该实施怎样的动态操作策略呢?证券市场和股指期货市场的跨市场监管者又该制定什么样的动态监管政策呢?文章将针对这一系列问题,进行在融资融券交易情况下股指期货的套期保值功能、期现套利功能、价格发现功能的理论模型的数理推演,并利用沪深300股指期货真实交易和证券现货交易数据进行相应的实证检验,以揭示融资融券交易情况下股指期货的主要市场功能的时变特征和市场参与者的应对策略。通过本文的研究,为我国金融市场包括基础金融工具市场的完善和衍生金融工具市场的发展指明方向和路径,为我国资本市场监管者对融资融券交易和股指期货的跨市场监管提供有价值的决策依据,为股指期货市场的交易者和证券市场的投资者特别是机构投资者的套期保值、期现套利、资产配置等提供跨市场操作参考,为股指期货的套期保值、期现套利、价格发现功能在特定的融资融券交易条件下的具体表现及其时变规律的相关研究提供有价值的文献补充。本文对融资融券交易下股指期货市场功能时变性的研究主要包括其套期保值功能、期现套利功能、价格发现功能时变性的研究,并且从股指期货市场发展不同阶段和股指期货合约存续不同阶段这两个视角进行展开,具体而言,表述如下：论文在第一章引入研究背景和研究主题,阐明研究思路和构建论文框架。特别强调本文的研究是在我国现有的证券现货融资融券交易背景下的关于股指期货市场功能的表现形式和时变特征的研究,证券现货的融资融券交易试点到逐渐转入常规和股指期货正式推出并顺利运行是其特定的研究背景。在证券融资融券交易的前提下,关于股指期货市场功能的研究包括套期保值功能、期现套利功能、价格发现功能进行横向铺开,而对股指期货各类市场功能的研究又将其理论模型的推演和经验数据的检验结合起来,最后分别总结出各部分有价值的研究结论,特别强调关于股指期货各类市场功能的动态特征和时变规律的结论。在第二章中,对证券融资融券交易、股指期货的套期保值功能、期现套利功能、价格发现功能、时变性等方面的相关研究文献进行全面系统地梳理、述评,总结已有研究文献的主要研究结论和重要观点,并试图从中发现新的研究视角和切入点。在第三章中,对与本论文相关的一些基本范畴和概念进行明确的界定,对股指期货市场功能时变性的相关理论进行阐述。具体包括证券现货融资融券交易的基本原理,沪深300股指期货交易的运行机理,股指期货的主要市场功能包括套期保值功能、期现套利功能、价格发现功能的含义,股指期货市场功能时变性的具体表现形式,以及文中实证部分用到的沪深300股指期货和股指现货真实交易数据的数据区间、数据频率、数据连接方式等,最为关键的是对在证券现货融资融券交易下,股指期货的市场功能可能受到哪些方面因素的影响,其市场功能时变性特征的具体表现,融资融券交易影响股指期货市场功能的作用机理等进行理论分析,以为后文的继续展开做好理论铺垫。接下来,对融资融券交易下股指期货的主要市场功能包括套期保值功能、期现套利功能和价格发现功能的时变性特征进行横向铺开研究。第四章,研究融资融券交易下股指期货套期保值功能的时变性。首先对股指期货套期保值,特别是最优套期保值比率确定模型的相关研究文献进行系统梳理,找到确定最优套期保值比率的静态模型和动态模型发展的清晰脉络。全面比较分析确定股指期货静态套期保值比率的OLS方法、VAR方法和VECM方法的基本原理、优缺点和套期保值效果,以及股指期货动态套期保值比率的BGARCH模型、ECM-GARCH模型、修正的ECM-GARCH模型等方法的基本原理、优缺点和套期保值效果,利用我国沪深300股指期货正式推出之后的日交易数据对静态套期保值比率模型和动态套期保值比率模型的最优套期保值比率以及套期保值效果进行实证检验,得出的基本结论是,在融资融券交易下,股指期货的动态套期保值效果显著优于静态套期保值效果,这意味着股指期货的套期保值功能中的最优套期保值比率表现出明显的时变性特征,套期保值者应当采用动态的套期保值模型取代静态的套期保值模型实施套期保值。第五章,研究融资融券交易下股指期货期现套利功能的时变性。根据持有成本模型,确定完美市场条件股指期货的理论价格；然后放松市场条件假设,考虑交易成本、冲击成本、借贷利率不等和融资融券交易等市场条件,根据无套利原理,全面刻画融资融券交易下期现套利中的现金流,利用正向套利原理确定无套利区间的上限,利用反向套利原理确定无套利区间的下限,用错误定价率反映股指期货实际价格偏离无套利区间的程度,准确刻画股指期货期现套利的套利机会和套利空间；然后从股指期货市场发展不同阶段和股指期货合约存续不同阶段两个视角,去分析股指期货期现套利的套利机会和套利空间的时变规律。在本部分的实证研究中采用沪深300股指期货和股指现货的日数据和5分钟交易数据。得到的基本结论是,证券现货的融资融券交易会对股指期货的期现套利的无套利区间的上限和下限特别是下限产生重要影响,进而影响股指期货期现套利的套利机会和套利空间;从股指期货市场发展的不同阶段考察,我国沪深300股指期货市场发展前期的套利机会和套利空间多于后期；从股指期货合约存续的不同阶段考察,我国沪深300股指期货合约上市前期的套利机会和套利空间多于后期：基于日数据的期现套利机会远远少于基于5分钟数据的期现套利机会。第六章,研究融资融券交易下股指期货价格发现功能的时变性。通过对国内外研究文献的梳理,发现全面研究股指期货的价格发现功能主要包括三个方面,即股指期货和股指现货价格的领先滞后关系(价格引导关系),价格发现贡献度和波动溢出效应。由于股指期货与证券现货市场存在着影响价格发现功能的先天差异,比如股指期货交易的是整体市场,证券现货市场交易的是个股,这使得股指期货市场具有较快地反映总体市场信息的优势,而证券现货市场的价格不免掺杂来自个股的噪声交易的信息成分。知情交易者选择某个特定的交易市场而揭示其私有信息,那么这个市场的价格将引导其他同类产品市场。