沪深300期指与现指的相互关系研究
发布时间：2018-08-22 11:18
【摘要】：沪深300股指期货于2010年4月16日正式上市,适应了中国资本市场的发展趋势,丰富了金融衍生产品的种类,为沪深股市提供了有力的风险规避工具。沪深300股指期货作为期货的一种，是从股指现货市场衍生出来的，，就理论上来说，仍然具有价格发现、套期保值的功能,基于这样一种原因，沪深300期指与现指必定存在着长期或者短期内的均衡关系，以及某种单向或者双向的影响关系，而这些初步推断的关系很有可能与协整有关，那么，二者的关系从实证上来看是否真的如此呢？国内外众多经济学领域的学者都对此课题深感兴趣,开展了广泛而深入的研究。 针对此课题，本论文着重研究沪深300股指期货和现货在长期和短期的均衡关系，并分析二者的相互影响关系。本文采用计量经济学的时间序列分析方法，分析沪深300对数期指和对数现指序列的协整,格兰杰因果关系,相关系数,以及误差纠正机制,具体使用了ADF单位根检验、Johansen检验、EG两步法、VEC建模、脉冲响应分析、方差分解以及格兰杰因果检验等方法，以使二者的关系以定量的方式表达出来,并且得出以下的实证结论: ①通过ADF方法进行单位根检验，结果表明沪深300对数期指和对数现指序列都是非平稳的，但其一阶差分对数收益率序列却是平稳的，说明对数期指和现指序列都是一阶单整的，可以进一步构造向量自回归（VAR）模型； ②通过Johansen检验，发现沪深300对数期指和对数现指在长时间区间内是存在稳定的协整关系的，说明现指发挥了对于期指的基础市场的作用,然而，其各个分时间区间的数据序列却不必然都是协整关系的，即存在着协整关系的变结构,这种变结构暗示了期指和现指之间基差的波动,说明了风险的存在； ③通过VEC建模，进行回归,发现存在协整关系的总时间区间和分时间区间在短期内都有着反向的误差纠正机制，而这种误差纠正实际上就是对数收益率的交互变动,即上一期的收益率高估会引起这一期的收益率下降,然而，这种纠正的量的程度却是不同的，显著性也是不同的，说明短期内的序列运动形式也存在着结构的变异性,进一步说明收益率变动的波动性,亦即金融风险的存在性； ④通过脉冲响应函数（IRF）和方差分解方法，发现沪深300对数期指和对数现指序列确实存在着相互影响的关系，而且，期指对于现指的冲击和方差贡献度更大，持续时间也更长,说明正如期货与现货关系理论所阐述的那样,沪深300期指对于现指确实存在着某种影响关系； ⑤通过Granger因果检验，发现二者无论在全时间区间，还是分时间区间都不存在显著的格兰杰因果关系,说明因为沪深300期指市场不完善,股指期货没有充分发挥对于现货指数的应有的价格发现和套期保值功能。
[Abstract]:Shanghai and Shenzhen 300 stock index futures were officially listed on April 16, 2010, which adapts the development trend of Chinese capital market, enriches the types of financial derivatives, and provides a powerful risk aversion tool for Shanghai and Shenzhen stock markets. As a kind of futures, the Shanghai and Shenzhen 300 stock index futures are derived from the spot stock index market. Theoretically speaking, they still have the function of price discovery and hedging, for such a reason, There must be a long-term or short-term equilibrium relationship between the Shanghai and Shenzhen 300 index and the present index, as well as some kind of unidirectional or two-way influence relationship, and these preliminary inferred relationships are likely to be related to cointegration. Is the relationship between the two really true from an empirical point of view? Many domestic and foreign scholars in the field of economics are deeply interested in this subject and have carried out extensive and in-depth research. This paper focuses on the long-term and short-term equilibrium relationship between Shanghai and Shenzhen 300 stock index futures and spot stock index futures, and analyzes the relationship between them. In this paper, the time series analysis method of econometrics is used to analyze the cointegration, Granger causality, correlation coefficient and error correction mechanism of Shanghai and Shenzhen 300 logarithmic index and logarithmic index. The ADF unit root test and Johansen test are used to model VEC, impulse response analysis, variance decomposition and Granger causality test, so that the relationship between the two can be expressed in a quantitative way. The results show that the logarithmic index and logarithmic index sequence of Shanghai and Shenzhen 300 are not stable, but the first order difference logarithmic return sequence is stable, and the empirical results are as follows: (1) using ADF method to test the unit root, the results show that the logarithmic index and logarithmic index of Shanghai and Shenzhen 300 are both non-stationary. It is shown that the logarithmic index and the extant sequence are one-order and single-integer, which can further construct the vector autoregressive (VAR) model. 2 through the Johansen test, It is found that there is a stable cointegration relationship between Shanghai and Shenzhen 300 logarithmic index and logarithmic index in a long period of time, which indicates that the present index plays a role in the basic market of futures index. However, The data sequence of each time interval is not necessarily cointegration relation, that is, there exists the variable structure of cointegration relation, this variable structure implies the fluctuation of the basis difference between the index and the current index, and explains the existence of the risk. (3) by VEC modeling and regression, it is found that the total time interval and sub-time interval with cointegration relationship have reverse error correction mechanism in the short term, and this error correction is actually the interactive change of logarithmic rate of return. That is, the overvaluation of the yield of the previous period will cause the yield of this issue to decline, however, the degree of correction is different, and the significance is also different, indicating that there is also structural variability in the form of sequence motion in the short term. Further explain the volatility of the rate of return, that is, the existence of financial risk. 4 through the impulse response function (IRF) and variance decomposition method, It is found that the Shanghai and Shenzhen 300 logarithmic index and logarithmic index series do have a mutual influence on each other. Moreover, the index has a greater contribution to the impact and variance of the index, and the duration of the index is longer. It shows that the CSI 300 index does have some influence on the current index as stated in the futures and spot relation theory. (5) through the Granger causality test, it is found that both of them are in the whole time range. There is no significant Granger causality in the time interval, which indicates that because the Shanghai and Shenzhen 300 futures market is not perfect, the stock index futures do not give full play to the function of price discovery and hedging for spot index.
