本文關(guān)鍵詞： 股指期貨 股票市場(chǎng) 價(jià)格發(fā)現(xiàn) 波動(dòng)溢出　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】：股指期貨是指以股價(jià)指數(shù)為標(biāo)的物的標(biāo)準(zhǔn)化期貨合約。自1982年世界上第一張股指期貨在美國(guó)堪薩斯期貨交易所上市交易以來(lái),歷經(jīng)了近一個(gè)世紀(jì),股指期貨在金融市場(chǎng)中發(fā)展最晚,但卻是最為成功的金融衍生產(chǎn)品。它同時(shí)也是金融衍生產(chǎn)品中發(fā)展最為迅速,流動(dòng)性和交易量最好的。 我國(guó)于2010年4月16日推出以滬深300指數(shù)為標(biāo)的物的滬深300指數(shù)期貨合約,從此我國(guó)步入股指期貨時(shí)代。而滬深300指數(shù)期貨上市以后,滬深股市的波動(dòng)性明顯增強(qiáng)了,尤其是下跌時(shí)較股指期貨推出之前更快,更猛。這一現(xiàn)象在很多國(guó)家推出股指期貨期間都有出現(xiàn),那么股指期貨對(duì)股票市場(chǎng)的趨勢(shì)和波動(dòng)性會(huì)產(chǎn)生何種影響,股票市場(chǎng)是否又會(huì)對(duì)股指期貨市場(chǎng)有類似的影響,這都是市場(chǎng)的投資者與監(jiān)管機(jī)構(gòu)關(guān)心的問(wèn)題。 本文就將從股指期貨市場(chǎng)及股票市場(chǎng)的價(jià)格發(fā)現(xiàn)功能,及波動(dòng)溢出效應(yīng)兩方面出發(fā),來(lái)研究?jī)墒袌?chǎng)之間價(jià)格的引導(dǎo)關(guān)系和信息在兩市場(chǎng)間的傳遞。就這些問(wèn)題的研究本文引入了四個(gè)國(guó)家進(jìn)行比較分析,這四個(gè)國(guó)家分別為成熟市場(chǎng)的美國(guó),日本,與新興市場(chǎng)的印度和中國(guó)。這樣做不僅可以比較成熟市場(chǎng)與新興市場(chǎng)在股指期貨與股票市場(chǎng)之間的關(guān)系的異同,更重要的是得出我國(guó)與這些國(guó)家研究結(jié)果的差距,從而找出我國(guó)股指期貨市場(chǎng)發(fā)展的方向,加快我國(guó)股指期貨市場(chǎng)從新興市場(chǎng)向成熟市場(chǎng)發(fā)展。 本文以四個(gè)國(guó)家股指期貨以及其對(duì)應(yīng)的現(xiàn)貨指數(shù)的5分鐘高頻數(shù)據(jù)做樣本,應(yīng)用向量誤差修正模型來(lái)研究股指期貨市場(chǎng)和股票指數(shù)市場(chǎng)價(jià)格發(fā)現(xiàn)關(guān)系；運(yùn)用脈沖響應(yīng)函數(shù)來(lái)分析價(jià)格引導(dǎo)關(guān)系的內(nèi)部結(jié)構(gòu),以及利用方差分解方法來(lái)得出兩市場(chǎng)在價(jià)格發(fā)現(xiàn)過(guò)程中的貢獻(xiàn)程度；借助雙變量T-GARCH模型來(lái)研究?jī)墒袌?chǎng)間的波動(dòng)溢出效應(yīng)及非對(duì)稱性效應(yīng)。 創(chuàng)新特色為： (1)本文運(yùn)用VEC模型來(lái)研究股指期貨與現(xiàn)貨市場(chǎng)的價(jià)格發(fā)現(xiàn)功能,向量誤差修正模型不僅表現(xiàn)出兩市場(chǎng)間的長(zhǎng)期均衡關(guān)系,還可以研究股指期貨與現(xiàn)貨市場(chǎng)短期的價(jià)格的引導(dǎo)關(guān)系。用此方法與以往的研究得出的結(jié)論略有不同,得出的結(jié)論為現(xiàn)貨價(jià)格在價(jià)格發(fā)現(xiàn)中占主導(dǎo)地位； (2)本文研究股指期貨與現(xiàn)貨市場(chǎng)的波動(dòng)溢出效應(yīng)所采用的是雙變量T-GARCH模型,它考慮到了市場(chǎng)的ARCH效應(yīng)(市場(chǎng)波動(dòng)溢出效應(yīng)),GARCH效應(yīng)(市場(chǎng)波動(dòng)受上期預(yù)期方差影響),與不對(duì)稱效應(yīng)(反映市場(chǎng)非對(duì)稱性)等,使研究的角度更全面。 (3)不同于以往國(guó)內(nèi)文獻(xiàn)只研究國(guó)內(nèi)市場(chǎng),本文引入3個(gè)其他國(guó)家的市場(chǎng)進(jìn)行研究,還加入了新興市場(chǎng)與成熟市場(chǎng)的對(duì)比,使得對(duì)股指期貨市場(chǎng)與現(xiàn)貨市場(chǎng)的研究更有依據(jù),也能更好的研究我國(guó)證券市場(chǎng)的特點(diǎn)和發(fā)展方向。 主要結(jié)論： (1)基于向量誤差修正模型得出現(xiàn)貨市場(chǎng)價(jià)格發(fā)現(xiàn)占主要地位,即總體上現(xiàn)貨價(jià)格引導(dǎo)股指期貨價(jià)格。而短期兩市場(chǎng)價(jià)格存在雙向格蘭杰因果關(guān)系,各國(guó)得出短期價(jià)格領(lǐng)先滯后關(guān)系略有不同,我國(guó)短期股指期貨的價(jià)格發(fā)現(xiàn)功能更有優(yōu)勢(shì),即在短期內(nèi)股指期貨價(jià)格領(lǐng)先現(xiàn)貨價(jià)格。 (2)基于脈沖響應(yīng)和方差分解方法進(jìn)一步證明了現(xiàn)貨市場(chǎng)在價(jià)格發(fā)現(xiàn)中占主導(dǎo)地位。 (3)基于雙變量T-GARCH模型得出對(duì)四個(gè)國(guó)家來(lái)說(shuō)股指期貨市場(chǎng)長(zhǎng)期收斂于現(xiàn)貨市場(chǎng),即現(xiàn)貨市場(chǎng)占主導(dǎo)地位。而且兩市場(chǎng)都存在著明顯的雙向波動(dòng)溢出效應(yīng),說(shuō)明信息在兩市場(chǎng)間的傳遞是相互的。成熟市場(chǎng)的股指期貨市場(chǎng)波動(dòng)溢出效應(yīng)顯著,新興市場(chǎng)的現(xiàn)貨市場(chǎng)波動(dòng)溢出效應(yīng)更顯著。 (4)美國(guó),中國(guó)兩市場(chǎng)都存在明顯杠桿效應(yīng),印度股指期貨市場(chǎng)存在杠桿效應(yīng),日本兩市場(chǎng)杠桿效應(yīng)都不顯著。而杠桿效應(yīng)的結(jié)果都很一致,都是市場(chǎng)對(duì)“壞消息”更敏感,利空消息更能導(dǎo)致市場(chǎng)波動(dòng)加劇。
[Abstract]:Stock index futures is a standardized futures contract with stock index as the subject matter. Since 1982 the world's first stock index futures traded on the Kansas futures exchange, after nearly a century, the stock index futures is the latest development in the financial market, but it is the most successful financial derivative products. At the same time is the financial derivative products in the most rapid development, liquidity and trading volume of the best.
China launched in April 16, 2010 in Shanghai and Shenzhen 300 index for the subject of the CSI 300 index futures contracts, since China entered the era of stock index futures. The Shanghai and Shenzhen 300 index futures after the listing, the Shanghai and Shenzhen stock market volatility increased significantly, especially when a stock index futures fell before the launch of the faster, more fierce. This phenomenon in many countries have appeared during the launch of stock index futures, the stock index futures on the stock market trends and volatility will be affected, whether the stock market will have a similar effect on the stock index futures market, this is all about market investors and regulators.