一般来讲,知情者交易偏好不同微观结构市场的原因主要存在四种假设：杠杆交易假设、交易成本假设、上点规则假设、市场系统性信息假设。从理论上分析,上述这些方面都决定了股指期货市场有优于证券现货市场的价格发现功能。但证券现货融资融券交易的引入,会使证券交易同样具有杠杆交易和交易成本低的特征,将使上述四大假设发生变化,股指期货在价格发现方面的相对优势会减弱,价格发现功能中股指期货与证券现货之间的价格发现关系也可能因此发生某些变化。本文在这一部分将基于价格发现功能的几大假设,分析证券现货市场的融资融券交易使得证券交易也具有了杠杆交易和低成本交易的特点,随着证券融资融券交易规则的调整和交易规模的增加,股指期货在价格发现方面相对于证券市场的优势逐渐变化,导致股指期货与股指现货的价格发现关系体现出某种时变特征。本文从股指期货市场发展不同阶段和股指期货合约存续不同阶段两个视角研究股指期货价格发现功能的时变性。前者的研究采用沪深300股指期货和股指现货的5分钟高频交易数据,在进行阶段划分的基础上,全面研究各阶段股指期货的价格引导关系、价格发现贡献度和波动溢出效应；后者的研究采用沪深300股指期货不同合约和股指现货的5分钟或1分钟高频交易数据,按股指期货合约在合约序列中的地位作为阶段划分标准,主要研究各阶段的股指现货、股指期货主力合约和股指期货非主力合约之间的价格引导关系。本部分研究得到的基本结论是,股指期货市场发展不同阶段和股指期货合约存续不同阶段价格发现功能都存在显著的时变性特征,前者表现为股指期货价格发现能力由强到弱再到强的趋势,后者表现为股指期货价格引导股指现货,股指期货主力合约价格引导非主力合约。第七章,主要研究结论和展望。根据前面每一部分的研究结论,该部分对股指期货套期保值功能、期现套利功能、价格发现功能的时变性特征的相关研究结论进行全面系统地总结,为股指期货市场和证券现货市场的参与者提供动态的交易策略建议,为股指期货市场和证券现货市场的监管者提供动态的监管政策建议。同时,指出本文研究的主要创新和贡献,以及尚存的不足之处和后续的研究方向。本文的主要创新之处和后续研究展望主要表现如下：创新之处： (1).系统分析了融资融券交易影响股指期货市场功能的作用机理。融资融券交易通过影响套期保值的方向和成本来影响股指期货套期保值功能的发挥。融资融券交易通过影响无套利区间的上下限来影响股指期货期现套利功能的发挥。融资融券交易通过影响价格发现的假设(比如杠杆交易、低成本交易、卖空交易等)来影响股指期货价格发现功能的发挥。 (2).以股指期货市场功能的时变性为研究对象,是研究对象的创新。文章系统研究了在我国特定的融资融券交易背景下,股指期货的主要市场功能包括套期保值功能、期现套利功能、价格发现功能的表现形式和时变特征,重在对市场功能的时变规律的总结,而不仅仅研究股指期货的市场功能本身。 (3).以股指期货市场发展和股指期货合约存续两个视角去研究股指期货市场功能的时变性,是研究视角的创新。对于股指期货每一类市场功能的时变性特征的研究分别从股指期货市场发展的不同阶段这一宏观视角和股指期货合约存续的不同阶段这一微观视角进行展开,从宏观层面和微观层面揭示股指期货市场功能的时变性规律,得到的研究结论比较系统全面。 (4).从不同切入点研究股指期货市场功能的时变性,是研究切入点的创新。股指期货的套期保值功能主要研究套期保值比率和套期保值效果的时变性,期现套利功能主要研究套利机会和套利空间的时变性,价格发现功能主要研究价格引导能力和价格发现贡献度的时变性。研究展望： (1).研究的样本区间有待进一步拓展。由于我国的证券市场融资融券交易试点和股指期货交易的推出时间并不太长,基于已有数据进行的股指期货市场功能时变性的相关研究结论的可靠性有待进一步检验,后续的研究应当在更长的研究区间,更多的划分阶段,不同的数据频率中去进行检验,得出更为可靠的研究结论。 (2).股指期货的其他功能也可以进行研究。本文中只涉及股指期货的套期保值功能、期现套利功能和价格发现功能,主要是考虑到这三项功能都能将证券市场和股指期货市场两个市场紧密地联系起来,易于受到融资融券交易的影响。至于股指期货的其他市场功能包括风险投资功能和资产配置功能的时变性也可能成为后续的研究方向。 (3).现货组合的构建和现货指数的复制应当纳入后续研究之中。因为文章的重心在于分析、归纳和总结股指期货市场功能的时变性特征,因此统一将股价指数作为现货组合来看待。后续研究时,应当在套期保值功能研究中构建现货组合,在期现套利功能中进行指数复制。
[Abstract]:China's securities market began to carry out the pilot of margin trading in March 31, 2010, which changed the long-term market pattern of the unilateral market in China's securities market. China's capital market formally launched the stock index futures trading in April 16, 2010, which is beneficial to perfect the capital market structure and play the function of capital market. The stock index futures trading is gradually introduced in half a month, which means that the margin trading and stock index futures