發(fā)布時(shí)間：2018-03-09 18:00

  本文選題：股票價(jià)格　切入點(diǎn)：期貨價(jià)格　出處：《西南財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：A股市場(chǎng)作為中國(guó)經(jīng)濟(jì)的晴雨表,經(jīng)過(guò)20多年的發(fā)展,規(guī)模不斷增長(zhǎng),經(jīng)濟(jì)地位也日益提高,是上市公司重要的融資渠道,也是我國(guó)投資者最重要的投資市場(chǎng)。2005年股權(quán)分置改革全面開(kāi)展,中國(guó)股市逐漸走向全流通的時(shí)代,消除了非流通股東和流通股東的利益沖突,使得二者的利益趨向一致。上市公司的治理水平得到了明顯改善,公司業(yè)績(jī)得到了顯著的提升。目前,中國(guó)大陸共有上海和深圳兩個(gè)證券交易所、106家證券公司,形成了主板市場(chǎng)、中小板市場(chǎng)、創(chuàng)業(yè)板市場(chǎng)、三板市場(chǎng)以及新三板市場(chǎng)等多層次的市場(chǎng)格局。2010年12月31上市公司(A、B股)2776家,開(kāi)戶(hù)數(shù)15204萬(wàn)戶(hù),流通市值超過(guò)20萬(wàn)億元相當(dāng)于當(dāng)年國(guó)內(nèi)生產(chǎn)總值的一半。全年A股市場(chǎng)累計(jì)成交額達(dá)到三十萬(wàn)億元,融資總額突破一萬(wàn)億元,分紅總額五千億元。我國(guó)商品期貨市場(chǎng)與股票市場(chǎng)幾乎同時(shí)興起,但是其發(fā)展道路卻略顯波折,經(jīng)過(guò)十年的清理整頓,現(xiàn)在形成了上海期貨交易所、大連商品交易所和鄭州商品交易所三足鼎立的格局,目前我國(guó)有26個(gè)商品期貨上市品種,種類(lèi)涉及能源、金屬和農(nóng)產(chǎn)品。新修訂的《期貨交易管理?xiàng)l例》明確指出了期貨市場(chǎng)是我國(guó)現(xiàn)代金融市場(chǎng)的重要組成部分,充分肯定了期貨市場(chǎng)在價(jià)格發(fā)現(xiàn)和套期保值方面發(fā)揮著重要的作用,為我國(guó)期貨行業(yè)的發(fā)展指明了方向�！稐l例》的頒布實(shí)施強(qiáng)化證監(jiān)會(huì)的監(jiān)管職能,建立期貨投資者保障基金和對(duì)投資者的利益補(bǔ)償機(jī)制,改善了我國(guó)期貨行業(yè)的市場(chǎng)環(huán)境,有利于我國(guó)期貨市場(chǎng)朝著健康、和諧、穩(wěn)定的方向發(fā)展。2010年全國(guó)期貨市場(chǎng)累計(jì)成交金額突破300萬(wàn)億元,其中股指期貨成交額占到成交總額的26%,市場(chǎng)運(yùn)行平穩(wěn),表明股指期貨合約在制度設(shè)計(jì)和交易安排方面設(shè)計(jì)合理。 股票市場(chǎng)側(cè)重于微觀經(jīng)濟(jì)層面上經(jīng)濟(jì)資源的配置和公司風(fēng)險(xiǎn)定價(jià),期貨市場(chǎng)則側(cè)重于宏觀經(jīng)濟(jì)層面的社會(huì)經(jīng)濟(jì)風(fēng)險(xiǎn)的管理和商品價(jià)格發(fā)現(xiàn)。期貨市場(chǎng)對(duì)于現(xiàn)貨市場(chǎng)具有價(jià)格發(fā)現(xiàn)的功能,股票市場(chǎng)又被稱(chēng)作“經(jīng)濟(jì)的晴雨表”,如果把兩者聯(lián)系起來(lái)進(jìn)行研究,探討期貨市場(chǎng)對(duì)于股票市場(chǎng)的價(jià)值發(fā)現(xiàn)功能將會(huì)更有利于把握經(jīng)濟(jì)形勢(shì)和進(jìn)行投資決策。研究股票市場(chǎng)與期貨市場(chǎng)之間相互影響程度以及期貨市場(chǎng)對(duì)股票市場(chǎng)的價(jià)格發(fā)現(xiàn)功能將有著重要現(xiàn)實(shí)意義。有效市場(chǎng)假說(shuō)認(rèn)為,在一個(gè)完全有效的市場(chǎng)中,一個(gè)特定的能夠影響公司基本價(jià)值的信息能夠迅速被投資者所知曉,隨后市場(chǎng)競(jìng)爭(zhēng)將驅(qū)使證券價(jià)格迅速準(zhǔn)確地反映該信息,證券價(jià)格等于其“內(nèi)在價(jià)值”。有效市場(chǎng)理論已經(jīng)成為現(xiàn)代金融資產(chǎn)定價(jià)的理論基礎(chǔ)。近年來(lái),中國(guó)資本市場(chǎng)在金融產(chǎn)品創(chuàng)新方面的步伐正在加快,在傳統(tǒng)的股票、債券和期貨的基礎(chǔ)上,進(jìn)一步推出了可轉(zhuǎn)換公司債券、可交換公司債券、認(rèn)股權(quán)證、備兌權(quán)證和ETF等金融產(chǎn)品。尤其是2010年推出的股指期貨合約更是受到了市場(chǎng)的青睞,為廣大股票投資者提供了套期保值規(guī)避市場(chǎng)風(fēng)險(xiǎn)的有力工具,當(dāng)年成交總額超過(guò)商品期貨市場(chǎng)上任意單一商品期貨品種,一舉成為我國(guó)期貨市場(chǎng)新的霸主。今年年初,中國(guó)金融交易所正式推出國(guó)債期貨仿真交易,使得沉靜了十幾年的我國(guó)國(guó)債期貨市場(chǎng)再次成為市場(chǎng)關(guān)注的焦點(diǎn)。金融產(chǎn)品創(chuàng)新的步伐正在加快,它不會(huì)因?yàn)榇钨J危機(jī)的爆發(fā)而暫停,也不會(huì)因?yàn)槭澜绺窬值母淖兌K止。對(duì)于相關(guān)金融市場(chǎng)的研究也越來(lái)越成為學(xué)者和金融從業(yè)人員的重要課題。 本文選擇上海期貨交易所上市的銅、鋁、鋅三個(gè)期貨品種及其與之對(duì)應(yīng)的A股市場(chǎng)上以銅、鋁、鋅為主營(yíng)業(yè)務(wù)市值最大的上市公司作為研究對(duì)象分析我國(guó)有色金屬期貨價(jià)格與股票價(jià)格相關(guān)性,并提出相應(yīng)的建議。文章的研究特色在于：跨越了不同的金融市場(chǎng),深入分析商品期貨價(jià)格與相關(guān)上市公司股票價(jià)格的變動(dòng)特征,探尋二者之間可能存在的內(nèi)在聯(lián)系,彌補(bǔ)國(guó)內(nèi)對(duì)于該領(lǐng)域研究不足：另外本文采用最新的歷史數(shù)據(jù)進(jìn)行是實(shí)證分析,因此所得出的結(jié)論更具參考價(jià)值。本文以有效市場(chǎng)作為理論基礎(chǔ),選用單位根檢驗(yàn)、格蘭杰因果檢驗(yàn)、Johansen協(xié)整檢驗(yàn)、向量誤差修正模型和脈沖響應(yīng)分析等計(jì)量方法,綜合得出以下結(jié)論。1)由于股票市場(chǎng)在賣(mài)空方面受到限制,漲跌停板幅度大于期貨市場(chǎng),使得有色金屬股票的標(biāo)準(zhǔn)差明顯大于期貨合約的標(biāo)準(zhǔn)差,從而股票價(jià)格的波動(dòng)比期貨劇烈,股票市場(chǎng)蘊(yùn)涵更大的風(fēng)險(xiǎn)。2)通過(guò)Johansen協(xié)整檢驗(yàn)得出期貨價(jià)格與股票價(jià)格之間存在長(zhǎng)期的穩(wěn)定關(guān)系,從而建立了向量誤差修正模型。模型誤差修正項(xiàng)的系數(shù)為負(fù),符合誤差修正模型的反向修正機(jī)制。其系數(shù)較小說(shuō)明期貨對(duì)于股票的修正速度較慢,并非是一步到位的,而是一個(gè)時(shí)期相對(duì)較長(zhǎng)的過(guò)程。3)通過(guò)格蘭杰因果關(guān)系檢驗(yàn)發(fā)現(xiàn),銅、鋁的期貨價(jià)格與相對(duì)應(yīng)的股票價(jià)格之間存在雙向的價(jià)格發(fā)現(xiàn)機(jī)制,期貨市場(chǎng)與股票市場(chǎng)之間存在雙向的引導(dǎo)機(jī)制,說(shuō)明銅鋁作為我國(guó)上市較早的有色金屬期貨品種,其發(fā)展較為成熟,銅鋁金屬期貨價(jià)格對(duì)有色金屬類(lèi)上市公司的股票價(jià)格具有價(jià)格發(fā)現(xiàn)功能。4)通過(guò)脈沖響應(yīng)分析發(fā)現(xiàn)股票價(jià)格對(duì)于自身一個(gè)標(biāo)準(zhǔn)差的反映強(qiáng)烈,對(duì)于期貨價(jià)格一個(gè)標(biāo)準(zhǔn)差的影響則較弱。
