沪深300股指期货价格发现及其贡献程度研究

发布时间：2018-02-10 01:48

本文关键词： 股指期货价格发现误差修正模型信息份额模型　出处：《上海师范大学》2014年硕士论文　论文类型：学位论文

【摘要】：2006年9月8口，中国金融期货交易所在上海注册成立，它的注册资本为5亿元，它的成立对于加强金融市场功能，改善金融市场体系，深化金融市场改革，具杆长远的意义.中国金融期货交易所经过多次的仿真交易后，于2010年4月16日推出了沪深300股指期货。当前中国的股指期货市场的价格发现作用，与现货市场的价格引导关系，价格发现贡献度，，研究这叫问题可以揭示出中国股指期货市场价格发现的过程与其价格发现能力，同时可以将这件有价值的市场信息提供给夂易者，也有利于我们对中国股指期货市场价格发现机制的理解。木文首先对股指期货和的对数收益进行描述性统计分析和平稳性检验；接着通过格兰杰因果关系验证现货与期货价格之间是否存在超前滞后的引导关系;随后，通过分析脉冲响应函数和方差分解，探究内生变量的冲击和误差项对模型中其他变量带来的影响；然后，通过johansen协整关系判断现货价格与股指期货之间是否存在长期均衡关系；并根据该结果建立向量误差修正模型(VEC)，检验现货价格与股指期货之问相互影响程度。最后分析VEC模型的参数OT计结果，建立信息份额模型(IS),计算期货市场信息份额，对价格发现贡献作出定量的分析。研允表明：首先，就格兰杰因果关系检验的结果而言，在口度数据的频率下，现货市场和期货市场均不是对方的价格变化原因，但在1分钟的数据频率下，期货市场和现货市场互为对方的价格变化原因。然后，分析脉冲响应函数和方差分解结果，发现股指期货市场有长期的价格发现功能，但是股指期货的价格主要是受自身冲击的影响，现货市场对股指期货市场的影响很小lf.持续时间很短，从而得到了期货市场对现货市场价格变化具有引导关系。股指期货的价格发现贡献度为44.27%,二者都说明股指现货的价格发现能力很强，在价格发现过程中占主导地位。
[Abstract]:In September 8th 2006, the China Financial Futures Exchange was established in Shanghai with a registered capital of 500 million yuan. The establishment of the Exchange will enhance the function of the financial market, improve the financial market system, and deepen the reform of the financial market. The China Financial Futures Exchange introduced the Shanghai and Shenzhen 300 stock index futures in April 16th 2010 after many simulation transactions. At present, the role of price discovery in China's stock index futures market is related to the price guidance of the spot market and the contribution of price discovery. Studying this problem can reveal the process of price discovery and its price discovery ability in China's stock index futures market. At the same time, this valuable market information can be provided to the exchange, and it is also beneficial to our understanding of the price discovery mechanism of China's stock index futures market. The paper first carries on the descriptive statistical analysis and the stability test to the logarithmic income of stock index futures; then proves whether there is a leading relation between spot and futures price by Granger causality; then, By analyzing impulse response function and variance decomposition, this paper explores the impact of endogenous variables and errors on other variables in the model, and then determines whether there is a long-term equilibrium relationship between spot price and stock index futures by johansen cointegration. Based on the result, a vector error correction model is established to test the interaction between spot price and stock index futures. Finally, the results of VEC model are analyzed, and the information share model is established to calculate the information share of futures market. To make a quantitative analysis of the contribution of price discovery. First of all, as far as the Granger causality test is concerned, both the spot market and the futures market are not the cause of each other's price changes at the frequency of the mouth size data, but at the frequency of one minute of the data, Futures market and spot market for each other's price changes. Then, by analyzing the impulse response function and variance decomposition results, it is found that the stock index futures market has a long-term price discovery function, but the price of stock index futures is mainly affected by its own impact. The influence of the spot market on the stock index futures market is very small and the duration is very short, so it is concluded that the futures market has a leading relationship to the change of the spot market price. The contribution of stock index futures to price discovery is 44.27, both of which indicate that the spot stock index has a strong ability to find the price and plays a leading role in the process of price discovery.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F724.5;F224

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