trading will coexist in the capital market of our country for a long time. It is a major change in the capital market trading system of our country, and will have a profound influence on the development of our capital market. In the process of the common development of trading and stock index futures trading, what is the effect mechanism of margin trading on the function of stock index futures market? The market function of stock index futures includes hedging function, the function of arbitrage is present, and what specific conditions will the function of price discovery function which are closely related to the two markets? What are the dynamic and time-varying characteristics of these market functions? What are the dynamic operating strategies for cross market participants such as securities investors and futures traders? What kind of dynamic regulatory policy should cross market supervisors in the stock market and stock index futures market be formulated? The problem is to carry out the hedging function of stock index futures in the case of margin trading, the mathematical deduction of the theoretical model of the arbitrage function, the price discovery function, and the corresponding empirical test using the real transaction of the Shanghai and Shenzhen 300 stock index futures and the stock spot transaction data to reveal the main market of stock index futures in the case of margin trading. The time-varying characteristics of the field function and the coping strategies of the market participants. Through this study, the paper provides the direction and path for the improvement of the market of the financial market including the basic financial instruments and the development of the derivative financial instruments market in our financial market, and provides the value for the regulators of the capital market for the cross market supervision of the margin trading and stock index futures. The decision basis for the stock index futures market traders and the securities market investors, especially the institutional investors, the hedging, the present arbitrage, the asset allocation and so on provide the cross market operation reference, the hedging for the stock index futures, the present arbitrage, the specific performance of the price discovery function under the specific margin trading condition and its time. The related research on changing laws provides valuable literature supplement.
