中国股指期货市场功能实证研究与优化对策

发布时间：2018-01-03 16:31

本文关键词：中国股指期货市场功能实证研究与优化对策　出处：《华东师范大学》2013年博士论文　论文类型：学位论文

【摘要】：股指期货是以股票价格指数为标的一种金融衍生品,自20世纪80年代第一张股指期货合约在美国诞生以来,股指期货在世界范围得到了快速发展,目前已成为世界上交易量最大的期货品种。2010年4月16日,我国正式推出了标的为沪深300指数的股指期货。股指期货的推出不仅可以为投资者增加新的避险工具,提高资金使用效率,而且有助于进一步完善我国的资本市场结构,丰富金融衍生产品种类,对我国金融市场的发展具有重要的意义。然而,股指期货作为一个金融衍生品市场,在我国的发展尚处于起步阶段,将经历一个较长的发展、完善并逐步成熟的过程。在这个过程中,加强对股指期货市场的跟踪分析,及时发现市场运行当中存在的问题,不断修正和完善相关制度,就显得尤为必要。在此背景下,本文以股指期货三大市场功能的实证研究为主线——价格发现功能、稳定市场功能、套期保值功能,深入考察我国股指期货市场的运行状况,并结合研究结论所反映出的问题,就完善我国股指期货市场的各项制度提出相关建议。本论文分为七章。第一章导论部分主要包括研究背景和研究意义、相关文献综述、论文的研究内容和方法、论文的结构安排、以及论文可能的创新点；第二章是股指期货概述,主要介绍了股指期货的相关概念、沪深300指数的编制原则和方法、沪深300股指期货合约的特点等；第三章是股指期货价格发现功能研究,主要对我国股指期货价格发现功能的静态和动态表现展开实证研究；第四章是股指期货对现货市场波动性影响研究,主要包括股指期货推出对于现货市场长期波动性影响研究和短期到期日效应研究；第五章是股指期货套期保值策略研究,主要包括套期保值理论和模型的介绍及不同套期保值模型的绩效评价与比较；第六章是股指期货套期保值效应研究,主要是对我国股指期货的套期保值效应进行实证分析；第七章是研究总结、建议和展望,主要是对论文研究结论进行总结,并就结论所反映的问题提出相关建议。本文的主要研究成果简述如下：第一,考察了我国沪深300股指期货市场价格发现功能的静态和动态表现。首先,采用协整检验、Granger因果检验、VEC模型、脉冲响应函数分析、方差分解及多元回归模型等传统计量方法对价格发现功能静态表现进行了实证研究,结果一致表明,股指期货与现货市场价格相互引导,期货价格领先现货价格5分钟,而现货价格领先期货价格也为5分钟。然后基于5分钟高频数据,利用递归协整和公共因子模型深入研究了沪深300股指期货价格发现功能的动态变化,结果表明,大约2010年6月3日之前,股指期货与现货的联系并不紧密,两者并不具有稳定的协整关系,这表明在股指期货运行之初并不具有价格发现功能。随着期货市场的不断完善,股指期货与现货价格开始具有稳定的协整关系,即开始具有价格发现功能,且价格发现功能不断增强。但从截止到2012年9月17日的高频数据来看,沪深300股指期货在价格发现中的贡献度一直低于现货市场,这表明在价格发现过程中起主导作用的并非期货市场,而是现货市场。最后,本文从较高的准入门槛、不合理的投资者结构、不完善的现货市场交易制度等几方面进行了解释。第二,考察了我国沪深300股指期货对于现货市场波动性的影响。包括股指期货推出对于现货市场长期波动性影响和短期到期日效应影响。首先,分别采用带有虚拟变量的GARCH模型和Markov-switching-GARCH模型研究了沪深300股指期货推出对于现货市场波动性的影响,结果一致表明股指期货的推出后,现货市场的波动性水平有所降低,沪深300股指期货具有稳定市场的功能。然后,本文从市场信息传播效率的角度对此进行了解释,研究发现,股指期货推出后,现货市场信息传播效率没有提高,反而略微有降低,这可能与股指期货价格发现功能表现并不理想有关。最后,对股指期货的到期日效应进行了实证研究,结果表明,沪深300股指期货到期日时,现货市场并没有像欧美其他国家一样出现交易量异常放大的现象,且现货市场的波动率也没有出现异常变大的现象,不具有到期日效应。也就是说合约到期日时,股指期货并没有加剧现货市场的波动。这可能与我国设计合理的结算价确定方式、较小期货交易规模及不完善的投资者结构有关。第三,考察了套期保值理论和模型的发展,并对相关套期保值模型的绩效进行了评价。在“风险最小化原则”和“效用最大化原则”条件下分别比较了OLS、VAR、 VECM静态套期保值模型及GARCH类和条件OLS动态套期保值模型套期保值绩效,结果表明,动态套期保值模型的套期保值绩效一般都优于静态套期保值模型,但具有更高的操作成本。因此,在套期保值模型的实际选择中,需综合评价套期保值模型的绩效与成本。第四,考察了我国沪深300股指期货的套期保值绩效。运用EGARCH模型分别考察了沪深300指数期货与股票现货市场上10大基金重仓股和10只随机选取的深圳证券交易所中小企业板上市的股票之间进行套期保值的效果,发现前者的套期保值效果并不理想,后者的效果更差。造成这种情况的原因是我国股指期货品种过于单一,为给投资者提供更多的、实用的套期保值工具,本文建议应该借鉴海外市场的经验,推出中小市值股票指数期货和其它典型行业股票指数期货等期货品种。第五,提出完善期货市场的相关建议。最后根据以上研究结论所反映的问题,论文从交易门槛、投资者结构、现货市场交易规则及股指期货交易品种这几个方面提出了相关建议。
[Abstract]:Stock index futures is the stock price index as a subject of financial derivatives, since 1980s the first stock index futures contracts in the United States since the birth of stock index futures has been developing rapidly in the world, has become the world's largest trading volume of the futures of.2010 in April 16th, China officially launched the Shanghai and Shenzhen 300 index the stock index futures. Stock index futures can not only increase the new hedging tool for investors, improve capital efficiency, but also help to further improve the structure of China's capital market, abundant financial derivative products, has important significance to the development of China's financial market.
However, the stock index futures as a financial derivatives market development in China is still in the initial stage, will experience a long development, perfect and gradually mature process. In this process, strengthen the analysis of the stock index futures market tracking, discover the existing problems in the operation of the market, constantly revise and improve relevant the system is particularly necessary.
