股指期货市场冲击成本实证研究

发布时间：2018-02-14 07:04

本文关键词： 沪深300股指期货交易成本冲击成本无套利区间　出处：《青岛大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着期货市场的蓬勃发展,投资者在进行无风险套利时越来越关注期货市场中的交易成本问题。投资者如何有效的减少交易成本,降低交易风险至关重要。本文主要研究隐性交易成本方面,重点考察中国金融衍生产品市场隐性交易成本中的冲击成本,以衡量期货市场的流动性。机构投资者在期货市场进行大额交易时,要在考虑冲击成本的情况下制定大额指令执行策略,从而减少交易成本,提高收益。研究的主要内容如下： (1)提出中国股指期货市场的冲击成本的定义公式,并用中国沪深300股指期货市场高频数据进行实证研究。研究结果表明,沪深300股指期货市场的冲击成本显著存在,但要比股票市场冲击成本小,并且买卖之间不存在不对称性。 (2)构建基于中国金融衍生产品市场的冲击成本影响因素线性回归模型,并对沪深300股指期货交易的高频数据加以实证。研究结果表明,指令规模对冲击成本的影响较大。买方指令下,指令规模和日价格变动与各冲击成本成正比,日结算价和日持仓量成反比,卖方指令则与买方指令相反。 (3)构建期货无套利定价区间模型,在考虑存在冲击成本和忽略冲击成本两种情况下,利用沪深300股指期货市场数据进行实证分析。分析结果表明,在考虑了冲击成本后,期货市场的无套利区间放宽,并且套利机会减少,套利深度降低。
[Abstract]:With the rapid development of futures market, investors are paying more and more attention to the transaction cost in futures market when carrying out risk-free arbitrage. It is very important to reduce the transaction risk. This paper mainly studies the implicit transaction cost, focusing on the impact cost of the implicit transaction cost in the Chinese financial derivatives market. In order to measure the liquidity of the futures market, the institutional investors should formulate the execution strategy of the large order under the consideration of the impact cost, so as to reduce the transaction cost and increase the income. The main contents of the research are as follows:. 1) put forward the definition formula of the impact cost of China stock index futures market, and use the high-frequency data of China Shanghai and Shenzhen 300 stock index futures market to carry on the empirical research. The research result shows that the impact cost of Shanghai and Shenzhen 300 stock index futures market exists obviously. But it is less expensive than stock market shocks, and there is no asymmetry between buying and selling. (2) to build a linear regression model of impact cost influencing factors based on Chinese financial derivatives market, and to demonstrate the high frequency data of Shanghai and Shenzhen 300 stock index futures trading. Under the buyer's order, the change of order size and daily price is directly proportional to the impact cost, the daily settlement price and daily position are inversely proportional, and the seller's order is opposite to the buyer's order. In this paper, we construct a futures no-arbitrage pricing range model and make an empirical analysis by using the data of Shanghai and Shenzhen 300 stock index futures market considering the impact cost and neglecting the impact cost. The results show that, after considering the impact cost, The futures market's no-arbitrage range is relaxed, and arbitrage opportunities are reduced, and arbitrage depth is reduced.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【引证文献】