商品期货与股指期货价格发现功能的统计研究

发布时间：2018-01-03 18:45

本文关键词：商品期货与股指期货价格发现功能的统计研究　出处：《山东大学》2014年硕士论文　论文类型：学位论文

【摘要】：期货交易作为金融市场的重要交易模式,对经济发展、市场稳定的贡献不言而喻。首先兴起的是以各类农牧产品,以及后来的金属、橡胶、原油等工业用品为标的物的商品期货交易。它们主要起到了稳定价格、规避风险、提升市场流动性等积极作用。进入20世纪70年代,资本市场的蓬勃发展使得期货交易的标的物开始向资本市场迈进,这带来了股指期货的诞生。股指期货是以股票指数为标的物的期货产品,它具有期货所具有的常规作用；同时与商品期货不同的是,它也具有自己的特点,包括采用现金差价结算的交割方式、受资本市场信息影响更大、风险来源更加多样等。无论是商品期货还是股指期货,它们的交易价格与各自标的物的现货交易价格之间的关系一直颇为引人关注。从期货定价的无套利理论上来说,期货价格会收敛于现货价格。但在现实交易中,人们往往更关注的是期货价格对于现货价格是否具有影响意义。尤其是现在业界普遍认为：期货价格对相应现货价格具有价格发现功能,即期货价格能够对现货价格产生因果效应。针对这一观点,我希望在本文中能通过分别对商品期货和股指期货这两大类期货的交易价格进行统计实证分析来检验这一观点的准确度和合理性。本文共分为五个部分,核心思想是理论与实证结合,用理论指导实证分析,用实证分析支持理论。第一部分,首先介绍了商品期货与股指期货的起源、发展、交易特点、区别等相关知识背景,并对指出了论文的研究方向——两种期货价格与相应现货价格之间关系的比较及分析。第二部分,简要介绍了过往相关领域一些文献的研究成果,从侧面对本文的研究意义进行了说明,并且也进一步点出了本文的研究创新点所在——同时关注两种重要期货与对应现货价格之间的关系,并结合商品市场与资本市场的不同点来总结原因。第三部分,简要介绍论文所需要的相关方法理论,包括ADF单位根检验、协整性分析、误差修正模型以及Granger因果关系检验等。第四部分,进行实证分析。通过收集、整理相应数据,包括郑州期货交易所棉花期货价格数据、中国棉花价格指数、沪深300股指期货价格、沪深300价格指数等,运用上述方法进行分析后,得出两种期货价格与各自的现货价格均具有协整性的结论,并给出了误差修正模型。进一步分析发现：郑棉期货对棉花现货存在因果关系,而股指期货对股指现货不具有因果关系。第五部分,根据上文所得出的结论,并结合我国商品市场与资本市场的特点,进行结论分析和论文总结,并对资本市场的相关参与者进行更为理性的投资提供了一定的指导意见。
[Abstract]:Futures trading as an important trading model of financial markets, the contribution to economic development, market stability is self-evident. The first rise is a variety of agricultural and animal husbandry products, as well as later metal, rubber. Commodity futures trading in which crude oil and other industrial supplies are the subject matter. They mainly play a positive role in stabilizing prices, avoiding risks and enhancing market liquidity. In 1970s, with the vigorous development of capital market, the subject matter of futures trading began to move towards the capital market. This brings the birth of stock index futures. Stock index futures are futures products with stock index as the subject matter, which has the regular function of futures. At the same time, different from commodity futures, it also has its own characteristics, including the cash difference settlement method, more affected by the capital market information, more diverse sources of risk, and so on. Whether commodity futures or stock index futures, the relationship between their trading prices and the spot trading prices of their respective subject matter has attracted considerable attention. Futures prices converge to spot prices. But in real trading. People often pay more attention to whether futures price has influence on spot price, especially now the industry generally thinks that futures price has price discovery function to the corresponding spot price. That is, futures prices can have a causal effect on spot prices. In this paper, I hope to test the accuracy and reasonableness of this view by the statistical and empirical analysis of the trading prices of commodity futures and stock index futures. This paper is divided into five parts, the core idea is the combination of theory and practice, using theory to guide empirical analysis, empirical analysis to support the theory. The first part introduces the origin of commodity futures and stock index futures, development, trading characteristics, differences and other related knowledge background. And pointed out the research direction of the thesis-the relationship between the two futures prices and the corresponding spot prices. From the side of the significance of this study is explained, and further points out the innovative point of this study-at the same time concerned about the relationship between the two important futures and the corresponding spot price. Combined with the differences between the commodity market and the capital market to summarize the reasons. The third part briefly introduces the relevant method theory of the paper including ADF unit root test cointegration analysis. Error correction model and Granger causality test. Part 4th, empirical analysis. Through collection, collate the corresponding data, including Zhengzhou Futures Exchange cotton futures price data. China cotton price index, Shanghai and Shenzhen 300 stock index futures price, Shanghai and Shenzhen 300 price index, using the above methods to analyze the two futures prices and their spot prices are cointegrated conclusion. And gives the error correction model. Further analysis found: Zheng cotton futures have causality to cotton spot, but stock index futures have no causality to stock index spot. Part 5th, according to the conclusion reached above. Combined with the characteristics of China's commodity market and capital market, this paper makes a conclusion analysis and a summary, and provides some guidance for the relevant participants in the capital market to invest more rationally.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F724.5;F724.5

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