Under this background, this paper takes an empirical study on the function of stock index futures market three as the main line, the price discovery function, the function to stabilize the market, hedging function, in-depth study of operation status of China's stock index futures market, combined with the conclusion of the study reflects the problems, on how to perfect the system of China's stock index futures market put forward advice.
This paper is divided into seven chapters. The first chapter includes the research background and research significance, literature review, research contents and methods of this paper, the structure of this paper, and the possible innovation of this paper; the second chapter is an overview of the stock index futures, mainly introduced the concept of stock index futures, the principle and method for the preparation of Shanghai and Shenzhen 300 index, CSI 300 stock index futures contracts etc.; the third chapter is the function of price discovery of stock index futures, mainly to our country stock index futures price discovery function of the static and dynamic performance of empirical research; the fourth chapter is to study the influence of stock index futures on the volatility of the stock market, including the introduction of stock index futures for the long-term fluctuations in the spot market the influence of day effect research and short maturity; the fifth chapter is the research on stock index futures hedging hedging strategies, including hedging theory and model introduction The performance evaluation and comparison of different hedging model; the sixth chapter is the research on stock index futures hedging effect is mainly an empirical analysis on the effect of hedging of stock index futures in China; the seventh chapter is the research summary, suggestions and prospects, mainly on the research conclusion of this thesis is to summarize and put forward relevant suggestions and conclusions reflected the problem.
The main research results of this paper are as follows:
First, it examines the static and dynamic performance of the price discovery function of the Shanghai and Shenzhen 300 stock index futures market.
First of all, using cointegration test, Granger causality test, VEC model, impulse response function analysis, the price discovery function of static performance makes an empirical research on the variance decomposition and multiple regression model of the traditional measurement methods. The results show that the stock index futures and spot market prices to guide each other, leading the spot price futures price and spot for 5 minutes. The price of the leading futures prices for 5 minutes. Then based on the high frequency data of 5 minutes, the use of recursive cointegration and common factor model was applied to study the dynamic changes of the Shanghai and Shenzhen 300 stock index futures price discovery function, the results show that, until about June 3, 2010, stock index futures and spot are not closely linked, there is no cointegration relationship between. This shows that the stock index futures at the beginning of the operation does not have the function of price discovery. With the futures market continues to improve, the stock index futures and spot prices began with a steady The cointegration relationship, began to have the function of price discovery and price discovery function is growing. But by the end of the high frequency data in September 17, 2012, the Shanghai and Shenzhen 300 stock index futures in price discovery contribution has been lower than the spot market, which shows that is not the futures market plays a leading role in the process of the price, but the spot market finally, this article from the high barriers to entry, the unreasonable structure of investors, imperfect cash market trading system and other aspects are explained.
