沪深300指数及其衍生品价格发现功能的研究

发布时间：2018-04-16 17:38

本文选题：沪深300指数 + 股指期货　；参考：《山东大学》2013年硕士论文

【摘要】：2005年4月,上海证券交易所和深圳证券交易所联合编制并发布了反映我国股票市场整体走势的沪深300指数,为我国的跨市场指数化投资和指数衍生品创新提供了萌芽的土壤。五年之后,证监会批准沪深300股指期货合约在中国金融期货交易所上市交易,这不权标志着中国股指明货市场的诞生,也意味着沪深300指数第一次拥有了自身的衍生品市场。七年之后,随着华泰柏瑞沪深300ETF和嘉实沪深300ETF基金产品的募资完成,首批以沪深300指数为投资标的的ETF基金正式宣告成立。至此,沪深300指数成为了我国金融市场上第一只同时拥有期货和ETF基金两个衍生品市场的指数。多数研究者认为,由于杠杆性、交易成本、交易限制条件等方而的差异,同一指数的不同市场往往具有不同的运行效率。基于此,本文从价格发现的角度,利用向量误差修正模型(VECM)和Lien, Shrestha(2009)提出的修正信息份额模型(Modified Information Share Model, MIS),选取1分钟高频数据对我国沪深300指数现货市场、期货市场和ETF市场的价格发现能力进行了比较研究,以判断各个市场的运行效率及其互动关系。从实证结果来看,Johansen协整检验表明沪深300指数现货、期货与ETF三个市场之间存在长期稳定的均衡关系。向量误差修正模型表明,短期内,期货市场对现货和ETF市场存在着单向价格引导关系,且对于ETF市场的引导力度更大、持续时间更长；现货市场对于ETF市场也存在着单向引导关系,但无论是引导力度还是持续时间,都弱于期货市场。长期来看,当三个市场的均衡关系被打破后,期货市场起到主要的定价功能,以引导其他两个市场的价格调整并重新回到长期均衡状态。接下来利用修正信息份额模型(MIS)定量分析各个市场在长期价格发现中的贡献程度。测度结果显示,期货市场对于长期均衡价格的形成起到最重要的作用,贡献度在80%左右；现货市场的贡献度较小,为20%左右；ETF市场对于价格的形成几乎不起作用。最后,论文结合价格发现假说和实证研究结果对三个市场不同价格发现能力的原因进行了比较分析,并指出了本研究对于投资决策的指导价值。
[Abstract]:In April 2005, Shanghai Stock Exchange and Shenzhen Stock Exchange jointly compiled and issued the CSI 300 Index, which reflects the overall trend of China's stock market, which provides a budding soil for cross-market indexed investment and index derivatives innovation in China.Five years later, the CSRC approved the listing of the CSI 300 stock index futures contract on the China Financial Futures Exchange, marking the birth of China's stock market and the first time that the CSI 300 index had its own derivatives market.Seven years later, with the completion of raising funds for Huatai Berui Shanghai and Shenzhen 300ETF and Castrol Shanghai and Shenzhen 300ETF funds, the first batch of ETF funds with the CSI 300 index as the investment target was officially established.So far, the CSI 300 index has become the first index in Chinese financial markets to have both futures and ETF derivatives markets.Most researchers believe that different markets in the same index often have different operating efficiency due to the differences in leverage, transaction costs and trading constraints.Based on this, from the point of view of price discovery, this paper uses vector error correction model (VECM) and modified information share model proposed by Lien, Shresthaer 2009) to modify Information Share Model, MISN, and selects 1-minute high frequency data to the spot market of CSI 300 index in China.The price discovery ability of futures market and ETF market is compared to judge the efficiency and interaction of each market.From the empirical results, the Johansen cointegration test shows that there is a long-term stable equilibrium relationship between the Shanghai and Shenzhen 300 index spot, futures and ETF markets.Vector error correction model shows that, in the short term, the futures market has a one-way price guidance relationship between spot market and ETF market, and the ETF market has a stronger guiding force and longer duration.The spot market also has the unidirectional guidance relation to the ETF market, but it is weaker than the futures market in both the guidance intensity and the duration.In the long run, when the equilibrium relationship of the three markets is broken, the futures market plays a major role in pricing to guide the price adjustment of the other two markets and return to the long-term equilibrium state.A revised information share model is then used to quantify the contribution of markets to long-term price discovery.The results show that the futures market plays the most important role in the formation of the long-term equilibrium price, the contribution is about 80%, and the contribution of the spot market is relatively small, about 20% of the ETF market has little effect on the formation of the price.Finally, combining the price discovery hypothesis and empirical research results, the paper makes a comparative analysis of the reasons for the different price discovery ability in the three markets, and points out the guiding value of this study for investment decision-making.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5

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