“市场相依”的期现引导关系研究

发布时间：2018-01-14 16:06

本文关键词：“市场相依”的期现引导关系研究　出处：《应用概率统计》2017年03期 　论文类型：期刊论文

【摘要】：期货市场和现货市场之间的关系一直是学术界和监管部门十分重视的问题.本文将传统的格兰杰引导关系检验推广到分位数回归的情形,研究了不同分位点上的期货与现货之间的引导关系.由于在差分数据模型下,不同的分位点对应不同的市场环境,我们发现了"市场相依"的期现引导关系,从而能更全面、更深入地分析期货与现货的关系.本文的主要结论和观点是:1.股指期货与股票现货之间的相互关系除了与它们本身特质有关外,还与金融市场有较大的关联性;2.在正常、平稳的金融市场环境中,它们之间有相互引导关系;在特殊、极端的金融市场环境中,它们之间正常的引导关系会出现变异,而其它金融环境因素掩盖了它们之间的正常关系;3.在逻辑上,如果把期现货之间存在相互引导关系视为正常,那么,引导关系异常的出现,是金融市场异常的信号,为金融监管提供了预警参考依据.
[Abstract]:The relationship between the futures market and the spot market has always been a matter of great concern to the academic and regulatory authorities. In this paper, the traditional Granger guidance relationship test is extended to the quartile regression. This paper studies the leading relationship between futures and spot on different loci. Because different loci correspond to different market environment under the differential data model, we find the "market dependent" current guidance relationship. In order to analyze the relationship between futures and spot more comprehensively and deeply. The main conclusion and viewpoint of this paper is: 1.The relationship between stock index futures and stock spot is not only related to their own characteristics. There is also a greater correlation with financial markets; 2. In a normal and stable financial market environment, there is a mutual guiding relationship between them; In the special, extreme financial market environment, the normal leading relationship between them will change, while other financial environment factors cover up the normal relationship between them; 3. Logically, if the existence of mutual guidance relationship between spot and time is considered as normal, then the appearance of abnormal guidance relationship is the signal of financial market anomaly, which provides an early warning reference for financial supervision.
【作者单位】：山东大学中泰证券金融研究院;
【基金】：国家自然科学基金项目(批准号:11571204、11231005)资助
【分类号】：F724.5
【正文快照】： §1.引言2010年4月16曰,我国推出了沪深300股指期货,它的推出不仅丰富了金融市场交易品种,拓宽了投资者投资渠道,而且在某种程度上加快了我国金融市场的发展进程.因为股指期货具有低成本、强流动、高杠杆、套期保值及可以卖空的特点,所以期货成为了投资者实现套期保值、对冲系

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