本文關(guān)鍵詞： 股指期貨 MS-EGARCH 非對稱 成交量 中外比較　出處：《東北財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：2006年2月8日,為了推進(jìn)股指期貨上市的準(zhǔn)備工作,國務(wù)院批準(zhǔn)中國證監(jiān)會成立了“金融期貨籌備領(lǐng)導(dǎo)小組”,并于當(dāng)年9月8日批準(zhǔn)成立了中國金融期貨交易所。經(jīng)過4年的準(zhǔn)備階段,2010年4月16日,中國金融期貨交易所推出以滬深300指數(shù)為標(biāo)的物的國內(nèi)第一份股指期貨合約。股指期貨的推出為投資者提供了投資組合工具,用于管理非系統(tǒng)風(fēng)險,還為投資者提供套期保值機(jī)會以防范系統(tǒng)風(fēng)險。除此之外,投資者還可以利用股指期貨進(jìn)行套利,獲得無風(fēng)險收益。股指期貨的保證金交易制度具有極大的杠桿作用,可以使投資者以較低的成本獲得較高的收益。同時在風(fēng)險管理、套利研究等方面,對股指期貨波動的預(yù)測都起到了重要作用。特別是隨著股指期貨市場的活躍,金融衍生產(chǎn)品的不斷推出,波動性作為金融產(chǎn)品定價的一個基礎(chǔ)指標(biāo),其研究意義日益突出。 本文主要討論三個問題：第一,對于股指期貨收益率波動非對稱性研究。第二,股指期貨市場收益率波動與成交量之間的關(guān)系研究。第三,基于這兩個問題比較滬深300股指期貨與香港、韓國和日本股指期貨波動特征的比較分析。論文的內(nèi)容圍繞這三個方面展開進(jìn)行,在綜合前人研究的基礎(chǔ)上,本文建立了MS-EGARCH模型對滬深300股指期貨與其他幾種股指期貨收益率波動非對稱性特征進(jìn)行了討論,并對結(jié)論作出合理的解釋。另外,在MS-EGARCH模型的基礎(chǔ)上,通過在條件方差方程中引入成交量,研究了成交量與收益率波動之間的關(guān)系。最后比較國內(nèi)滬深300股指期貨與其他成熟市場股指期貨市場波動特征并做出比較分析。 本文得出的主要結(jié)論有： 1.通過建立兩狀態(tài)MS-EGARCH模型,本文得出在高波動狀態(tài)和低波動狀態(tài)中,我國滬深300股指期貨與香港恒生股指期貨、韓國KOSPI200股指期貨和日經(jīng)225股指期貨具有相同的非對稱特征,即在兩種波動狀態(tài)中,壞消息均相對與好消息更能加劇股指期貨市場的波動。 2.通過在MS-EGARCH模型中引入成交量變量,本文驗(yàn)證了我國滬深300股指期貨與香港恒生股指期貨、韓國KOSPI200股指期貨和日經(jīng)225股指期貨的收益率波動與成交量的關(guān)系,本文發(fā)現(xiàn)我國滬深300股指期貨的收益率波動在高波動與低波動狀態(tài)下都與成交量呈正相關(guān)關(guān)系,并且在高波動狀態(tài)中具有更加強(qiáng)烈的相關(guān)性。 3.本文通過比較不同波動狀態(tài)下股指期貨的波動特征,.發(fā)現(xiàn)香港恒生股指期貨、韓國KOSPI200股指期貨和日經(jīng)225股指期貨的高波動狀態(tài)對應(yīng)的是市場動蕩的階段,而低波動狀態(tài)對應(yīng)著市場波動穩(wěn)定的階段,而我國滬深300股指期貨的高波動狀態(tài)對應(yīng)的是市場走勢上升的階段,而低波動狀態(tài)對應(yīng)市場走勢低迷的階段。 本文的創(chuàng)新之處表現(xiàn)為： 第一,本文采用兩狀態(tài)MS-EGARCH模型分析了我國滬深300股指期貨與香港、韓國、日本幾個市場的股指期貨收益率波動的非對稱性特征,分析不同狀態(tài)下的非對稱性是否有差異。 第二,本文通過在MS-EGARCH模型的條件方差方程中引入新的成交量變量,這樣可以分析不同狀態(tài)下收益率波動與成交量之間的關(guān)系。 第三,通過比較不同市場股指期貨收益率波動的非對稱性不同特征。把握我國股指期貨市場波動與幾種相對成熟的市場的股指期貨波動特征的差異,為我國股指期貨市場的發(fā)展提出建議。 本文的不足之處： 第一,本文分析比較了我國滬深300股指期貨與亞洲成熟市場的幾種股指期貨連續(xù)合約之間的波動特征,而沒有考慮其他幾種合約。實(shí)際上,在投資者投資時,可以同時持有多個合約,本文只是取了交易最為活躍的當(dāng)月和當(dāng)季連續(xù)合約作為研究對象,得到的結(jié)論不一定適用于其他幾種合約。 第二,本文旨在分析股指期貨波動非對稱特征、波動與成交量之間關(guān)系以及中外比較分析。由于我國股指期貨上市時間只有兩年的時間,可用的樣本量較少,并且由于時間和精力有限,對于MS-EGARCH模型對于股指期貨市場波動的預(yù)測問題并沒有進(jìn)行深入討論,在以后研究中需要把問題轉(zhuǎn)向MS-EGARCH模型的預(yù)測問題上來。
[Abstract]:In February 8, 2006, in order to promote the stock index futures listed on the preparatory work, the State Council approved the establishment of the Commission China "financial futures preparation leading group", and in September 8th of that year approved the establishment of the Chinese financial futures exchange. After 4 years of preparation, in April 16, 2010, Chinese financial futures exchange launched in Shanghai and Shenzhen 300 index for the subject of the first domestic the stock index futures. Stock index futures portfolio provides tools for investors, for the management of non system risk, but also provide investors with hedging opportunities to prevent systemic risk. In addition, investors can also use stock index futures arbitrage, arbitrage of stock index futures. The margin trading system has great leverage. So that investors can get higher to lower the cost of revenue. At the same time in risk management, arbitrage and other aspects of research. The prediction of stock index futures has played an important role. Especially with the active stock index futures market and the continuous introduction of financial derivatives, volatility is a basic index for pricing financial products, and its research significance is increasingly prominent.
