我国股指期货功能发挥的实证研究

发布时间：2018-06-02 03:04

本文选题：沪深300指数期货 + 价格发现　；参考：《西南交通大学》2013年博士论文

【摘要】：2010年4月16日,沪深300指数期货正式上市交易,中国资本市场跨过了一个具有历史意义的里程碑。作为一种投资避险工具,沪深300指数期货的推出,不仅填补了国内证券市场做空机制的空白,同时对完善我国资本市场结构,解决社会财富的二次分配有着重要意义。指数期货具有价格发现、套期保值和投机三大基本功能,本文利用沪深300指数期货两年多来的真实交易数据,全面实证分析我国指数期货这三大基本功能的发挥情况。为了检验沪深300指数期货与现货间的价格发现功能及波动性外溢现象,利用向量误差修正模型判断两个市场间价格发现能力的强弱,并以EC-DCC-(BV) GARCH模型对波动性外溢现象加以探讨。针对2010年4月16日至2012年8月15日之间的日交易数据和日内15分钟交易数据进行分析,得到以下结论,长期来看,沪深300指数现货是整个系统中价格变动的领先指标,而短期来看,沪深300指数期货是整个系统中价格变动的领先指标,沪深300指数现货具有长期的价格发现功能,沪深300指数期货则具有短期的价格发现功能；沪深300指数现货与沪深300指数期货价格间存在着双向的波动溢出效果,沪深300指数期货价格的冲击和条件波动加大了沪深300指数现货价格的条件波动,而沪深300指数现货价格的冲击和条件波动减少了沪深300指数期货价格的条件波动；在日线级别上,现货对期货的波动溢出效果强于期货对现货的波动溢出效果,而在日内15分钟线级别上,期货对现货的波动溢出效果强于现货对期货的波动溢出效果。我国指数期货市场的价格发现功能并不强,主要原因可能在于沪深300指数期货投机性较强,短期对新信息常过渡反映,但长期来看最终要回到均衡价格水平。股价指数期货套期保值比率的估计是股票投资者从事套保策略时的一个关键,本文使用传统的天真套保模型、OLS模型、单元GARCH模型、VAR模型和ECM模型等静态模型以及CCC模型、VARMA-AGARCH模型、DCC模型和BEKK模型等动态模型,构建在同步交易时段和非同步交易时段进行的择时套期保值策略,针对沪深300指数期货和现货的日交易数据加以实证。结果显示,在同步交易时段进行套保,其套保绩效比在非同步交易时段进行套保的绩效要好,套保绩效平均高出约3至4个多百分点；动态套保模型的绩效整体优于静态套保模型的绩效；静态模型中OLS模型的套保绩效最好,动态模型中BEKK模型、VARMA-AGARCH模型等的套保绩效各有千秋。这些结论与交易时段期现货的相关性更高及动态模型更贴近价格序列特征等因素有关。尽管投机操作在股指期货的其他功能是否能够正常发挥中起着重要的作用,但对沪深300指数期货投机功能的研究,国内外均缺乏相关的实证分析。本文提出市场异象是进行投机的理论依据之一,并实证考查了我国股指期货的四个日历异象：日内效应、周内效应、隔夜效应和月内效应。紧接着构建日内程式化交易系统,并应用先前研究结论之周内效应作为过滤器,对沪深300指数期货的投机功能进行了检测。结果表明,沪深300指数期货在样本期内存在周一负收益效应；价格波动突破系统和动力系统在扣除掉手续费和滑点后,仍能获得超过50%的年化收益；而加入周内效应过滤器后,显著改善了投机绩效。沪深300指数期货在推出初期的这两年具备良好的投机功能。文章最后部分基于前面的实证研究结果进行总结,得出结论,并对我国股指期货功能发挥的实际情况进行评价和阐述,在此基础上,提出了未来的研究方向和建议。
[Abstract]:In April 16, 2010, Shanghai and Shenzhen 300 index futures were formally listed, and China's capital market has crossed a historic milestone. As an investment avoidance tool, the introduction of Shanghai and Shenzhen 300 index futures has not only filled the blank of the domestic stock market, but also improved our capital market structure and solved social wealth. The two distribution is of great significance. The index futures have three basic functions: price discovery, hedging and speculation. This paper uses the real transaction data of Shanghai and Shenzhen 300 index futures for more than two years to fully demonstrate the three basic functions of China's index futures.
In order to test the price discovery function and volatility spillover between the Shanghai and Shenzhen 300 index futures and the spot, the vector error correction model is used to determine the strength of the price discovery ability between the two markets, and the EC-DCC- (BV) GARCH model is used to discuss the volatility spillover phenomenon. In the long run, the Shanghai and Shenzhen 300 index is the leading index of the price change in the whole system, and in the short term, the Shanghai and Shenzhen 300 index futures are the leading index of the price change in the whole system, and the Shanghai and Shenzhen 300 index spot has a long-term price discovery function and the Shanghai and Shenzhen 300 index in the short term. Futures have a short-term price discovery function; there is a two-way volatility spillover effect between the Shanghai and Shenzhen 300 index spot and the Shanghai and Shenzhen 300 index futures prices. The impact of the Shanghai and Shenzhen 300 index futures price and the condition fluctuation increase the condition fluctuation of the spot price of the Shanghai and Shenzhen 300 index, while the impact of the spot price of the Shanghai and Shenzhen 300 index and the fluctuation