上证50股指期货的价格发现功能及对股市定价效率的影响
发布时间：2018-08-02 13:07
【摘要】：2015年4月上证50股指期货品种进入市场,旨在完善资本市场的风险对冲机制,丰富资本市场的做空手段,提高市场效率,降低市场系统风险。但是在国内市场不够成熟、投资者不够理性的大环境下,加之2015年的股灾事件、中金所出台的交易限制措施影响,股指期货新品种的推出能否对市场产生积极的作用值得深思。本文旨在探究上证50股指期货推出后对股票现货市场是否产生了有效影响,从期指的价格发现功能及对股票的定价效率两个角度考量。将样本区间分为市场非稳定期和市场稳定期,首先基于2015年4月16日期指上市至2016年4月16日一年内的日度数据和五分钟高频数据,运用DCC-GARCH模型计算指数期现货收益率间的动态相关系数,对二者间的互动关系进行检验;其次,运用协整检验对指数期现货价格间的长期均衡关系进行验证,并根据检验结果对期现货价格间的长期均衡及短期互动关系建立VECM误差修正模型,定性分析二者间的价格引导关系;在此基础上,利用IS信息份额模型对指数期现货的价格发现贡献度进行测算,定量分析二者的价格发现功能;此外,利用分位数回归法定性分析不同市场行情下股指期货对现货市场的影响;最后,利用期指推出前后各一年的交易数据,以股价调整滞后系数作为市场定价效率的衡量指标,建立DID双重差分模型和面板数据模型对期指推出事件的影响进行分析,判断其对指数标的成分股的定价效率是否具有提高作用。研究结果表明:无论从日间还是日内数据来看,指数期现货间都保持了较高的关联性,期指上市的近半年内适逢股灾,避险功能未能有效发挥,反而成为股市下跌的助推剂,半年后期指的价格发现功能逐渐显现,形成指数期现货间的双向引导关系;股指期货对现货的影响在市场行情上涨时更强,股票的定价效率有更明显的提高,而在市场行情下跌时这一正向影响却不显著。由此本文认为,上证50股指期货的推出总体而言,对股票市场具有正面影响,但由于制度设计、交易监管及投资者情绪等方面的因素,其价格发现及风险对冲的作用未能完全有效发挥,因此应精细化期指交易及合约等制度的设计、引导投资者对期指的有效合理运用,以此促进其功能的进一步显现,也防范其可能带来的风险。
[Abstract]:In April 2015, Shanghai 50 stock index futures entered the market in order to perfect the risk hedging mechanism of capital market, enrich the short selling means of capital market, improve market efficiency and reduce market system risk. However, in the domestic market is not mature, investors are not rational environment, coupled with the 2015 stock disaster, the trading restrictions introduced by CICC, whether the introduction of new stock index futures on the market has a positive role to ponder. The purpose of this paper is to explore whether the Shanghai 50 stock index futures have an effective impact on the spot stock market from the perspective of the price discovery function of the futures index and the pricing efficiency of the stock market. The sample ranges are divided into market unsteady periods and market stable periods. First, it is based on daily data and five-minute high frequency data for the year from April 16, 2015 to April 16, 2016. The DCC-GARCH model is used to calculate the dynamic correlation coefficient between the spot returns of the index period, and the interactive relationship between the two is tested. Secondly, the long-term equilibrium relationship between the spot prices of the index period is verified by cointegration test. Based on the test results, the VECM error correction model is established for the long-term equilibrium and short-term interaction between spot prices, and the price guidance relationship between them is analyzed qualitatively. Using is information share model to measure the price discovery contribution of the spot price in the index period, and quantitatively analyze the price discovery function of both, in addition, use the quantile regression method to qualitatively analyze the influence of the stock index futures on the spot market under different market prices. Finally, using the trading data of one year before and after the launch of the index, and taking the stock price adjustment lag coefficient as the index to measure the market pricing efficiency, the DID double difference model and the panel data model are established to analyze the impact of the index launch event. Judge whether the pricing efficiency of the index target constituent stock has the function of improving. The results of the study show that: whether from day to day data, the index period spot has maintained a high correlation, the futures index has experienced a stock disaster in the past half a year, and the risk avoidance function has not been effectively brought into play, on the contrary, it has become a booster for the stock market to fall. Half a year later, the price discovery function of the index gradually became apparent, forming a two-way guiding relationship between the spot stocks in the index period; the influence of the stock index futures on the spot prices was stronger when the market price rose, and the pricing efficiency of the stocks increased more obviously. But in the market decline, this positive impact is not significant. Therefore, the introduction of Shanghai Stock Exchange 50 stock index futures has a positive impact on the stock market in general, but due to the factors of system design, transaction supervision and investor sentiment, etc. The role of price discovery and risk hedging is not fully effective, so we should elaborate the design of futures trading and contract system to guide investors to use the index effectively and reasonably, so as to promote the further development of its function. Also guard against its possible risks.
【学位授予单位】：南京师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F724.5
[Abstract]:In April 2015, Shanghai 50 stock index futures entered the market in order to perfect the risk hedging mechanism of capital market, enrich the short selling means of capital market, improve market efficiency and reduce market system risk. However, in the domestic market is not mature, investors are not rational environment, coupled with the 2015 stock disaster, the trading restrictions introduced by CICC, whether the introduction of new stock index futures on the market has a positive role to ponder. The purpose of this paper is to explore whether the Shanghai 50 stock index futures have an effective impact on the spot stock market from the perspective of the price discovery function of the futures index and the pricing efficiency of the stock market. The sample ranges are divided into market unsteady periods and market stable periods. First, it is based on daily data and five-minute high frequency data for the year from April 16, 2015 to April 16, 2016. The DCC-GARCH model is used to calculate the dynamic correlation coefficient between the spot returns of the index period, and the interactive relationship between the two is tested. Secondly, the long-term equilibrium relationship between the spot prices of the index period is verified by cointegration test. Based on the test results, the VECM error correction model is established for the long-term equilibrium and short-term interaction between spot prices, and the price guidance relationship between them is analyzed qualitatively. Using is information share model to measure the price discovery contribution of the spot price in the index period, and quantitatively analyze the price discovery function of both, in addition, use the quantile regression method to qualitatively analyze the influence of the stock index futures on the spot market under different market prices. Finally, using the trading data of one year before and after the launch of the index, and taking the stock price adjustment lag coefficient as the index to measure the market pricing efficiency, the DID double difference model and the panel data model are established to analyze the impact of the index launch event. Judge whether the pricing efficiency of the index target constituent stock has the function of improving. The results of the study show that: whether from day to day data, the index period spot has maintained a high correlation, the futures index has experienced a stock disaster in the past half a year, and the risk avoidance function has not been effectively brought into play, on the contrary, it has become a booster for the stock market to fall. Half a year later, the price discovery function of the index gradually became apparent, forming a two-way guiding relationship between the spot stocks in the index period; the influence of the stock index futures on the spot prices was stronger when the market price rose, and the pricing efficiency of the stocks increased more obviously. But in the market decline, this positive impact is not significant. Therefore, the introduction of Shanghai Stock Exchange 50 stock index futures has a positive impact on the stock market in general, but due to the factors of system design, transaction supervision and investor sentiment, etc. The role of price discovery and risk hedging is not fully effective, so we should elaborate the design of futures trading and contract system to guide investors to use the index effectively and reasonably, so as to promote the further development of its function. Also guard against its possible risks.
【学位授予单位】：南京师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F724.5
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