韩国KOSPI200股指期权对标的指数波动性影响以及对我国的启示

发布时间：2018-01-04 22:21

本文关键词：韩国KOSPI200股指期权对标的指数波动性影响以及对我国的启示　出处：《北京外国语大学》2017年硕士论文　论文类型：学位论文

【摘要】：近年来,全球金融衍生品市场迅速发展,尤其是场内金融衍生品市场,而股指期权作为场内交易的一大品种,交易成交量早已超过股票期权。股指期权具有风险管理、价格发现功能,同时其具有高杠杆性,其对标的指数的波动会产生怎样的影响,一直是政府、学者和投资者所担忧的问题。本文选取韩国作为研究对象,主要是因为韩国的KOSPI200股指期权自1997年推出以来深受广大投资者的欢迎,市场流动性良好,成交量曾跃居世界第一,其对于促进韩国证券市场的发展具有不可抹灭的功劳,加之韩国与我国在投资者结构、文化以及经济发展上的相似性,利用韩国市场数据进行研究,具有可借鉴性。本文选取1996年5月3日-2017年3月3日的韩国KOSPI200指数日收盘价为数据样本,进行实证研究。本文在实证分析中进行了三点创新:第一,本文选取KOSPI200股指期货上市后的1996年5月3日为起始时间,剔除相同标的的股指期货交易的影响;第二,在均值方程中加入合理替代变量,剔除其他市场波动对于标的指数波动的影响;第三,本文采用CGARCH模型,将标的指数波动率进行分解,分为短期波动率和长期波动率,分别研究股指期权上市对于标的指数长短期波动率的影响。实证结果表明,在剔除其他市场影响的前提下,股指期权推出显著增加了标的指数的短期波动,减小了标的指数的长期波动。这说明股指期权的功能和作用在韩国市场得到了很好的发挥,本文认为我国金融市场也应尽快推出股指期权衍生产品,丰富我国金融市场产品,完善我国金融市场风险管理体系。
[Abstract]:In recent years, the global financial derivatives market has developed rapidly, especially in the field of financial derivatives, and stock index options as a major variety of exchange trading. Stock index option has the function of risk management, price discovery and high leverage. This paper chooses South Korea as the research object, mainly because the Korean KOSPI200 stock index option has been welcomed by the majority of investors since its launch in 1997. Market liquidity is good, trading volume has leapt to the first in the world, it has an indelible credit for promoting the development of Korean securities market, plus Korea and China in the structure of investors. Cultural and economic development similarities, using Korean market data for research. This paper selects the daily closing price of Korean KOSPI200 index from May 3rd 1996 to March 3rd 2017 as the data sample. Empirical research. This paper carries out three innovations in the empirical analysis: first, this paper selects May 3rd 1996 after the listing of KOSPI200 stock index futures as the starting time. Excluding the influence of stock index futures trading with the same target; Secondly, the reasonable substitution variable is added to the mean equation, and the influence of other market fluctuations on the underlying index volatility is eliminated. Thirdly, CGARCH model is used to decompose the target index volatility into short-term volatility and long-term volatility. The empirical results show that the introduction of stock index option significantly increases the short-term volatility of the underlying index without the influence of other markets. This shows that the function and function of stock index options have been well played in the Korean market. This paper holds that the financial market of our country should also launch stock index option derivatives as soon as possible. Enrich our financial market products and improve our financial market risk management system.
【学位授予单位】：北京外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F831.53

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