In this paper, the research on the temporal variability of the function of stock index futures market under the margin trading is mainly composed of its hedging function, the present arbitrage function, the study of the time change of the price discovery function, and the two perspectives from the different stages of the stock index futures market development and the different stages of the stock index futures contract, specifically, the following :
In the first chapter, the research background and research theme are introduced, and the research ideas and the framework of the paper are clarified. The research is particularly stressed on the form and time variation of stock index futures market function in the background of securities spot financing in China. On the premise of securities margin trading, the research on the function of stock index futures market includes hedging function, the function of arbitrage, the function of price discovery is spread horizontally, and the research on all kinds of market function of stock index futures will be the same. The inference of the theoretical model and the test of the empirical data are combined. Finally, the valuable research conclusions of each part are summed up, and the conclusion of the dynamic characteristics and the time variation of various market functions of stock index futures is emphasized.
In the second chapter, the securities financing margin trading, the hedging function of the stock index futures, the current arbitrage function, the price discovery function, the time variability and other related research literature are systematically combed, reviewed, and summarized the main research conclusions and the important points of view of the existing research literature, and try to find a new research perspective and cut in from it. Point.
In the third chapter, some basic categories and concepts related to this paper are clearly defined, and the related theories of the time change of the stock index futures market are expounded. The basic principles of stock exchange margin trading, the operating mechanism of the Shanghai and Shenzhen 300 stock index futures trading, the main market functions of the stock index futures include the hedging, and the main market functions of the stock index futures market include the hedging. The function of hedging, the present arbitrage function, the meaning of the price discovery function, the specific manifestation of the time change of the stock index futures market function, and the data interval of the Shanghai and Shenzhen 300 stock index futures and the real trading data of the stock stock index, the frequency of the data, the way of data connection, and so on, the most important thing is to finance the stock spot financing. The market function of stock index futures may be influenced by the factors of the stock index futures, the specific performance of the time change characteristics of the market function, the effect mechanism of the margin trading on the function of the stock index futures market and so on.
Next, the main market functions of stock index futures under the margin trading include hedging function, and the temporal variability of the present arbitrage function and the price discovery function is carried out horizontally.
The fourth chapter studies the time variability of the hedging function of stock index futures under the margin trading. First, it systematically combs the related research literature of the stock index futures hedging, especially the optimal hedging ratio determination model, and finds the clear context of the static model and dynamic model development of the optimal hedging ratio. The OLS method, the basic principle of VAR method and VECM method, the advantages and disadvantages and the hedging effect, the BGARCH model of the dynamic hedging ratio of the stock index futures, the ECM-GARCH model, the modified ECM-GARCH model and so on, the advantages and disadvantages and the hedging effect of the modified ECM-GARCH model are analyzed. The daily transaction data after the formal introduction of deep 300 stock index futures is an empirical test on the optimal hedging ratio model of static hedging and dynamic hedging ratio model and the effect of hedging. The basic conclusion is that the dynamic hedging effect of stock index futures is significantly better than static hedging under the margin trading. Hedging effect, which means that the optimal hedging ratio in the hedging function of stock index futures shows obvious time variability, and the hedging should adopt the dynamic hedging model instead of the static hedging model to implement hedging.
