HS300股指期货价格发现功能研究

发布时间：2018-07-24 10:43

【摘要】：价格发现功能是整个期货市场存在和发展的基础,同时也是股指期货市场实现套期保值功能的前提。股指期货价格发现功能的发挥有利于现货市场系统风险的规避和投资组合的有效配置,关系着股票市场的价格稳定和市场整体的承载能力。研究我国尚处于襁褓阶段的股指期货其价格发现功能的表现,客观地从量化角度对我国股指期货市场的这一基础功能做出衡量和评价,可以辨识出我国股指期货市场发展成熟度和是否出现了异常表现,以促进股指期货积极功能的发挥、并推动其发展。本文搜集了2012年3月5日-2013年3月7日期间日收盘数据和2013年2月21日-2013年3月7日期间间隔15分钟的高频数据。运用Granger因果关系检验从长短期判断期货市场与现货市场的价格领先滞后关系,运用基于VAR模型的脉冲响应分析来探究不同频率的期现货价格序列中新信息冲击对期货价格和现货价格的动态影响效果和基于VAR模型的方差分解从长短期对期现货市场价格发现贡献度进行定量研究,并将HS300指数及其对应的股指期货不同频率数据实证研究结果进行比较。从微观角度来看,高频率的股指期货价格对现货价格的价格发现能力很强且持续时间长,股指期货在短期内领跑现货价格。对于现货市场的短线交易者,可以参考股指期货价格走势作为投资决策方向的一个预判指标,在股指期货市场和现货市场之间构建-个风险管理体系。通过两个序列的15分钟高频数据可以得到,领先期在15分钟左右较为明显。期货市场的价格发现优势只是在短期存在,从宏观角度来看,股指期货市场的价格发现优势已经丧失。对于现货市场中的长期投资者,参考股指期货市场走势进行投资决策的价值不大。我国股指期货市场价格发现功能的发挥仍有较大的进步空间,为进一步促进股指期货市场价格发现功能的发挥,本文最后提出了四点政策建议。
[Abstract]:The function of price discovery is the basis of the existence and development of the whole futures market and the premise of the hedging function of the stock index futures market. The function of stock index futures price discovery is beneficial to avoid the systemic risk of spot market and the effective allocation of investment portfolio, which is related to the price stability of stock market and the bearing capacity of the market as a whole. This paper studies the performance of the price discovery function of stock index futures in its infancy in China, and objectively measures and evaluates the basic function of stock index futures market from the angle of quantification. We can identify the maturity and abnormal performance of stock index futures market in order to promote the positive function of stock index futures and promote the development of stock index futures. This paper collects daily closing data from March 5, 2012 to March 7, 2013 and high frequency data from February 21, 2013 to March 7, 2013. Using Granger causality test to judge the price leading lag relationship between futures market and spot market in the long and short term. The impulse response analysis based on VAR model is used to explore the dynamic effect of new information shock on futures price and spot price in futures spot price series with different frequencies. Variance decomposition based on VAR model is presented from long and short term. Quantitative study on the contribution of price discovery in goods market, The empirical results of HS300 index and its corresponding index futures with different frequency data are compared. From the microcosmic point of view, the high frequency stock index futures have a strong ability to find the spot price and last a long time, and the stock index futures lead the spot price in the short term. For the short-term traders in the spot market, we can refer to the price trend of the stock index futures as a predictor of the investment decision direction, and construct a risk management system between the stock index futures market and the spot market. The 15-minute high-frequency data of the two sequences can be obtained, and the leading period is about 15 minutes. The price discovery advantage of the futures market only exists in the short term. From the macro point of view, the price discovery advantage of the stock index futures market has been lost. For long-term investors in the spot market, the value of making investment decisions with reference to the trend of stock index futures market is not significant. There is still much room for improvement in the function of price discovery in stock index futures market in China. In order to further promote the function of price discovery in stock index futures market, four policy suggestions are put forward in this paper.
【学位授予单位】：湖北大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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