Second, we examine the impact of Shanghai and Shenzhen 300 stock index futures on the volatility of spot market, including the impact of stock index futures on the long-term volatility and short term maturity effect of spot market.
First, the GARCH model with dummy variable and Markov-switching-GARCH model of the CSI 300 stock index futures on the volatility of the spot market respectively. The results show that the introduction of stock index futures, spot market volatility level has been reduced, the Shanghai and Shenzhen 300 stock index futures have the function of stabilizing the market. Then, based on the market information transmission efficiency the explanations, the study found that after the introduction of stock index futures, spot market information transmission efficiency is not improved, but slightly decreased, which may be related to the stock index futures price discovery performance is not satisfactory. Finally, the effect of stock index futures expiration date for the empirical research, the results show that the Shanghai and Shenzhen 300 stock index futures expiration on the spot market, trading volume did not appear abnormal amplification phenomenon like Europe and other countries, and the stock market volatility No abnormal change phenomenon, does not have the maturity effect. That is to say, when the contract expires, the stock index futures did not exacerbate the volatility of the spot market. This may be a reasonable settlement price and the design of our country to determine the way, small scale and imperfect futures investors structure.
Third, the development of hedging theory and model is investigated, and the performance of the related hedging model is evaluated.
In the "risk minimization principle" and "utility maximization principle" conditions were compared respectively OLS, VAR, VECM and GARCH type static hedging model and OLS dynamic hedging model of hedging performance, the results show that the hedging performance of dynamic hedging model generally outperforms the static hedging model, but better the cost of operation. Therefore, in the actual selection of hedging model, performance and cost evaluation of the hedging model.
Fourth, it examines the hedging performance of China's Shanghai and Shenzhen 300 stock index futures.
Using EGARCH model to analyze the hedging stock between Shanghai and Shenzhen 300 index futures and stock market 10 fund awkwardness and 10 randomly selected from the Shenzhen stock exchange SME board listed the results, found the hedging effect of the former is not ideal, the latter effect is worse. The reason for this situation is China stock index futures is too single, as to provide investors with more hedging tools, practical, the article suggests that we should learn the experiences of overseas markets, small and medium-sized market launch of stock index futures and other typical industry stock index futures futures.
Fifth, put forward some suggestions to improve the futures market.
Finally, according to the problems reflected in the above conclusions, the paper puts forward relevant suggestions from the aspects of trading threshold, investor structure, spot market trading rules and stock index futures trading.

【学位授予单位】：华东师范大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F724.5

【参考文献】