[Abstract]:A stock market as a barometer of economic Chinese, after 20 years of development, the scale of the growing economy, it has become more and more important, is the important channel of financing of listed companies, is also the most important investors in China investment market.2005 share reform to carry out a comprehensive, Chinese stock market gradually to the full circulation of the times, to eliminate the interest conflicts between non tradable shareholders and tradable shareholders, the interests of the two tend to be consistent. The governance level of the listed companies has been significantly improved, the company's performance has been significantly improved. At present, there are China, Shanghai and Shenzhen Stock Exchange two, 106 securities companies, the formation of the motherboard market, small and medium-sized board market, gem in the market, the third market and three new board market multi-level market.2010 December 31 listed companies (A, b) 2776, accounts 152 million 40 thousand, market capitalization of more than 20 trillion yuan is equivalent to Half of the GDP. The annual A stock market total turnover reached 30 trillion yuan, the total financing exceeded one trillion yuan, the total dividend five hundred billion yuan. China's commodity futures market and the stock market rise almost simultaneously, but its development is slightly twists and turns, after ten years of rectification, now formed the Shanghai futures exchange, Dalian the commodity exchange and Zhengzhou commodity exchange at present a situation of tripartite confrontation pattern, 26 kinds of commodity futures listed species, including energy, metals and agricultural products. The newly revised "Regulations on the administration of futures trading" clearly pointed out that the futures market is an important part of modern financial market of our country, fully affirmed the futures market plays an important role in the price discovery and hedging, pointed out the direction. The promulgation and implementation of regulations on strengthening the supervision of the Commission for the development of China's futures industry The functions of the futures investment fund and the establishment of compensation mechanism for the interests of investors, improve China's futures industry market environment, conducive to China's futures market towards a healthy, harmonious and stable development of the.2010 National Futures Market cumulative turnover exceeded 300 trillion yuan, the stock index futures turnover accounted for 26% of total turnover and the smooth operation of the market, that stock index futures contracts in the system design and the design of reasonable trading arrangements.
The allocation of the stock market to focus on the micro economic level of economic resources and corporate risk pricing, found social economic risk in the futures market is focused on macroeconomic management and commodity prices. Futures market has the function of price discovery for the stock market, the stock market is referred to as the "barometer of the economy, if the two are linked the research, to explore the value of the futures market to the stock market's discovery function will be more conducive to grasp the economic situation and make investment decisions. Between the stock market and futures market mutual influence on the stock market and futures market price discovery will have important practical significance. The efficient market hypothesis holds that in a perfectly efficient market. A specific company can influence the basic value of information can be transmitted to investors quickly, then market competition will That stock prices