The fifth chapter studies the time variability of the present arbitrage function of the stock index futures in the margin trading. According to the holding cost model, the theoretical price of the stock index futures is determined. Then the market condition hypothesis is relaxed, and the market conditions such as transaction cost, impact cost, loan interest rate inequality and margin trading are considered, according to the principle of no arbitrage, Fully depicts the cash flow in the present arbitrage of the margin trading, determines the upper limit of the non arbitrage interval by the positive arbitrage principle, uses the reverse arbitrage principle to determine the lower limit of the arbitrage interval, and uses the wrong pricing rate to reflect the degree of the actual price of the stock index futures deviating from the non arbitrage interval, and accurately depicts the arbitrage of the stock index futures arbitrage. And then from two perspectives of different stages of stock index futures market development and stock index futures contracts, the time variation law of arbitrage opportunities and arbitrage space of stock index futures is analyzed. In this part of the empirical study, the daily data of Shanghai and Shenzhen stock index stock and stock index stock and stock index spot and 5 minute trading are adopted. The basic conclusion is that the stock exchange margin trading will have an important influence on the upper limit and lower limit, especially the lower limit of the arbitrage interval of the stock index futures, and then influence the arbitrage opportunities and the arbitrage space of the stock index futures. From the different stages of the stock index market development, China Shanghai and Shenzhen 300 The arbitrage opportunity and arbitrage space in the early development of the stock index futures market is more than the later stage. From the different stages of the stock index futures contract, the arbitrage opportunity and arbitrage space of the Shanghai and Shenzhen 300 stock index futures contract is more than the latter in the late stage: the arbitrage opportunity based on the daily data is far less than the 5 minute data based arbitrage machine. Meeting.
The sixth chapter studies the time variability of the price discovery function of stock index futures under the margin trading. By combing the domestic and foreign research literature, it is found that the comprehensive study of the price discovery function of stock index futures is mainly included in three aspects, that is, the leading lag relationship between stock index futures and Stock Index Futures (price guidance relationship), price discovery contribution and the contribution of price discovery. Volatility spillover effect. Because stock index futures and stock spot market have the innate difference in price discovery function, such as stock index futures trading is the whole market, stock market trading is a stock, which makes the stock index futures market have the advantage of fast reflecting the overall market information, and the stock spot market price is unavoidable The price of an informed trader chooses a specific trading market to reveal its private information, then the price of the market will lead to other similar product markets. Generally speaking, there are four main reasons for the insider trading preference of different microstructural markets: leveraged trading hypothesis, In theoretical analysis, the stock index futures market has a better price discovery function than the stock spot market. However, the introduction of stock spot financing transaction will make the securities trading also have the characteristics of leveraged transaction and low transaction cost. The above four hypotheses change, the relative advantage of stock index futures in price discovery will be weakened, and the price discovery relationship between stock index futures and stock spot may change some changes. This part will be based on several hypotheses of price discovery function, and analyze the financing of stock spot market. The bond trading makes the securities trading also has the characteristics of leveraged transaction and low cost transaction. With the adjustment of the securities financing trading rules and the increase of the transaction scale, the stock index futures are gradually changing the advantages of the price discovery relative to the stock market, which results in some time when the price discovery relationship between stock index futures and stock refers to the spot. This paper studies the time variability of the price discovery function of stock index futures from two perspectives of different stages of stock index futures market development and the different stages of stock index futures contracts. The former uses the 5 minute high frequency transaction data of Shanghai and Shenzhen Stock Index Futures and stock index spot, and studies the stock of each stage on the basis of the division of the order section. It refers to the price guidance relationship of futures, price discovery contribution and volatility spillover effect. The latter adopts the high frequency transaction data of 5 or 1 minutes in different contracts and stock index futures of Shanghai and Shenzhen stock index futures, according to the status of the stock index futures contract in the contract sequence as the stage division standard, mainly to study the stock of stock index in various stages. The basic conclusion of this part is that there are significant and time-varying characteristics of price discovery function in different stages of stock index futures market development and the different stages of stock index futures contracts. The former shows that the price discovery ability of stock index futures is stronger than that of stock index futures. From weak to strong trend, the latter shows stock index futures price guiding stock index spot, and stock index futures contract price guides non main contract.
The seventh chapter, the main research conclusions and prospects. According to the conclusions of each part of the previous research, the part of the stock index futures hedging function, the present arbitrage function, the time variability of the price discovery function of the relevant research conclusions.
【学位授予单位】：西南财经大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51

【参考文献】