中国股指期货市场与股票市场风险联动关系研究

发布时间：2018-02-26 08:22

本文关键词： 股指期货股票现货风险预警风险传递　出处：《哈尔滨工业大学》2013年硕士论文　论文类型：学位论文

【摘要】：股指期货是成熟的金融资本市场必不可少的组成部分。在中国股指期货已经正式推出，并平稳运行的背景下，对股指期货市场与股票现货市场间的风险进行联动研究，能够为普通投资者的谨慎投资提供有益参考，并能够指导监管部门制定良性的风险管控机制，促进金融资本市场的规范运行。首先，以沪深300股票市场和沪深300股指期货市场为目标市场，，选取2008年至2013年的股票价格数据及2010年后运行较为完整的4支股指期货合约为样本，对数据进行基本分析，结果表明，两市场收益率序列均存在非正态、尾厚、峰尖的特点；两市场的收益波动具有同步性和集群性。其次，运用VECM模型和SVAR模型研究了两个市场之间的跨市场价量关系。结果表明，股票现货市场在向长期均衡的调整中占主导地位；两市场之间存在双向价格发现功能，但股指期货市场的价格发现能力高于现货市场；存在着期货价格引导现货价格的关系，领先时长为2天。再次，以股票现货市场自身收益在股指期货推出前后的变化为角度，分别运用均值分析、面板模型分析和EGARCH模型，分析了股指期货推出前后股票市场的收益波动变化情况。结果表明，股指期货的推出降低了现货市场的收益波动性，且随着期货市场逐步发展成熟，波动性的降低作用愈发明显。随后，以两市场的风险传递关系为角度，分别运用GARCH模型、EGARCH模型和PARCH模型研究了两市场的风险波动外溢性、利好及利坏关系对风险的传递性及日间信息与隔夜信息对风险的传递关系。结果显示，两市场存在着显著的双向风险波动溢出效果且风险信息的传递首先从股指期货市场向股票现货市场进行；股指期货市场向股票现货市场的好消息和坏消息的传递均具有瀑布效应和反向杠杆效应；两市场的日间收益和隔夜收益对对应市场日间收益具有显著影响，且现货市场对该信息的传递效率显著高于期货市场。最后，构建基于ARCH系列模型的CVaR方法风险预警体系，对两市场的自身风险及加入对应市场相关变量后的风险进行全面度量。研究发现，在推出股指期货后，股票现货市场的自身风险大幅下降；引入对应市场的风险相关变量后，两市场的VaR及CVaR数值均显著下降，说明充分利用两市场的风险信息，对平抑和规避市场风险作用巨大。
[Abstract]:Stock index futures is an indispensable part of mature financial capital market. Under the background of the formal introduction and smooth operation of stock index futures in China, the risk linkage between stock index futures market and spot stock market is studied. It can provide a useful reference for the prudent investment of ordinary investors, and can guide the regulatory authorities to formulate a sound risk control mechanism, and promote the standardized operation of financial capital market. First of all, taking CSI 300 stock market and CSI 300 stock index futures market as the target market, we select the stock price data from 2008 to 2013 and four complete stock index futures contracts running after 2010 as samples to analyze the data. The results show that the return series of the two markets have the characteristics of non-normal, tail thickness and peak tip, and the volatility of returns in the two markets is synchronous and clustered. Secondly, we use VECM model and SVAR model to study the cross-market price-volume relationship between the two markets. The results show that the stock spot market plays a leading role in the adjustment to the long-term equilibrium, and there is a two-way price discovery function between the two markets. But the price discovery ability of the stock index futures market is higher than that of the spot market, and there is a relationship between the futures price leading the spot price and the leading time is 2 days. Thirdly, from the point of view of the change of stock spot market self-income before and after the launch of stock index futures, using the mean analysis, panel model analysis and EGARCH model, respectively, The results show that the introduction of stock index futures reduces the return volatility of the spot market, and with the development of the futures market, the stock index futures market matures gradually. The reduction in volatility is becoming more pronounced. Then, based on the risk transfer relationship between the two markets, the risk volatility spillover of the two markets is studied by using GARCH model and PARCH model, respectively. The transmission of risk between good and bad and between daytime information and overnight information. The results show that, The two markets have significant two-way risk volatility spillover effect and the transmission of risk information from the stock index futures market to the stock spot market; Both good news and bad news transmission from stock index futures market to spot stock market have waterfall effect and reverse leverage effect. Moreover, the delivery efficiency of the information in the spot market is significantly higher than that in the futures market. Finally, the risk warning system of CVaR method based on ARCH series model is constructed to measure the risk of the two markets and the risk after the corresponding market variables are added. The results show that, after the introduction of stock index futures, The value of VaR and CVaR of the two markets are significantly decreased after introducing the relevant risk variables of the corresponding market, which indicates that the full use of the risk information of the two markets plays a great role in stabilizing and evading the market risks.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】