金融期货交易对现货市场信息效率和市场波动的影响研究

发布时间：2018-03-19 18:04

  本文选题：指数期货　切入点：市场波动　出处：《南京大学》2013年博士论文　论文类型：学位论文

【摘要】：正如O'Hara(1995)所指出,金融产品创新和交易方式变革对价格形成机制的影响一直是市场微观结构领域的核心问题。随着金融期货在资本市场体系中的地位迅速提升,投资者和监管者对期货推出是否改变现货市场运行质量的问题也日益重视,为此本文首先建立金融期货市场预期均衡模型,然后从实证角度检验期货交易对市场波动和信息效率的影响。现有的理论模型大多以商品期货市场为背景,强调期货投机交易的"风险分担"效应,并且高度依赖于对生产者或消费者行为做出的特定假设。当将其推广至纯投机性的金融市场时,Grossman(1977)和Cao(1999)发现引入期货交易将导致均衡消失或者对现货市场不存在任何影响。本文为解决上述困境放宽了文献中对市场完美性的传统假设,从投资决策的狭窄性框架以及现货交易的执行成本这两个角度出发,有效避免期货合约成为完全冗余资产的状况。引入期货市场为投资者提供了额外的信息传递渠道,提升其对资产价值的预期精度;但期货交易带来的噪声也会通过套利传导机制影响标的资产,增大现货价格的波动性。理论分析表明只要期货市场的噪声水平没有大幅高于现货市场,则"信息传递"效应的相对作用将强于"波动传导"效应,使金融期货交易发挥稳定现货市场并提升其信息效率的功能。本文随后讨论了金融期货交易与现货市场信息效率之间的联系,首先用倾向评分法构建匹配沪深300指数成分股的对照样本,然后以双重差分模型正面检验指数期货推出对现货市场定价误差、价格调整延迟以及交易信息含量的影响。收益率方差比分析显示指数成分与非成分股的收益率序列都具过度反应偏差,在控制了已知公司特征因素的条件下,成分股的定价误差在期货上市后相对于非成分股出现显著下降;进一步研究个股价格变动对滞后市场收益率的响应,发现期货上市使得成分股的长期价格调整延迟比相对照组显著减小,而支持短期调整延迟降低的证据较弱则说明市场效率提升主要源于期货交易的信息传递效应;最后,本文以开市与休市期间的价格变动比度量交易信息含量,实证结果表明当指数期货持仓量较大时成分股交易信息效率明显较高,但是非成分股却不受期货交易活动的显著影响。本文最后研究了沪深300指数期货交易与现货价格波动性之间的联系,发现以收益率标准差度量的现货市场非条件波动在期货推出后显著减小,而控制了全球和中国市场因素的EGARCH模型也显示标的指数的条件波动性同样出现显著下降,并且这一结论对于非对称波动响应、扰动项分布、现货成交量及样本区间选择等因素具有稳健性,进一步的方差结构分析还表明后期货时期市场深度提高,当期新息波动冲击有所增强,但其持续性和非对称性却显著减弱。更为重要的是通过分解与监管目标相一致的投机交易指标,本文证明蕴含丰富价值信息的突发性投机交易量是推动价格变化的重要因素,而反映信息吸收和信念更新过程的常规性投机交易量则与条件波动显著负相关,支持前述模型关于期货投机交易能提升现货市场稳定性的预测,在此基础上开展的随机波动分析和豪斯曼检验增强了结论的可靠性。沪深300指数期货是中国证券市场上首只金融期货产品,作为金融业长期发展与改革的前导而受到投资者和监管者的高度关注,厘清期货市场推出来带的利弊得失对金融衍生品的未来发展具有重要的现实意义。本文的理论和实证研究结果表明金融期货产品创新不仅为投资者提供了新的资产配置和风险管理选择,而且有利于改善现货市场的整体运行质量。
[Abstract]:As O'Hara (1995) pointed out that the impact of financial product innovation and changes in the way of transaction price formation mechanism is a key issue in the field of market microstructure. With the status of the financial futures in the capital market system rapidly, investors and regulators also pay more attention on whether to change the futures spot market operation quality problems, this paper firstly, the financial futures market expectation equilibrium model, and then from the perspective of empirical test of futures trading impact on market volatility and information efficiency. The existing theoretical models are based on the commodity futures market as the background, emphasis on futures speculation "risk sharing" effect, and are highly dependent on the specific assumptions made for the producer or consumer behavior. When the the promotion of pure speculative financial market, Grossman (1977) and Cao (1999) found that the introduction of futures trading will lead to equilibrium or disappear Who does not have any impact on the stock market. The relaxation of market perfect traditional assumptions in the literature to solve above problems, starting from the two angles of the narrow framework of investment decision and the spot transaction execution cost, effectively avoid the futures contracts become fully redundant assets. The introduction of futures market provides additional information transfer channel for the investors, improve the accuracy of the expected value of the assets; but the noise will also bring the futures trading through the arbitrage mechanism influences the underlying assets, increase the volatility of the spot price. Theoretical analysis shows that as long as the noise level of the futures market is not significantly higher than the spot market, "the relative role of information transfer" effect will be strong in the "volatility" effect, the financial futures trading to stabilize the spot market and improve the efficiency of information function. The thesis then discusses the financial futures exchange And between spot market information efficiency, control samples first with the tendency of constructing, the CSI 300 Index constituent stocks grading method, then with the double difference model test positive index futures on the spot market pricing errors, the price adjustment and the impact of delayed trading information content. Yield variance index composition and non constituent yields with excessive response bias than analysis showed that in the control of the known company characteristic factors under the condition of the pricing error of stocks declined significantly compared with the non constituent in the futures market; further research on stock price changes in response to lagged market returns, found that the futures market makes the long-term price adjustment of stock delay than contrast group decreased significantly, and the support of short-term adjustment reduces the delay in weak evidence indicates the market efficiency is mainly due to the futures trading The effects of information transmission; finally, based on the period of opening and closing price changes than the measure of trading information content, the empirical results show that when the index futures positions larger stocks trading information efficiency is higher, but non significant impact index is not affected by the futures trading activities. Finally, the Shanghai and Shenzhen ring between the 300 index futures and the spot price volatility, found to yield standard deviation measurement of non conditional volatility in spot market futures decreased significantly, and the control of the EGARCH model and Chinese global market factors also shows the conditional volatility of the underlying index also declined significantly, and this conclusion for the asymmetric wave response, disturbance the distribution of the robustness of spot volume and sample interval selection factors, further analysis of the variance structure also shows that after the period of futures market depth increase, The new interest volatility has increased, but the persistence and asymmetry was significantly weakened. What is more important is that through decomposition and supervision in accordance with the goal of speculative trading indicators, this paper proves that sudden speculative trading volume contains rich value of information is the important factor to promote the change of price, trading volume and conventional speculation reflect the information absorption and belief update process are and conditional volatility negatively related to support the model predictions about futures trading can improve the stock market stability, Stochastic Volatility Analysis and Houseman test carried out on the basis of enhancing the reliability of the conclusion. The Shanghai and Shenzhen 300 index futures is Chinese securities market's first financial futures products as the leading the financial industry long-term development and reform and attention by investors and regulators, to clarify the pros and cons of the futures market to push out with financial The future development of derivatives has important practical significance. The theoretical and empirical research results in this paper show that financial futures product innovation not only provides investors with new asset allocation and risk management options, but also helps to improve the overall quality of the spot market.

【学位授予单位】：南京大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F724.5
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本文编号：1635392