沪深300股指期货市场冲击成本研究

发布时间：2018-03-29 12:52

本文选题：股指期货　切入点：交易成本　出处：《西南交通大学》2013年硕士论文

【摘要】：随着全球期货市场蓬勃发展,投资者通过市场间的信息不对称在期货市场上进行无风险套利已经越来越困难,在交易中发生的各种交易成本将是投资者重点关注的内容。本论文将主要针对不确定性交易成本进行研究,重点考察不确定性成本中的冲击成本,在国际上通常用冲击成本来衡量市场的流动性。冲击成本与股指期货机构投资者的交易执行策略紧密相关,会对投资者的收益产生直接影响。准确的度量冲击成本将有助于股指期货大额交易者制定大额指令执行策略,减少在交易过程中的冲击成本；对于期货市场交易规则制定者或市场监管者来说,了解期货市场冲击成本的大小对改进交易制度并制定有效的交易制度来提高期货市场效率具有重要的意义。本文提出了期货市场冲击成本的度量公式,构建冲击成本影响因素线性回归模型,并对沪深300股指期货交易的高频数据加以实证。实证部分测算了沪深300股指期货市场实现冲击、永久冲击、瞬时冲和隐含冲击,并在冲击成本度量结果的基础上考察了其日内模式。通过引入指令规模、日价格变动、日结算价、日成交量、日持仓量五个解释变量建立冲击成本多元回归模型,并考察这几个变量对市场冲击成本产生的影响。论文的实证研究结论表明,沪深300股指期货市场大额交易存在显著的冲击成本,股指期货市场冲击成本随着指令规模扩大而增加,沪深300股指期货市场买卖之间不存在显著的差异性；沪深300股指期货市场的各类冲击成本明显小于中国股票市场,沪深300股指期货市场的冲击成本大于国外股指期货市场；股指期货合约有明显的日内走势规律：上午偏高,下午偏低,开盘时冲击成本相对较高,收盘时冲击成本相对较低；冲击成本影响因素分析显示指令规模和价格变动对冲击成本影响较大。买指令对应的冲击成本与指令规模和价格变动成正比,与日结算价、日成交量、日持仓量成反比。指令规模越大,冲击成本越大；日价格变动越大,冲击成本越大；日结算价格水平越高,冲击成本越小；日持仓量越大,冲击成本越小
[Abstract]:As global futures markets flourish, it has become increasingly difficult for investors to carry out risk-free arbitrage in futures markets through information asymmetries between markets. All kinds of transaction costs will be the focus of investors' attention. This paper will focus on the uncertainty of transaction costs, focusing on the impact costs of uncertain costs. Internationally, the impact cost is commonly used to measure the liquidity of the market. The impact cost is closely related to the trading execution strategy of institutional investors in stock index futures. Accurate measurement of impact cost will help large stock index futures traders to formulate large order execution strategy and reduce the impact cost in the course of trading. For the futures market, it is of great significance to understand the impact cost of the futures market to improve the trading system and establish an effective trading system to improve the efficiency of the futures market. In this paper, a formula for measuring the impact cost of futures market is proposed, and a linear regression model of the impact factors of the impact cost is constructed. The empirical part measures the impact of Shanghai and Shenzhen 300 stock index futures market, the permanent impact, the instantaneous impact and the implicit impact. Based on the results of impact cost measurement, the paper investigates its intraday model. By introducing five explanatory variables, order scale, daily price change, daily settlement price, daily turnover and daily position, a multiple regression model of impact cost is established. And examine the impact of these variables on the impact of market costs. The empirical research results show that there is a significant impact cost in the Shanghai and Shenzhen 300 stock index futures market, and the impact cost of the stock index futures market increases with the expansion of the order scale. There is no significant difference between the trading of Shanghai and Shenzhen 300 stock index futures market, the impact cost of Shanghai and Shenzhen 300 stock index futures market is obviously lower than that of Chinese stock market, and the impact cost of Shanghai and Shenzhen 300 stock index futures market is higher than that of foreign stock index futures market. Stock index futures contracts have obvious intraday trend: high in the morning, low in the afternoon, relatively high impact costs at the opening, and relatively low at the close; The analysis of the factors influencing the impact cost shows that the order size and the price change have a great impact on the impact cost. The impact cost corresponding to the purchase order is directly proportional to the order size and price change, and it is proportional to the daily settlement price and daily trading volume. The larger the order size, the greater the impact cost; the greater the daily price change, the greater the impact cost; the higher the daily settlement price level, the smaller the impact cost; the larger the daily position, the smaller the impact cost
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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