基于高频数据的股指期货微观结构与投资策略研究

发布时间：2018-01-11 08:04

  本文关键词：基于高频数据的股指期货微观结构与投资策略研究　出处：《哈尔滨工业大学》2014年博士论文　论文类型：学位论文

  更多相关文章： 股指期货 高频数据 市场微观结构 投资策略 技术分析 指数套利

【摘要】：2010年4月16日,中国正式推出沪深300股指期货这一金融衍生品,它运行的经验将为未来推出个股期货、期权等金融衍生品提供借鉴,所以迫切需要系统研究沪深300股指期货市场的运行情况。市场微观结构主要研究在既定市场金融资产的价格发现过程及结果,进而揭示交易机制、市场组织结构、投资者行为对资产价格发现的影响。研究股指期货的微观结构可以帮助分析市场运行情况,进而完善交易机制,而高频数据为研究市场微观结构提供了便利。股指期货T+0的交易方式为高频交易的大规模开展奠定了基础,高频交易能够对市场的变化迅速做出反应,也有学者指出高频交易会增加市场系统性风险。高频交易离不开对高频数据规律的研究,利用高频数据研究沪深300股指期货微观结构规律,能够为制定规避高频交易风险的措施提供参考。投资策略是投资者根据对市场的理解构建的指导投资的规则集合,它不仅能指导投资,更能深化对市场微观结构的认识。国外对股指期货微观结构的研究比较成体系,国内的研究刚起步,还比较零散。本文遵循股指期货微观结构特征--微观结构特征指导投资--投资策略反馈微观结构的思路,采用理论分析和计量经济学实证研究相结合的方法,系统研究了沪深300股指期货的微观结构和投资策略。论文的主要研究内容和研究成果如下:为了检验沪深300股指期货是否存在日内模式,本文运用Wilcoxon秩和检验方法研究了沪深300股指期货的收益率、波动率、交易量和持仓量等微观结构变量的日内特征。发现受交易机制和投资者行为影响,沪深300股指期货的收益率、波动率、交易量和持仓量呈现明显的日内模式,说明日内模式并不是做市商市场特有的,订单驱动市场也有日内模式,丰富了市场微观结构理论,也为投资决策和市场操纵行为的监管提供了参考。为了研究沪深300股指期货的价格形成机制,本文运用ARMA-EGARCH、VAR、Granger因果检验等方法研究了沪深300股指期货的收益率、交易量和持仓量的动态关系。发现沪深300股指期货的交易量对价格波动有正的影响,持仓量对价格波动有负的影响,价格波动同时影响交易量和持仓量,沪深300股指期货市场是有效的。该研究结果说明沪深300股指期货的量价是双向依赖的。为了研究沪深300股指期货和股票指数之间的价格关系,本文运用VECM、BEKK-GARCH、TGARCH等方法研究了股指期货和现货的价格发现关系、波动率溢出关系,以及股指期货对现货信息效率的影响。发现沪深300股指期货较好地发挥了价格发现功能,沪深300指数和股指期货的价格存在双向Granger因果关系;而且,股票指数和股指期货存在双向波动率溢出效应,股票指数对股指期货的波动率溢出效应更明显,股指期货对股票指数存在非对称的波动率溢出效应;股指期货的推出提高了股票市场的信息效率。该研究结果说明沪深300股指期货的价格受现货指数影响,交易限制将影响股指期货市场的信息效率,从市场微观结构角度为跨市场操纵找到了现实证据,为监管层放松管制,活跃股指期货市场提供了参考。为了检验微观结构特征在指导投资的价值,加深对沪深300股指期货微观结构的理解,本文运用ARMA、统计模拟、非参数检验等方法,研究了沪深300股指期货收益率日内模式、收益率自相关、技术分析和指数套利在指导投资的有效性。发现沪深300股指期货的收益率在上午收盘阶段和下午开盘阶段具有稳定的日内模式;收益率自相关规律在考虑交易成本的情况下并不能获得稳定收益;由于沪深300股指期货市场是有效的,技术分析策略并不能获得稳定的高收益,技术分析的高收益源自数据探测;受融资风险和价差收敛风险影响,沪深300股指期货的负向套利机会远多于正向套利。该研究结果进一步验证了订单驱动市场存在日内模式,也进一步说明沪深300股指期货市场是有效的,同时解答了学术界和实务界对技术分析是否可行的争论,丰富了有限套利理论,深化了对沪深300股指期货市场微观结构的认识。本文的研究丰富了市场微观结构理论和有限套利理论,对于学者和投资者窥探交易机制对投资者行为以及市场微观结构的影响有重要启示作用,对于指导投资者决策也有重要价值,对于监管当局维护股指期货市场的稳定和繁荣、推出更多的金融衍生品也有借鉴意义。随着中国股指期货市场的不断成熟,未来可以利用超高频数据和交易账户数据分析股指期货微观结构规律的深层次原因。
[Abstract]:In April 16, 2010, Chinese officially launched the CSI 300 stock index futures financial derivatives, its operation experience will launch stock futures to provide reference for the future, options and other financial derivatives, so there is an urgent need to study the Shanghai and Shenzhen 300 stock index futures market operation. The market micro structure research discovery process and results in a given market prices of financial assets then, reveal the trading mechanism, market structure, influence the behavior of investors found on asset prices. Microstructure of the stock index futures can help to analyze the market situation, and further improve the trading mechanism, while the high frequency data provides convenience for the research on market microstructure. The stock index futures trading T+0 laid the foundation for the large-scale development of high-frequency trading high frequency, transaction can respond quickly to changes in the market, some scholars have pointed out that the high frequency trading market will increase Systemic risk. High frequency trading cannot do without research on high frequency data rules, the use of high-frequency data to study the microstructure of Shanghai and Shenzhen 300 stock index futures, which can provide a reference for the formulation to avoid high-frequency trading risks. Investors investment strategy is according to the understanding of the market to build a set of rules to guide investment, it can not only guide the investment, more to deepen the understanding of the market microstructure. Study on Microstructure of foreign stock index futures system, domestic research has just started, is still relatively fragmented. This paper follows the microstructure characteristics of stock index futures, microstructure characteristics of guide investment strategy of feedback micro structure of ideas, methods of theoretical analysis and empirical research combining econometrics the micro structure and investment strategy of Shanghai and Shenzhen 300 stock index futures. The main research contents and results are as follows: The inspection of the existence of the CSI 300 stock index futures intraday pattern, rate of return, this paper uses the Wilcoxon rank sum test method to study the Shanghai and Shenzhen 300 stock index futures volatility, trading volume and other characteristics of the positions of the microstructural variables within day. Found that the trading mechanism and investor behavior influence, Shanghai and Shenzhen 300 stock index futures return volatility. The rate, volume and open interest shows the intra day pattern, that pattern