reflect the information quickly and accurately, the stock price is equal to its intrinsic value. The efficient market theory has become the theoretical basis of modern financial asset pricing. In recent years, China capital market in the financial product innovation is accelerating the pace of the traditional stock, bonds and Futures Based on further launched Switching Company bonds, convertible bonds, warrants, warrants and ETF financial products. Especially in 2010 the launch of stock index futures contract is more favored by the market, provides a powerful tool for hedging to avoid market risks for investors, the total turnover of more than any single commodity futures market futures as one of China's futures market, the new overlord. At the beginning of this year, Chinese financial exchange officially launched bond futures trading, so quiet China's bond futures market for more than ten years once again become the focus of the market. The pace of financial innovation is speeding up, it will not stop because of the outbreak of the subprime crisis, not because the change of the world structure and terminated. For the study of financial markets is becoming an important topic for scholars and financial practitioners.
This paper chooses listed on the Shanghai Futures Exchange copper, aluminum and zinc futures of three and its corresponding A stock market to copper, aluminum and zinc as the main business of the largest market capitalization of listed companies as the research object, analysis of China's non-ferrous metals futures prices and stock price correlation, and put forward the corresponding suggestions. In featured articles the different financial markets, in-depth analysis of changes in commodity futures price and the stock prices of listed companies, to explore the possible inherent linkages between the two, to make up for domestic research in this field is insufficient: another paper uses historical data of the latest empirical analysis, so the conclusion is more valuable in order to effectively market. As the theoretical basis, using unit root test, Grainger causality test, Johansen cointegration test, vector error correction model and impulse response analysis The measurement methods, comprehensive conclusions.1) because the stock market restrictions on short selling, the price limit is greater than the futures market, the non-ferrous metal stocks was significantly greater than the standard deviation of the standard deviation of futures contracts, and stock price fluctuations than futures sharply, the stock market has a greater risk of.2) through Johansen cointegration test that there is a long-term stable relationship between futures prices and stock prices, so as to establish the vector error correction model. The coefficient of model error correction term is negative, with the reverse error correction model of the correction mechanism. The coefficient is smaller that futures for stock correction is slow, not in one step, but a period of relatively the long process of.3) by Grainger causality test found that the price of copper, there are two-way between aluminum futures prices and the corresponding stock price discovery machine There are two-way system, guiding mechanism between the futures market and stock market, listed as that of copper and aluminum non-ferrous metals futures earlier, its development is relatively mature, with copper and aluminum metal futures prices of non-ferrous metals listed company's stock price the price discovery function of.4) through the impulse response analysis shows that the stock price to reflect their own a standard the strong and weak effect on a standard futures price difference.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F724.5;F426.32;F224

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