股指期货交易对现货市场波动性的影响
发布时间：2018-07-22 11:58
【摘要】：中金所在2010年4月16日正式推出沪深300指数期货,它的引入是我国金融市场发展的重要标志,对促进我国资本市场持续健康的发展具有重要意义。 沪深300股指期货推出后便得到快速发展,但这也引起了监管者、投资者的高度关注。我们关注的是,股指期货的推出这一事件对股票市场波动有何种影响?股指现货和期货市场的联动关系(均值溢出和波动溢出效应)如何?本文利用股指期货的真实交易数据,分别建立一元GARCH(GARCH(1,1)模型)、VEC模型以及多元GARCH(DCC模型和BEKK模型)为基础的实证模型,对以上问题进行了回答。 研究发现,股指期货的引入在一定程度上提高了现货市场的运行质量,具体来说,它的推出有以下几个方面的作用：(1)现货市场波动率受股指期货推出的影响有一定程度下降,下降的幅度在统计意义上显著,但却不具有经济显著性。同时,股指期货的推出使市场信息的传递效率加快,也就是说,新信息可以很快到反应到价格中,而旧信息对市场波动的影响被削弱。(2)通过研究现货的交易量效应和期货的持仓量效应,我们发现,股指期货推出后不仅现货市场的波动性有所降低,波动中所含的信息成分有所增加,同时,现货市场深度也有显著提升,也就是说市场吸收剧烈波动而保持稳定的能力有了显著提高。(3)股指期货和现货的高频价格序列存在协整关系,同时,期现两市间的信息传导是双向的,从长期的角度来看,两市场间的非均衡状态可以得到一定的调整,这证实了股指期货和现货市场间存在均值溢出效应。(4)股指期货市场与股票现货市场的收益率并不是完全正相关的,短期内可出现较大幅度调整,同时,股指现货与股指期货之间存在显著的波动溢出现象,且这种波动溢出效应是非对称的,也具有长期的持续性。股指期货与现货指数间的波动溢出效应证明了,两市之间存在信息传递,期货市场将额外的信息传递至股票现货市场。
[Abstract]:CSI 300 Index Futures was officially launched by CICC on April 16, 2010. Its introduction is an important symbol of the development of China's financial market and plays an important role in promoting the sustainable and healthy development of China's capital market. Shanghai and Shenzhen 300 stock index futures after the introduction of rapid development, but this has also attracted the attention of regulators and investors. What we are concerned about is the impact of the launch of stock index futures on the volatility of the stock market. How about the linkage relationship between stock index spot and futures market (mean spillover and volatility spillover)? Based on the real trading data of stock index futures, this paper establishes the univariate GARCH (GARCH) VEC model and the multivariate GARCH (DCC model and BEKK model) as the empirical models, and answers the above questions. It is found that the introduction of stock index futures improves the operating quality of the spot market to a certain extent. Specifically, the introduction of stock index futures has the following functions: (1) the volatility of the spot market is affected by the introduction of the stock index futures to a certain extent. The decline was statistically significant, but not economically significant. At the same time, the introduction of stock index futures speeds up the transmission efficiency of market information, that is, new information can be quickly reflected to the price. However, the influence of old information on market volatility is weakened. (2) by studying the spot trading volume effect and the position effect of futures, we find that not only the volatility of spot market has been reduced after the introduction of stock index futures, The information component contained in the fluctuations has increased, while the depth of the spot market has also increased significantly. That is to say, the ability of the market to absorb violent fluctuations and maintain stability has been significantly improved. (3) there is a cointegration relationship between the high-frequency price sequences of stock index futures and spot prices. At the same time, the information transmission between the two cities is two-way, from a long-term perspective, The disequilibrium state between the two markets can be adjusted to a certain extent, which proves that there is a mean spillover effect between stock index futures and spot market. (4) the return of stock index futures market and stock spot market is not completely positive correlation. At the same time, there is a significant volatility spillover between stock index spot and stock index futures, and this volatility spillover effect is asymmetrical and has long-term persistence. The volatility spillover effect between stock index futures and spot index proves that there is information transmission between the two markets, and the futures market transfers additional information to the stock spot market.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224
本文编号：2137397
[Abstract]:CSI 300 Index Futures was officially launched by CICC on April 16, 2010. Its introduction is an important symbol of the development of China's financial market and plays an important role in promoting the sustainable and healthy development of China's capital market. Shanghai and Shenzhen 300 stock index futures after the introduction of rapid development, but this has also attracted the attention of regulators and investors. What we are concerned about is the impact of the launch of stock index futures on the volatility of the stock market. How about the linkage relationship between stock index spot and futures market (mean spillover and volatility spillover)? Based on the real trading data of stock index futures, this paper establishes the univariate GARCH (GARCH) VEC model and the multivariate GARCH (DCC model and BEKK model) as the empirical models, and answers the above questions. It is found that the introduction of stock index futures improves the operating quality of the spot market to a certain extent. Specifically, the introduction of stock index futures has the following functions: (1) the volatility of the spot market is affected by the introduction of the stock index futures to a certain extent. The decline was statistically significant, but not economically significant. At the same time, the introduction of stock index futures speeds up the transmission efficiency of market information, that is, new information can be quickly reflected to the price. However, the influence of old information on market volatility is weakened. (2) by studying the spot trading volume effect and the position effect of futures, we find that not only the volatility of spot market has been reduced after the introduction of stock index futures, The information component contained in the fluctuations has increased, while the depth of the spot market has also increased significantly. That is to say, the ability of the market to absorb violent fluctuations and maintain stability has been significantly improved. (3) there is a cointegration relationship between the high-frequency price sequences of stock index futures and spot prices. At the same time, the information transmission between the two cities is two-way, from a long-term perspective, The disequilibrium state between the two markets can be adjusted to a certain extent, which proves that there is a mean spillover effect between stock index futures and spot market. (4) the return of stock index futures market and stock spot market is not completely positive correlation. At the same time, there is a significant volatility spillover between stock index spot and stock index futures, and this volatility spillover effect is asymmetrical and has long-term persistence. The volatility spillover effect between stock index futures and spot index proves that there is information transmission between the two markets, and the futures market transfers additional information to the stock spot market.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224
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