中国股票与股指期货跨市场交易系统性风险研究

发布时间：2018-01-09 12:16

本文关键词：中国股票与股指期货跨市场交易系统性风险研究　出处：《天津财经大学》2016年博士论文　论文类型：学位论文

【摘要】：近几年,中国的股票市场和股指期货市场得到了长足的发展。然而,根据《中国证券业发展报告2014》显示,中国股票与股指期货跨市场交易面临着巨大的风险威胁,特别是股票与股指期货跨市场交易系统性的风险。本文对中国股票与股指期货跨市场交易系统性风险的产生和传播机制进行了理论和实证分析,并构建了中国股票与股指期货跨市场交易系统性风险预警指标体系,旨在为了更好地认识股票与股指期货跨市场交易系统性风险并加强管控,促进中国资本市场的健康发展。首先,本文在对股票与股指期货跨市场交易系统性风险研究相关文献系统梳理的基础上,从理论视角分析了股票与股指期货跨市场交易系统性风险的影响因素,并运用因子分析和聚类分析方法将16个影响因素归为三类影响因素:第一类因素为证券交易管理规则系统影响因素,包括市场扩容、印花税、上市公司的结构和信息披露;第二类因素为股票系统因素和股指期货系统因素,包括股票交易系统的运行周期、股票机构投资者和股票投资者规模、股指期货机构投资者和股指期货投资者规模;第三类因素为外部环境因素,包括宏观经济周期、QFII制度、GDP、利率、汇率、通货膨胀和货币政策。其次,本文分别运用结构方程模型(SEM)、联合概率模型(JPOD)以及风险传染模型和Copula模型,对股票与股指期货跨市场交易系统性风险产生的单因素作用机制、共同冲击作用机制和风险传染机制进行了理论和实证分析,认为:(1)证券交易管理规则系统影响因素、股票系统因素、股指期货因素、外部因素影响因素分别会导致股票与股指期货跨市场交易系统性风险的形成,股票系统影响因素、股指期货影响因素分别通过证券交易管理规则系统因素会导致股票与股指期货跨市场交易系统性风险的形成,以上构成了中国股票与股指期货跨市场交易系统性风险的单因素产生机制;(2)股票与股指期货自身系统六大特性,联合其他外在因素引起共同冲击,得出三个共同冲击作用机制,即致宏观经济经济周期波动和信贷膨胀、资产价格的剧烈波动、宽松货币政策与政府支出的财政政策分别会导致股票与股指期货跨市场交易系统性风险的产生;(3)当股票市场和股指期货市场进行跨市场交易时,若其中至少有一个市场存在系统性风险,就会导致二者之间系统性风险的相互传染,证明了股票与股指期货跨市场交易系统性风险的传染机制。第三,根据上述对股票与股指期货跨市场交易系统性风险产生的影响因素及产生和传染机制的分析,运用层次分析法(AHP)构建中国股票与股指期货跨市场交易系统性风险的预警指标体系,并采用数据包络分析法(DEA),运用2009年到2014年的实证数据,对构建的预警指标体系效率进行分析,检验其预警效率基本上都是1,表明可以预测系统性风险,指标体系有效。最后,对于上述分析的结论进行总结,从宏观、中观、微观三个层面提出防范中国股票与股指期货跨市场交易系统性风险产生的建议,包括完善人民币汇率形成机制、完善监管体系、建立金融产品跨市场交易系统性风险的早期预警处理体系、实行股票做空制度、加强对投资者的教育引导、动态防范跨市场异常的交易行为等。但是,由于中国股票市场、股指期货市场随着市场经济的不断发展和金融改革的不断深化而变化,其跨市场交易影响因素和市场制度也会进一步变化,本文选取的影响因素、建立的预警体系指标等还需进行进一步跟踪研究。
[Abstract]:In recent years, Chinese stock market and stock index futures market has been rapid development. However, according to the China securities industry development report 2014> shows that the cross market trading China stock and stock index futures is facing a huge risk, especially the stock and stock index futures market risk across the system. In this paper, Chinese stock with the stock index futures market transaction system of risk generation and propagation mechanism of the theoretical and empirical analysis, and build a cross market risk early warning index system of Chinese stock and stock index futures trading system, to in order to better understand the stock and stock index futures market transaction system and strengthen risk control, promote the healthy development of the capital market China at first, the underlying transaction system risk related literature systematically in the cross market and stock index futures on the stock of this paper, from the angle of theory analysis. The influencing factors of cross market trading system risk of stock and stock index futures, and the 16 factors are classified into three categories of factors using factor analysis and cluster analysis: the first factor is the management rules of the securities trading system factors, including market expansion, tax structure and information disclosure of listed companies; the second factors as the stock index futures system factors and system factors, including the running cycle of stock trading system, stock investors and stock investors, institutional investors and stock index futures stock index futures investors scale; third factors as the external environmental factors, including macro economic cycle, QFII system, GDP, interest rate, exchange rate, inflation and monetary policy. Secondly in this paper, using the structural equation model (SEM), the joint probability model (JPOD) and the risk contagion model and Copula model, the stock index futures with cross The mechanism of the single factor market trading system of risk, common shock mechanism and risk contagion mechanism are analyzed, theoretical and empirical analysis that: (1) factors affecting securities trading rules management system, stock system, stock index futures factors, external factors are factors can lead to the formation of cross market risk and stock trading system the stock index futures, stock system factors influence factors, the impact of stock index futures respectively by the rules governing the securities trading system factors will lead to cross market trading system of stock index futures risk and the formation of the above constitutes the single factor market systemic risk Chinese stock and stock index futures mechanism; (2) stock and stock index futures the system has six characteristics, combined with other external factors caused by common shocks, obtained three common impact mechanism, which is caused by macro economic cycle Volatility and credit expansion, asset price volatility, loose monetary policy and fiscal policy are government spending will lead to market system risk of stock and stock index futures; (3) when the stock market and stock index futures market for cross market transactions, if at least one of market systemic risk, will cause the mutual infection between the two systemic risk, that the contagion mechanism of cross market trading system risk of stock and stock index futures. Third, according to the analysis of the influence factors on stock and stock index futures market systemic risk and contagion mechanism and, using the analytic hierarchy process (AHP) early warning index system construction China stock and stock index futures market systemic risk, and analysis method based on data envelopment (DEA), the empirical data using 2009 to 2014, on the construction of the Analysis of the efficiency of early warning index system to test its warning efficiency basically is 1, that can predict the systemic risk, effective index system. Finally, for the above analysis conclusion was summarized, from the macro, meso and micro three levels put forward Chinese stock and stock index that cross market risk arising from the futures trading system including, improve the RMB exchange rate formation mechanism, improve the regulatory system, early warning system to establish financial products market systemic risk, the stock short system, enhance investor education to guide the dynamic cross market trading behavior, prevent abnormal. However, due to Chinese stock market, stock index futures market changing with the deepening development of market economy and financial reform, the market factors and the market system will be further changes, this paper selected for effect The index of the early warning system should be further tracked.

【学位授予单位】：天津财经大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F832.51;F724.5

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