【学位授予单位】：重庆师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224
[Abstract]:Shanghai and Shenzhen 300 stock index futures were officially listed on April 16, 2010, which adapts the development trend of Chinese capital market, enriches the types of financial derivatives, and provides a powerful risk aversion tool for Shanghai and Shenzhen stock markets. As a kind of futures, the Shanghai and Shenzhen 300 stock index futures are derived from the spot stock index market. Theoretically speaking, they still have the function of price discovery and hedging, for such a reason, There must be a long-term or short-term equilibrium relationship between the Shanghai and Shenzhen 300 index and the present index, as well as some kind of unidirectional or two-way influence relationship, and these preliminary inferred relationships are likely to be related to cointegration. Is the relationship between the two really true from an empirical point of view? Many domestic and foreign scholars in the field of economics are deeply interested in this subject and have carried out extensive and in-depth research. This paper focuses on the long-term and short-term equilibrium relationship between Shanghai and Shenzhen 300 stock index futures and spot stock index futures, and analyzes the relationship between them. In this paper, the time series analysis method of econometrics is used to analyze the cointegration, Granger causality, correlation coefficient and error correction mechanism of Shanghai and Shenzhen 300 logarithmic index and logarithmic index. The ADF unit root test and Johansen test are used to model VEC, impulse response analysis, variance decomposition and Granger causality test, so that the relationship between the two can be expressed in a quantitative way. The results show that the logarithmic index and logarithmic index sequence of Shanghai and Shenzhen 300 are not stable, but the first order difference logarithmic return sequence is stable, and the empirical results are as follows: (1) using ADF method to test the unit root, the results show that the logarithmic index and logarithmic index of Shanghai and Shenzhen 300 are both non-stationary. It is shown that the logarithmic index and the extant sequence are one-order and single-integer, which can further construct the vector autoregressive (VAR) model. 2 through the Johansen test, It is found that there is a stable cointegration relationship between Shanghai and Shenzhen 300 logarithmic index and logarithmic index in a long period of time, which indicates that the present index plays a role in the basic market of futures index. However, The data sequence of each time interval is not necessarily cointegration relation, that is, there exists the variable structure of cointegration relation, this variable structure implies the fluctuation of the basis difference between the index and the current index, and explains the existence of the risk. (3) by VEC modeling and regression, it is found that the total time interval and sub-time interval with cointegration relationship have reverse error correction mechanism in the short term, and this error correction is actually the interactive change of logarithmic rate of return. That is, the overvaluation of the yield of the previous period will cause the yield of this issue to decline, however, the degree of correction is different, and the significance is also different, indicating that there is also structural variability in the form of sequence motion in the short term. Further explain the volatility of the rate of return, that is, the existence of financial risk. 4 through the impulse response function (IRF) and variance decomposition method, It is found that the Shanghai and Shenzhen 300 logarithmic index and logarithmic index series do have a mutual influence on each other. Moreover, the index has a greater contribution to the impact and variance of the index, and the duration of the index is longer. It shows that the CSI 300 index does have some influence on the current index as stated in the futures and spot relation theory. (5) through the Granger causality test, it is found that both of them are in the whole time range. There is no significant Granger causality in the time interval, which indicates that because the Shanghai and Shenzhen 300 futures market is not perfect, the stock index futures do not give full play to the function of price discovery and hedging for spot index.
【学位授予单位】：重庆师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224
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