引入成熟投机者的股指期货套保压力效应

发布时间：2018-01-05 15:00

本文关键词：引入成熟投机者的股指期货套保压力效应　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文在经典的套保压力理论基础上,对其进行了拓展,并在SP500股指期货市场进行了检验。不同于以往的套保压力理论对投机者角色的简单化处理,本文在宋军(2009)的二期不确定决策模型的基础上,对经典的套保压力理论中的投机者的“幼稚”的角色进行了重新解读,提出根据前人的研究成果,投机者很可能有较优的信息和较强的研究判断能力,因此假设他们是“成熟”的是更可取的,并在这一假设下引入了“投机者参与意愿”这一变量,证明了该变量对套期保值者的成本(风险溢价)会产生影响,进而影响套期保值对期货价格的压力。在实证方面,文章受到前人对于投机者仓位数据的特点以及信息含量的研究的启发,解释了如何用投机者的仓位数据构造“投机者参与意愿”的代理变量。实证结果显示套期保值压力(或称之为套期保值需求)对期货价格有显著影响,支持经典的套保压力理论。同时,“投机者的参与意愿”对期货价格也有显著影响,支持本文提出的投机者是“成熟"而非“幼稚"的,他们的参与意愿会影响风险溢价的假设。因此本文的主要贡献是对投机者在套保压力理论框架中的角色进行了新的解读,提出投机者是“成熟”而非“幼稚”的的理论并进行了验证,把前人关于“投机者有较优的信息”的发现与经典的套保压力理论结合在了一起,对套保压力理论进行了拓展。此外,文中最后一章还指出了对国外股指期货市场的研究成果对我国沪深300股指期货市场的一些启示。
[Abstract]:Based on the classical theory of hedging pressure, this paper extends it and tests it in the SP500 stock index futures market. It is different from the previous theory of hedging pressure in dealing with the role of speculators. On the basis of the second stage uncertain decision model of Song Junyong (2009), this paper reinterprets the "childish" role of speculators in the classical theory of hedging pressure, and puts forward the basis of the previous research results. Speculators are likely to have better information and better research judgment, so it is preferable to assume that they are "mature", under which the variable "willingness of speculators to participate" has been introduced. It is proved that this variable will have an impact on the hedger's cost (risk premium), and then affect the pressure of hedging on the futures price. Inspired by previous studies on the characteristics of speculators' position data and information content, this paper explains how to construct proxy variables of "speculators' willingness to participate" by using the data of speculators' positions. Empirical results show that hedging pressure (or called hedging demand) has a significant impact on futures prices, supporting the classic theory of hedging pressure. "the willingness of speculators to participate" also has a significant impact on futures prices, supporting the speculators proposed in this paper are "mature" rather than "naive". Their willingness to participate will affect the hypothesis of risk premium. Therefore, the main contribution of this paper is to interpret the role of speculators in the theoretical framework of hedging pressure. The theory that speculators are "mature" rather than "childish" is put forward and verified, which combines the previous findings of "speculators have better information" with the classical theory of hedging pressure. In addition, the last chapter of this paper also points out that the research results of foreign stock index futures market have some implications for China's Shanghai and Shenzhen 300 stock index futures market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.9;F224

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