is not unique within the market maker market, order driven market also has day mode, enrich the theory of market microstructure, and provide a reference for the manipulation of investment decision and market supervision. In order to study the Shanghai and Shenzhen 300 stock index futures the price formation mechanism, this paper uses ARMA-EGARCH, VAR, yield of Granger causality test and other methods to study the Shanghai and Shenzhen 300 stock index futures, the dynamic relationship between trading volume and open interest. It is found that the Shanghai and Shenzhen 300 stock index futures The trading volume has a positive impact on price fluctuations, positions have a negative impact on price fluctuations, while the impact of trading volume and open interest price volatility, the Shanghai and Shenzhen 300 stock index futures market is effective. The research results show that Shanghai and Shenzhen 300 stock index futures price is two-way dependence. In order to research the relationship between the price of the Shanghai and Shenzhen 300 the stock index futures and stock index, this paper uses VECM, BEKK-GARCH, TGARCH and other methods to study the relationship of stock index futures and spot price volatility spillover effect between stock index futures and stock index on the spot information efficiency. It is found that the Shanghai and Shenzhen 300 stock index futures played a better price discovery function, there exists bidirectional Granger causality between the Shanghai and Shenzhen 300 index and the price of stock index futures; moreover, stock index and stock index futures have spillover volatility of stock index futures, stock index volatility spillover effect is more obvious, the stock index futures Goods spillover effects are asymmetric volatility of stock index; stock index futures improve the information efficiency of the stock market. The research results show that Shanghai and Shenzhen 300 stock index futures price index of the stock, trading restrictions will affect the information efficiency of the stock index futures market, from the point of view of market microstructure for cross market manipulation to find evidence for regulators, deregulation, provides a reference for active stock index futures market. In order to test the microstructure characteristics in guiding the investment value, deepen our understanding of the CSI 300 stock index futures to the understanding of the microstructure, with ARMA, the statistical simulation, non parametric test, study the Shanghai and Shenzhen 300 stock index futures return rate intraday pattern, income the rate of autocorrelation, technical analysis and index arbitrage is effective in guiding investment. It is found that the Shanghai and Shenzhen 300 stock index futures returns in the morning and afternoon opening closing phase stage A stable day mode; yield autocorrelation law in consideration not the condition of transaction cost and stable income; since the CSI 300 stock index futures market is effective, technical analysis strategy and can not get a stable high income, high Yiyuan from data detection technology analysis; financing risk and the risk of price convergence effect of Shanghai and Shenzhen 300 stock index futures arbitrage opportunities than negative arbitrage. The results of this study further verified the existence of order driven market intraday pattern, it further illustrates that the Shanghai and Shenzhen 300 stock index futures market is effective, at the same time to answer the academic and practical analysis of the feasibility of debate on technology, enrich the Limited arbitrage theory to deepen the understanding of the Shanghai and Shenzhen 300 stock index futures market microstructure. This study enriches the theory of market microstructure and limited arbitrage theory, for scholars and investors spy The trading mechanism has important implications for the behavior of investors and the impact of market microstructure, also has important value in guiding the investor decision-making, for the regulatory authorities to maintain the stability and prosperity of the stock index futures market, the introduction of more financial derivatives is of great significance. With the China stock index futures market continues to mature, the future can take advantage of the deep-seated reasons of ultra high frequency the data and data analysis of stock index futures trading account micro structure of law.

【学位授予单位】：哈尔滨工业大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F724.5
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本文编号：1408722