沪深300股指期货推出对A股现货市场定价效率与运行效率影响实证研究

发布时间：2018-07-11 16:52

本文选题：沪深300股指期货 + A股现货市场　；参考：《浙江财经学院》2012年硕士论文

【摘要】：自二十世纪八十年代初全球首个股指期货品种诞生以来,经过将近短短20年的发展,股指期货这一新型金融衍生品种获得了快速的成长与发展,可以说几乎所有的发达国家和大部分发展中国家都已经拥有了属于自身的股指期货品种,特别是进入二十一世纪以来,亚洲金融期货品种尤其是股指期货更是获得了迅猛的发展。我国股指期货经过将近四年的仿真交易,无论从制度机制设计、市场规模,还是法律条件等各方面都已经初步完备,终于在2010年4月16日正式推出了中国大陆首个股指期货品种—沪深300股指期货。由于一直以来我国股票现货市场相对于西方发达国家成熟市场而言都存在相对比较严重的效率低下问题,诸如本文研究的股票现货市场定价效率、运行效率等方面,这些都严重制约我国资本市场乃至整个国民经济的持续健康发展。本文选取中国大陆推出将近一年半以来的A股标的指数期货—沪深300股指期货品种和代表A股现货市场的沪深300现货指数作为研究对象,探讨沪深300股指期货推出对A股现货市场定价效率与运行效率的影响,不仅对广大投资者有着深刻的启发和教育意义,而且能够给相关决策层调控市场提供参考依据,因此,本论文的研究具有一定的理论和现实意义。本文采用理论与实证相结合的方法。在理论研究上,第一章导论部分归纳总结了市场效率理论与股指期货推出对股票现货市场定价效率和运行效率影响的国内外研究现状,这为本文的模型设计打下一定的思路框架;第二章从股指期货概念出发,回顾全球股指期货发展历程,并且阐述了股指期货的基本理论;第三章理论分析股指期货推出对股票现货市场效率的影响,先说明了股指期货市场与股票现货市场的效率互动关系,再分别阐明了股指期货推出与股票现货市场定价效率和运行效率的关系。这都为后面实证研究提供了必要的理论依据和模型构建框架。在实证研究上,选取尽可能多的最新样本数据,并不断追踪市场行情,严格遵照规范的实证程序,运用Eviews6.0和Excel等统计软件从三方面展开本论文的统计分析和实证检验:一是沪深300股指期货推出对A股现货市场价格传递效应的实证研究,首先对沪深300股指期货与沪深300指数现货相关性进行了分析,然后依次经过平稳性检验、协整检验,最后通过Granger因果检验法得出沪深300股指期货推出初期是否具备价格发现功能;二是沪深300股指期货推出对A股现货市场波动性的实证研究,主要通过构建ARMA-GARCH模型,并分别引入融资融券和股指期货作为虚拟变量,具体判断股指期货的波动性影响;三是沪深300股指期货推出对A股现货市场流动性实证研究,首先从成交量角度考察沪深300股指期货推出前后A股现货市场流动性的变化,通过对沪深300指数成交量指标进行的统计描述来初步观察A股现货市场流动性的变化,紧接着对沪深300股指期货推出前后分别100交易日、300交易日沪深300指数交易成交量增长率进行T检验来进行进一步论证;然后从价格层面考察沪深300股指期货推出前后A股现货市场流动性的变化,这里具体利用相对价差指标进行描述性统计分析;最后综合考虑成交量与价格两方面,引入一个反映量价综合指标的非流动性比率刻画沪深300股指期货推出前后我国A股现货市场流动性的变化。通过以上的理论分析和实证分析,笔者得出以下研究结论:第一,我国沪深300股指期货初步具备价格发现功能,提升了A股现货市场的定价效率;第二,沪深300股指期货推出降低了A股现货市场波动性,起到了稳定市场的作用;第三,深300股指期货推出一定程度上增加了A股现货市场流动性,后二者则表明沪深300股指期货推出提高了我国A股现货市场的运行效率。从总体来说,沪深300股指期货推出改善了A股现货市场定价效率和运行效率,此外,本文最后在总结本文结论的基础上,还指出了本文的研究不足及展望,并提出了相关政策建议。
[Abstract]:Since the birth of the first stock index futures of the world in the early 1980s, after nearly 20 years of development, the new financial derivative of stock index futures has gained rapid growth and development. It can be said that almost all developed and most developing countries have own stock index futures. Especially since twenty-first Century, Asian financial futures, especially stock index futures, have developed rapidly. After nearly four years of simulation, stock index futures have been preliminarily complete in various aspects, such as institutional mechanism design, market size, and legal conditions. Finally, the stock index futures have been formally introduced in April 16, 2010. The first stock index futures in mainland China - Shanghai and Shenzhen 300 stock index futures.
Since the stock spot market of our country has been relative to the mature market of western developed countries, there are relatively serious inefficiency problems, such as the efficiency of the spot market and the efficiency of the stock market, which seriously restrict the sustainable and healthy development of China's capital market and the whole national economy. The article selected China mainland to introduce the index futures of A shares for nearly a year and a half, the Shanghai and Shenzhen 300 stock index futures varieties and the Shanghai and Shenzhen 300 spot index representing the spot market of A stock as the research object, to explore the impact of the introduction of the Shanghai and Shenzhen 300 stock index futures on the pricing efficiency and the operating efficiency of the A stock market, which not only has a profound effect on the investors. Enlightening and educational significance, and it can provide a reference basis for the relevant decision-making level to control the market. Therefore, the research in this paper has certain theoretical and practical significance.