of the conditions are reduced. In the daily line level, the effect of spot volatility spillover on futures is stronger than the volatility spillover effect on spot. At the 15 minute line level in the day, the effect of futures to spot volatility is stronger than the effect of spot volatility on futures. The price of China's index futures market is found. The function is not strong, the main reason may be that the Shanghai and Shenzhen 300 index futures are highly speculative, and the short-term response to the new information is often reflected, but in the long run, it is necessary to return to the equilibrium price level.
The estimation of the hedging ratio of stock index futures is a key point for stock investors to engage in hedging strategy. This paper uses traditional naive hedging model, OLS model, unit GARCH model, VAR model and ECM model as well as CCC model, VARMA-AGARCH model, DCC model and BEKK model and other dynamic models, which are constructed in synchronous transaction. The timing hedging strategy of time and non synchronous trading period is used to demonstrate the daily transaction data of the futures and spot of the Shanghai and Shenzhen 300 index. The results show that the hedging performance is better than that in the non synchronous trading period. The performance of hedging is about 3 to 4 hundred points higher than that in the non synchronous trading period. The performance of the dynamic hedging model is better than that of the static hedging model. In the static model, the hedging performance of the OLS model is the best, the BEKK model and the VARMA-AGARCH model in the dynamic model have different hedging performance. These conclusions have higher correlation with the trading time spot and the dynamic model is closer to the price sequence characteristics. Close.
Although the speculative operation plays an important role in whether the other functions of stock index futures can be used normally, the research on the futures speculative function of the Shanghai and Shenzhen 300 index futures is lack of relevant empirical analysis at home and abroad. This paper proposes that the market anomalies are one of the theoretical bases for speculation, and the four calendars of China's stock index futures are examined. The intraday effect, the intraday effect, the overnight effect and the intraday effect. Then the intra day stylized trading system was constructed, and the Intraday Effect of the previous research conclusions was used as a filter to detect the speculative function of the Shanghai and Shenzhen 300 index futures. The results showed that the Shanghai and Shenzhen 300 fingers futures had a negative return effect on Monday in the sample period. Price fluctuations break through the system and power system after deducting fees and slippery points, and still get more than 50% of the annual income, and after joining the intraday effect filter, it significantly improves the speculative performance. The Shanghai and Shenzhen 300 index futures have good speculative function in the initial two years.
The last part of the article is based on the conclusion of the previous empirical research, draws the conclusion, and evaluates and expounds the actual situation of the function of the stock index futures in China. On this basis, it puts forward the future research direction and suggestions.
【学位授予单位】：西南交通大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F724.5

【参考文献】