This article from the stock index futures market and stock market price discovery function, two aspects and volatility spillover effect, to study the two market leading relationship and information transfer between prices in the two markets. The research in this paper is introduced in four countries through the comparison and analysis of the four countries respectively in mature markets the United States, Japan, and the emerging market of India and Chinese. It can not only make a comparison of the mature markets and emerging markets in the relationship between stock index futures and stock market, more important is the results in China and these countries, so as to find out the development direction of China's stock index futures market, accelerate our country the stock index futures market development from emerging markets to mature markets.
Based on the four national stock index futures and its corresponding spot index 5 minutes high frequency data sample, the application of vector error correction model to study the stock index futures and stock index market price discovery relationship; by using pulse to analyze the internal structure of the relationship between the guide price response function, and variance decomposition method to derive the two market contribution the degree in the process of price; to study the volatility spillover effect between the two markets and the asymmetric effect with double variable T-GARCH model.
The innovation features are as follows:
(1) found the VEC model is used to study the stock index futures and spot market price, vector error correction model not only shows a long-term equilibrium relationship between the two markets, we can also study the stock index futures and spot market prices to guide short-term relationships. By using this method and the conclusion obtained is slightly different, the conclusion for the spot price in the price discovery in the dominant;
(2) the volatility spillover effect of stock index futures and spot market is studied in this paper by the bivariate T-GARCH model, it takes into account the effect of the ARCH market (market volatility spillover effect (GARCH effect), market volatility by the expected variance and asymmetric effect (influence), reflecting the market asymmetry), make the research more comprehensive perspective.
(3) different from the previous literature only on the domestic market, this paper introduces 3 of the market in other countries, also joined the comparison of emerging markets and mature markets, the stock index futures market and spot market research more basis, characteristics and direction of development of China's securities market research will be better.
The main conclusions are as follows:
(1) the vector error correction model the spot market price discovery occupies the main position based on the general guide spot price index futures price. And there is a two-way causal relationship between Grainger price of two market, countries that short-term price lead lag relationship is slightly different, more short-term advantage function of China's stock index futures price, which means that the stock index at the short-term futures prices leading the spot price.
(2) based on the impulse response and the variance decomposition method, it is further proved that the spot market occupies the dominant position in the price discovery.
(3) dual variable T-GARCH model for four countries stock index futures market long-term convergence in the spot market based on the spot market is dominant. And two markets exist obvious two-way fluctuation spillover effect, information transmission in the two markets is mutual. Stock index futures market volatility spillover effect in mature markets obviously, spot market volatility spillover effect is more significant in emerging markets.
(4) the United States, have obvious leverage effect Chinese two market, India stock index futures market has leverage effect, leverage effect of two Japanese market is not significant. And the result of the leverage effect is favorable, the market is more sensitive to bad news, bad news can lead to increased market volatility.

【學(xué)位授予單位】：東北財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.5

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