上证50期货和ETF关系的实证研究

发布时间：2017-12-30 22:15

本文关键词：上证50期货和ETF关系的实证研究　出处：《深圳大学》2017年硕士论文　论文类型：学位论文

【摘要】：上证50ETF于2005-02-23上市,上证50期货于2015-4-16上市,这是继沪深300之后.又一只同时拥有期货和ETF的指数。研究同标的衍生品价格发现、套保与波动溢出,可以找出它们之间的信息流动与作用机制、提升对于价格发现理论和套保理论的认知水平、深化对于二者之间作用机制的理解,以帮助相关部门更有效地监管市场,以及宏观调控,也能给市场投资者提供一定的帮助,研究价格发现、套保与波动溢出,可以为套保、套利等决策提供指导。从市场参与者的角度看,市场联动的有效运行、以及合适的套保策略选择,对资产保值增值和有效的风险控制都极为重要。本文以2015-04-16至2016-05-17所有交易日、上证50期货及上证50ETF的1min高频价格序列为研究样本。从波动溢出、价格发现与套保三个方面,对上证50期货及上证50ETF之间的关系进行了研究,研究发现:从波动溢出来看,上证50期货及上证50ETF之间存在双向波动溢出,说明二者之间存在通畅的信息交流通道;从价格发现来看,期货在价格发现方面的贡献度能够达到71.95%,而上证50ETF在价格发现方面的贡献度仅能达到28.05%,上证50期货在价格发现上具有相对优势;从套期保值来看,无论采用哪种套保模型,效率总是维持在37%至38%之间,说明借助上证50期货可以规避掉上证50ETF风险的37%至38%,上证50期货已经具备了一定的套期保值作用。最后,论文从创新、法律、宣传和技术等方面提出了相关政策建议。
[Abstract]:Shanghai 50 ETF listed in 2005-02-23, Shanghai 50 futures listed in 2015-4-16. This is another index with both futures and ETF after Shanghai and Shenzhen 300. By studying the price of derivatives with the same target, we find that hedging and volatility spillover can find out the mechanism of information flow and action between them. Improve the understanding of price discovery theory and hedging theory, deepen the understanding of the mechanism between the two, in order to help the relevant departments to monitor the market more effectively, as well as macro-control. It can also provide some help to market investors, research price discovery, arbitrage and volatility spillover, can provide guidance for arbitrage, arbitrage and other decisions. From the perspective of market participants, the effective operation of market linkage. As well as the appropriate hedging strategy choice is extremely important for asset maintenance and appreciation and effective risk control. This paper takes 2015-04-16 to 2016-05-17 all trading days. The 1min high frequency price sequence of Shanghai Stock Exchange 50 futures and Shanghai 50 ETF is the research sample from three aspects: volatility spillover, price discovery and hedging. The relationship between Shanghai 50 futures and Shanghai 50 ETF is studied. The results show that there is two-way volatility spillover between Shanghai 50 futures and Shanghai 50 ETF. It shows that there is an unobstructed channel of information exchange between them. From the perspective of price discovery, futures can contribute 71.95% to price discovery, while Shanghai 50 ETF can contribute only 28.05% to price discovery. Shanghai Stock Exchange 50 futures have a comparative advantage in price discovery; From the point of view of hedging, no matter what kind of hedging model, the efficiency is always between 37% and 38%, indicating that with the help of Shanghai Stock Exchange 50 futures can avoid the risk of Shanghai 50 ETF 37% to 38%. Finally, the paper puts forward some policy suggestions from the aspects of innovation, law, publicity and technology.
【学位授予单位】：深圳大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5

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