国债期货市场运行效率实证研究

发布时间：2018-05-25 16:36

本文选题：国债期货 + 弱式信息有效　；参考：《青岛大学》2017年硕士论文

【摘要】：中国国债期货市场在关闭18年后于2013年重新开启,国债期货市场作为重要的利率风险规避途径,市场的有效性如何越来越受到人们的关注,因此本文将针对我国国债期货市场的有效性进行全面研究。本文的研究将分为以下几个部分:首先,对以往期货市场有效性研究的相关文献进行梳理和归纳;其次,针对中国国债期货市场进行有效性的界定,并选定实证检验中的方法;第三,对中国国债期货市场的信息有效性和功能有效性进行实证检验;第四,根据实证检验的结果,分析导致有效性不足的原因,并提出相应的改进建议。关于国债期货市场的有效性检验,本研究主要分为两个方向:国债期货市场的信息有效性和功能有效性。信息有效性的理论依据是有效市场假说,根据这一理论,信息有效的程度主要体现在期货价格对于信息的反应能力上,当期货价格反映了所有历史信息,市场就达到了弱式信息有效。对于期货市场的功能有效性来说,主要分为以下三大功能:价格发现、投机套利和套期保值。这三种功能发挥的效果反映了国债期货市场是否达到功能有效。在此基础上,本文分别对中国的国债期货市场进行信息有效性检验和功能有效性检验。在信息有效性检验中,通过ADF单位根检验、序列自相关检验和游程检验等方法,验证了 5年期国债期货日对数收益率序列平稳、服从随机游走,说明市场已达到弱式信息有效,但10年期国债期货市场未通过检验,认为其尚未完全达到弱式信息有效。在功能有效性的检验中,本文分别使用了 Granger因果关系检验、误差修正模型和OLS回归等方法,发现中国5年期国债期货市场可以发挥价格发现功能,但投机套利和套期保值功能发挥较差,10年期国债期货市场功能发挥稍好,但综合考虑认为功能有效性仍然不足。根据检验结果和国债期货市场的实际状况,本研究认为目前国债期货市场存在与现货市场割裂、投资者比例不合理、流动性不足、期货产品种类较少、利率市场化缓慢等问题,并针对这些问题提出了政策建议。
[Abstract]:China's treasury bond futures market reopened in 2013 after it was closed for 18 years. As an important way to avoid interest rate risks, the effectiveness of China's treasury bond futures market has attracted more and more attention. Therefore, this paper will conduct a comprehensive study on the effectiveness of China's treasury bond futures market. The research of this paper will be divided into the following parts: firstly, combing and summing up the relevant literatures of the former research on the effectiveness of futures market; secondly, defining the validity of the futures market of China's treasury bonds, and selecting the methods in the empirical test; Third, the information effectiveness and functional effectiveness of the Chinese treasury bond futures market are tested empirically. Fourthly, according to the results of empirical test, the causes of the lack of effectiveness are analyzed, and the corresponding suggestions for improvement are put forward. As to the validity test of the treasury bond futures market, this research mainly divides into two directions: the information validity and the function validity of the treasury bond futures market. The theoretical basis of information effectiveness is the efficient market hypothesis. According to this theory, the degree of information effectiveness is mainly reflected in the ability of futures prices to react to information, when futures prices reflect all historical information. The market has achieved weak information efficiency. For the functional effectiveness of the futures market, it is divided into the following three main functions: price discovery, speculative arbitrage and hedging. The effect of these three functions reflects whether the treasury bond futures market is functional or not. On this basis, this paper carries on the information validity test and the function validity test to the Chinese treasury bond futures market. In the information validity test, through the methods of ADF unit root test, sequence autocorrelation test and run line test, it is verified that the daily logarithmic yield sequence of 5-year Treasury bond futures is stable, and the daily logarithmic yield sequence of 5-year Treasury bond futures is stable. It shows that the market has reached the weak information efficiency, but the 10-year Treasury bond futures market has not passed the test, and considers that it has not completely reached the weak information efficiency. In the functional validity test, this paper uses Granger causality test, error correction model and OLS regression, respectively, to find that the futures market of 5-year Treasury bonds in China can play the role of price discovery. However, the function of speculative arbitrage and hedging is poor, the function of 10-year Treasury bond futures market is better, but the comprehensive consideration is that the function effectiveness is still insufficient. According to the test results and the actual situation of the treasury bond futures market, this study considers that the current treasury bond futures market is separated from the spot market, the proportion of investors is unreasonable, the liquidity is insufficient, the types of futures products are fewer, and the interest rate marketization is slow, and so on. Some policy suggestions are put forward to solve these problems.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F724.5

【相似文献】