本文關(guān)鍵詞： 股指期貨 MS-EGARCH 非對(duì)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(guó)務(wù)院批準(zhǔn)中國(guó)證監(jiān)會(huì)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(guó)金融期貨交易所。經(jīng)過(guò)4年的準(zhǔn)備階段,2010年4月16日,中國(guó)金融期貨交易所推出以滬深300指數(shù)為標(biāo)的物的國(guó)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(xiǎn),還為投資者提供套期保值機(jī)會(huì)以防范系統(tǒng)風(fēng)險(xiǎn)。除此之外,投資者還可以利用股指期貨進(jìn)行套利,獲得無(wú)風(fēng)險(xiǎn)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(shí)在風(fēng)險(xiǎn)管理、套利研究等方面,對(duì)股指期貨波動(dòng)的預(yù)測(cè)都起到了重要作用。特別是隨著股指期貨市場(chǎng)的活躍,金融衍生產(chǎn)品的不斷推出,波動(dòng)性作為金融產(chǎn)品定價(jià)的一個(gè)基礎(chǔ)指標(biāo),其研究意義日益突出。 本文主要討論三個(gè)問(wèn)題：第一,對(duì)于股指期貨收益率波動(dòng)非對(duì)稱性研究。第二,股指期貨市場(chǎng)收益率波動(dòng)與成交量之間的關(guān)系研究。第三,基于這兩個(gè)問(wèn)題比較滬深300股指期貨與香港、韓國(guó)和日本股指期貨波動(dòng)特征的比較分析。論文的內(nèi)容圍繞這三個(gè)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(duì)滬深300股指期貨與其他幾種股指期貨收益率波動(dòng)非對(duì)稱性特征進(jìn)行了討論,并對(duì)結(jié)論作出合理的解釋。另外,在MS-EGARCH模型的基礎(chǔ)上,通過(guò)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(dòng)之間的關(guān)系。最后比較國(guó)內(nèi)滬深300股指期貨與其他成熟市場(chǎng)股指期貨市場(chǎng)波動(dòng)特征并做出比較分析。 本文得出的主要結(jié)論有： 1.通過(guò)建立兩狀態(tài)MS-EGARCH模型,本文得出在高波動(dòng)狀態(tài)和低波動(dòng)狀態(tài)中,我國(guó)滬深300股指期貨與香港恒生股指期貨、韓國(guó)KOSPI200股指期貨和日經(jīng)225股指期貨具有相同的非對(duì)稱特征,即在兩種波動(dòng)狀態(tài)中,壞消息均相對(duì)與好消息更能加劇股指期貨市場(chǎng)的波動(dòng)。 2.通過(guò)在MS-EGARCH模型中引入成交量變量,本文驗(yàn)證了我國(guó)滬深300股指期貨與香港恒生股指期貨、韓國(guó)KOSPI200股指期貨和日經(jīng)225股指期貨的收益率波動(dòng)與成交量的關(guān)系,本文發(fā)現(xiàn)我國(guó)滬深300股指期貨的收益率波動(dòng)在高波動(dòng)與低波動(dòng)狀態(tài)下都與成交量呈正相關(guān)關(guān)系,并且在高波動(dòng)狀態(tài)中具有更加強(qiáng)烈的相關(guān)性。 3.本文通過(guò)比較不同波動(dòng)狀態(tài)下股指期貨的波動(dòng)特征,.發(fā)現(xiàn)香港恒生股指期貨、韓國(guó)KOSPI200股指期貨和日經(jīng)225股指期貨的高波動(dòng)狀態(tài)對(duì)應(yīng)的是市場(chǎng)動(dòng)蕩的階段,而低波動(dòng)狀態(tài)對(duì)應(yīng)著市場(chǎng)波動(dòng)穩(wěn)定的階段,而我國(guó)滬深300股指期貨的高波動(dòng)狀態(tài)對(duì)應(yīng)的是市場(chǎng)走勢(shì)上升的階段,而低波動(dòng)狀態(tài)對(duì)應(yīng)市場(chǎng)走勢(shì)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(guó)滬深300股指期貨與香港、韓國(guó)、日本幾個(gè)市場(chǎng)的股指期貨收益率波動(dòng)的非對(duì)稱性特征,分析不同狀態(tài)下的非對(duì)稱性是否有差異。 第二,本文通過(guò)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(dòng)與成交量之間的關(guān)系。 第三,通過(guò)比較不同市場(chǎng)股指期貨收益率波動(dòng)的非對(duì)稱性不同特征。把握我國(guó)股指期貨市場(chǎng)波動(dòng)與幾種相對(duì)成熟的市場(chǎng)的股指期貨波動(dòng)特征的差異,為我國(guó)股指期貨市場(chǎng)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(guó)滬深300股指期貨與亞洲成熟市場(chǎng)的幾種股指期貨連續(xù)合約之間的波動(dòng)特征,而沒有考慮其他幾種合約。實(shí)際上,在投資者投資時(shí),可以同時(shí)持有多個(gè)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(duì)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(dòng)非對(duì)稱特征、波動(dòng)與成交量之間關(guān)系以及中外比較分析。由于我國(guó)股指期貨上市時(shí)間只有兩年的時(shí)間,可用的樣本量較少,并且由于時(shí)間和精力有限,對(duì)于MS-EGARCH模型對(duì)于股指期貨市場(chǎng)波動(dòng)的預(yù)測(cè)問(wèn)題并沒有進(jìn)行深入討論,在以后研究中需要把問(wèn)題轉(zhuǎn)向MS-EGARCH模型的預(yù)測(cè)問(wèn)題上來(lái)。
[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(hào)：1500203