我国股指期货与现货市场关联性研究

发布时间：2018-09-19 06:58

【摘要】：股指期货是资本市场发展到一定阶段出现的必然产物,它的出现为资本市场注入了新的活力,加速了市场信息的传导效率,并以其独特的保证金制度吸引着众多投资者参与。我国于2010年4月16日推出了首张股指期货合约——沪深300股指期货合约,为我国投资者规避股票市场系统性风险提供了投资标的。然而,我国股指期货市场一直在人们的质疑声中运行。问题的关键在于沪深300股指期货推出的初期引起了沪深300股票现货市场的暴跌,并在推出后的一段时期内没有消除股票现货市场剧烈波动的现象,所以许多投资者认为股指期货的推出成为了股票现货市场下跌的幕后推手,更有甚者认为一些机构投资者通过操纵大盘股打压股票指数,并在股指期货市场开立空仓牟取暴利。种种质疑也间接说明我国股指期货市场上投机者较多,缺乏应有的套利及套期保值行为,从而使得我国股指期货的定价机制效率低下。由此,笔者在阅读了相关文献资料的基础上对我国股指期货市场与现货市场的关联性进行了研究。另外,由于我国股指期货推出的时间相对较短,为了增强文章的说服力,本文采用股指期货市场及现货市场15分钟高频数据进行研究。本文首先利用ARMA-GARCH模型对股指期货的推出是否会加剧股票现货市场波动性进行研究。为了考察股指期货对股票现货市场的冲击是短期现象还是长期现象,笔者将数据分为短期数据与长期数据两组进行研究,实证结果表明股指期货推出的短期内会加剧现货市场的波动,但长期内会平抑现货市场的波动。随后本文试图建立VAR模型分析股指期货市场与股票现货市场之间的相互引导关系,但股指期货与股指现货收益率序列之间不满足互为因果关系,所以笔者改用股指期货与股票现货指数序列进行后续研究,由于两者是具有协整关系的非平稳序列,所以适合建立VEC模型。笔者通过双变量VEC模型及EGARCH模型对股指期货是否存在波动溢出效应进行了研究。VEC模型检验结果表明股指期货与现货市场存在相互引导关系,但股指期货市场的波动对现货市场的影响很大,而现货市场的波动对股指期货市场的影响较小,表明股指期现货市场之间存在不对称的波动溢出效应。实证结果还发现股指期货价格变化要比现货价格变化超前至少15分钟,证明股指期货的推出加快了信息的传导效率。EGARCH模型检验结果显示股指期货市场及现货市场的各自波动性对信息的反应存在不对称性,股指期货市场对利好及利空消息的反应不同于股票现货市场,股指期货对利空消息更加敏感,而现货市场对利好消息更加敏感。最后本文基于股指期货与现货市场的关联性引出了股指期货定价机制的实证研究,旨在分析我国股指期货的定价机制是否合理。文章利用修改的持有成本模型及Hemler-Longstaff模型计算出了各个股指期货合约的理论价格,并与真实价格做了比较,发现股指期货合约的真实价格较理论价格偏离度较大,说明沪深300股指期货的定价机制效率低下。另外,本文还引用了无套利区间模型对各个月份存在的套利机会进行了统计,统计结果表明我国股指期货存在较多套利机会。
[Abstract]:Stock index futures is the inevitable outcome of the development of the capital market. It injects new vitality into the capital market, accelerates the transmission efficiency of market information, and attracts many investors with its unique margin system. Futures contracts provide investment targets for Chinese investors to avoid systemic risks in the stock market.
However, China's stock index futures market has been operating in the voice of query. The key problem is that the initial launch of the Shanghai-Shenzhen 300 stock index futures caused a sharp drop in the Shanghai-Shenzhen 300 stock spot market, and did not eliminate the stock spot market volatility in a period of time after the launch, so many investors believe that the stock index futures. It has become a behind-the-scenes driver of the decline of the stock spot market, and some even believe that some institutional investors manipulate the large-cap stocks to suppress the stock index and open short positions in the stock index futures market for profitable profits. Therefore, the author has studied the correlation between the stock index futures market and the spot market on the basis of reading the relevant literature. In addition, due to the relatively short launch time of China's stock index futures, in order to enhance the persuasiveness of the article, this paper uses the stock index futures market. 15 minute high frequency data in field and spot markets were studied.
In order to investigate whether the impact of stock index futures on the stock spot market is a short-term phenomenon or a long-term phenomenon, the author divides the data into two groups: short-term data and long-term data. In the short run, it will aggravate the fluctuation of the spot market, but it will calm the fluctuation of the spot market in the long run. Then this paper tries to establish a VAR model to analyze the mutual guidance relationship between the stock index futures market and the stock spot market, but the stock index futures and the stock index spot yield series do not satisfy the mutual causal relationship, so the author uses the stock instead. The paper studies the volatility spillover effect of stock index futures through the bivariate VEC model and the EGARCH model. The VEC model test results show that the stock index futures and the spot market exist volatility spillover effect. But the fluctuation of stock index futures market has a great influence on the spot market, while the fluctuation of spot market has a little influence on the stock index futures market, which indicates that there is an asymmetric volatility spillover effect between the spot market and the stock index futures market. The results of the EGARCH model test show that the volatility of the stock index futures market and the spot market reacts asymmetrically to the information. The stock index futures market reacts differently to bullish and bullish news than the stock spot market, and the stock index futures are more sensitive to bullish and bullish news. Finally, based on the correlation between stock index futures and spot market, this paper leads to an empirical study on the pricing mechanism of stock index futures, aiming to analyze whether the pricing mechanism of stock index futures in China is reasonable. The theoretical price of the futures contract is compared with the real price. It is found that the real price of the stock index futures contract deviates greatly from the theoretical price, which indicates that the pricing mechanism of the Shanghai-Shenzhen 300 stock index futures is inefficient. In addition, this paper also quotes the non-arbitrage interval model to analyze the arbitrage opportunities in each month. There are many arbitrage opportunities in China's stock index futures.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

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