This paper mainly discusses three issues: first, the return rate of stock index futures volatility asymmetry. Second, research on the relationship between volatility and trading volume index futures'return. Third, based on the two problems compared to the CSI 300 stock index futures and comparative analysis of Hongkong, South Korea and Japan stock index futures volatility. The contents of this paper focus on these three aspects, on the basis of previous studies, this paper establishes a MS-EGARCH model of the CSI 300 stock index futures and other kinds of stock index futures volatility asymmetry are discussed, and give a reasonable explanation for the conclusion. In addition, based on the MS-EGARCH model, by introducing the turnover in the the conditional variance equation, and studies the relationship between trading volume and return volatility. Finally comparing between Shanghai and Shenzhen 300 stock index futures and other mature markets, the stock index futures market Volatility features and comparative analysis.
The main conclusions obtained in this paper are as follows:
1. through the establishment of two state MS-EGARCH model, this paper draws on the states of high volatility and low volatility in China's CSI 300 stock index futures and stock index futures in Hongkong, South Korea's KOSPI200 stock index futures and the Nikkei 225 Stock Index futures have asymmetric characteristics of the same, that is in the two state of fluctuation, bad news and good news are relatively more can exacerbate the volatility of stock index futures market.
By introducing the 2. volume variables in the MS-EGARCH model, this paper verifies China's CSI 300 stock index futures and Hongkong stock index futures, volatility and trading volume relationship between South Korea's KOSPI200 stock index futures and the Nikkei 225 Stock Index Futures, this paper found that China's CSI 300 Stock Index Futures Volatility and trading volume are related positively in high volatility with low volatility, and has a much stronger correlation in high volatility.
3. the volatility of stock index futures, the comparison of different volatility. Found that Hongkong's Hang Seng Index Futures, the high volatility of Korea KOSPI200 stock index futures and the Nikkei 225 Stock Index futures market is a volatile phase, and the low volatility state corresponds to market volatility and stable stage, corresponding to the high volatility of China's Shanghai and Shenzhen 300 stock index the futures market trend is rising stage, and the low volatility state corresponding market downturn stage.
The innovation of this article is as follows:
First, we use the two state MS-EGARCH model to analyze the asymmetric characteristics of stock index futures yield volatility of Shanghai and Shenzhen 300 index futures and Hongkong, Korea and Japan.
Second, by introducing new volume variables into the conditional variance equation of MS-EGARCH model, we can analyze the relationship between return volatility and volume in different states.
Third, by comparing the asymmetric characteristics of the volatility of stock index futures in different markets, we can grasp the difference between the fluctuation of China's stock index futures market and the characteristics of stock market futures in several mature markets, and provide suggestions for the development of China's stock index futures market.
The shortcomings of this article are as follows:
First, this paper analyzes and compares the volatility between China's CSI 300 stock index futures and stock index futures market developed Asia several continuous contract, but did not consider several other contracts. In fact, the investors, can hold multiple contracts at the same time, this paper just took the most active trading in the month and quarter as continuous contract the object of study, the conclusions are not necessarily applicable to other kinds of contracts.
絎簩,鏈枃鏃ㄥ湪鍒嗘瀽鑲℃寚鏈熻揣娉㈠姩闈炲縐扮壒寰，

本文編號：1500203