In this paper, the theory and the empirical method are used. In the theoretical study, the first chapter introduces the domestic and foreign research status of the market efficiency theory and the impact of the introduction of stock index futures on the pricing efficiency and efficiency of the stock market, which lays a certain framework for the model design in this paper; the second chapter is from the stock index futures. The concept of the development of stock index futures is reviewed, and the basic theory of stock index futures is expounded. The third chapter analyses the effect of the introduction of stock index futures on the efficiency of stock market. It first illustrates the efficiency of the stock index futures market and the stock spot market, and then clarifies the introduction of stock index futures and the stock spot market respectively. The relationship between pricing efficiency and operational efficiency provides the necessary theoretical basis and model building framework for the latter empirical research. In the empirical study, we select as many of the latest sample data as possible, keep track of the market market, strictly follow the normative empirical procedure, and use the statistical software such as Eviews6.0 and Excel to develop this theory from three aspects Statistical analysis and empirical test: first, the empirical study on the price transfer effect of the Shanghai and Shenzhen 300 stock index futures on the A stock market. First, the spot correlation between Shanghai and Shenzhen 300 stock index futures and the Shanghai and Shenzhen 300 index is analyzed, then the stability test, cointegration test are followed, and the 300 shares of Shanghai and Shenzhen are finally obtained by the method of causality test. It refers to whether the price discovery function is available at the beginning of the futures market; two is the empirical study on the volatility of the A stock market in the Shanghai and Shenzhen 300 stock index futures, mainly through the construction of the ARMA-GARCH model, and introducing the financing margin and stock index futures as virtual variables to determine the volatility effect of the stock index stock, and the three is the Shanghai and Shenzhen 300 stock index futures. The empirical study on the liquidity of the A stock market is to investigate the changes in the liquidity of the spot market of the A shares before and after the introduction of the Shanghai and Shenzhen 300 stock index futures from the volume of volume, and to observe the changes in the liquidity of the A stock market by the statistical description of the volume index of the Shanghai and Shenzhen 300 index. The 100 trading day, the 300 trading day of Shanghai and Shenzhen 300 index trading volume growth rate of the T test to carry on further demonstration, and then from the price level of the Shanghai and Shenzhen 300 stock index futures market before and after the introduction of the liquidity of the spot market liquidity of the stock market, here the specific use of the relative price difference index to make a descriptive statistical analysis; finally, comprehensive consideration of the volume of trading volume and In the two aspect of price, a non liquidity ratio reflecting the comprehensive index of the volume and price is introduced to describe the changes in the liquidity of the A stock market in China before and after the introduction of the Shanghai and Shenzhen Stock Index Futures (CSI 300 stock index futures) futures.
Through the above theoretical analysis and empirical analysis, the author draws the following conclusions: first, China's Shanghai and Shenzhen 300 stock index futures have a preliminary price discovery function to improve the pricing efficiency of the A stock market; second, Shanghai and Shenzhen 300 stock index futures have reduced the volatility of the A stock market, and played a role in stabilizing the market; third, deep 300 stock index. The Futures Introduction to some extent increases the liquidity of A stock market, the latter two shows that the introduction of Shanghai and Shenzhen 300 stock index futures has improved the operating efficiency of the A stock market in China. In general, the introduction of Shanghai and Shenzhen 300 stock index futures has improved the pricing efficiency and operating efficiency of the spot market of A shares. In addition, this paper finally summarizes the basis of the conclusion of this paper. It also points out the deficiencies and prospects of this study, and puts forward relevant policy recommendations.
【学位授予单位】：浙江财经学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

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