股指期货与现货市场联动机制的研究

发布时间：2018-03-10 06:49

本文选题：价格联动　切入点：协整分析　出处：《南京财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：自我国HS300股指期货推出之时,距今已有三年的时间。对于股指期货是否能够发挥其价格发现的功能以及引入股指期货后,会对现货市场的波动风险产生怎样的影响这两个问题,学术界自始至终都存在着争议。本文以市场微观结构理论和信息经济学为理论基础,试图从股指期货价格发现功能和股指期货对现货市场波动风险的影响两大主线实证研究我国股指期货的推出对HS300现货市场的影响究竟如何,以求得到比较充分和真实的结论。针对股指期货价格发现功能这一问题,本文通过选取期货当月连续合约和HS300指数的日收盘数据,运用Grange因果检验、协整以及误差修正模型实证分析,揭示我国股票期、现市场之间的信息传导机理和价格发现过程。实证结果表明,在价格发现能力上,中国股指期货价格领先于现货市场价格,存在由股指期货市场到现货市场单向、长期的价格引导关系；在短期内,股指期货对现货市场收益率也具有一定的预测作用,虽然股指期货的调整力度不大,但总体上我国股指期货的价值发现功能得到了一定的发挥；采用GARCH族模型和风险价值度(VaR)等实证方法,探究我国股票期、现市场之间的风险传导特征,分析股指期货引入前后,现货市场波动风险大小的变化情况。分析表明,在股指期货推出前后,现货市场收益率三种分布假设的估算结果中,基于GED分布下的VaR估计值失败率最为接近对应的显著性水平,因此,其估算精度最高,并且在更高置信水平下也能通过检验,表明基于GED分布下的估算结果可以较好的刻画HS300指数收益率分布的尾部风险特征。并且,无论置信水平高低,股指期货推出后各VaR统计值的平均值都显著低于股指期货推出前的计算结果,说明股指期货推出后,HS300指数现货市场的整体风险有一定的下降。借鉴前人大量的实证经验和结论从经济学的角度给予合理的解释和规范我国股指期货良性发展的可行性建议。
[Abstract]:HS300 stock index futures since China's launch, dating back more than three years. The stock index futures is able to play the price discovery function and the introduction of stock index futures, how will the impact of volatility on the stock market these two problems, the academic circles from first to last are controversial. This paper is based on market microstructure theory and information economics as the theoretical foundation, attempts from the stock index futures price discovery function and the influence of stock index futures on the spot market volatility risk the introduction of empirical research on the two main stock index futures in China HS300 stock market impact on how, in order to get the full and true conclusion. In view of the stock index futures price discovery function of this problem, this paper select the month futures contract and HS300 index consecutive daily closing price data, using Grange causality test, cointegration analysis and error correction model And reveal our stock, information transmission mechanism and process. It is found that the price in the market between the empirical results show that in the price discovery ability, China stock index futures prices ahead of the spot market price, from the stock index futures market to the spot check, guide the long-term price; in the short term, stock index futures has forecast effect on stock market return rate, although the adjustment of stock index futures is not big, but on the whole, China's stock index futures price discovery function must be played; use the GARCH models and risk value (VaR) and other empirical methods, to explore China's stock market, risk conduction characteristics is between the analysis after the introduction of stock index futures, the risk of fluctuations in the spot market changes in size. The results show that, after the introduction of stock index futures, the estimation results of three kinds of distribution assumptions of the spot market yields, The distribution of GED VaR estimates the failure rate of the most significant level, close to the corresponding based on the result, the estimation accuracy is highest, and can also pass the test at a higher confidence level, the estimated GED distribution results can well describe the HS300 index return distribution. Based on the characteristics of tail risk and no confidence the level of the average value of the stock index futures VaR value were significantly lower than the calculation results before the launch of stock index futures, stock index futures after the launch, the overall risk of HS300 stock market index dropped to a certain extent. The former a lot of empirical experience and conclusions from the perspective of economics, give a reasonable explanation and normative suggestions the stock index futures in China's development.

【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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