本文選題：股指期貨　切入點：變結構協(xié)整檢驗　出處：《中國科學技術大學》2012年博士論文　論文類型：學位論文

【摘要】：近年來,股指期貨已發(fā)展成為全球資本市場上重要的金融衍生品,為投資者提供了一個不可或缺的投資及對沖的工具。我國已于2010年4月16日在中國金融期貨交易所推出了滬深300指數股指期貨,標志著中國的金融期貨市場邁進了一個嶄新的階段,具有里程碑式的歷史意義。 股票指數期貨具有價格發(fā)現(xiàn)、風險轉移及資產配置的功能,投資者可以通過投資股指期貨而將股票市場價格指數的預期風險轉移至股指期貨市場。股指期貨和現(xiàn)貨市場之間的關系是金融市場中最受關注的問題之一。究其原因是,期貨合約具有價格發(fā)現(xiàn)功能,可以為現(xiàn)貨市場提供預測和解釋性信息；也有助于投資者對股指期貨趨勢投資、套期保值等功能更深入的認識。股指期貨市場存在價格波動大、保證金杠桿交易等特點,隨著股指期貨市場的深入發(fā)展,如何對股指期貨風險進行正確的識別及管理已成為一個重要的問題。股指期貨除了可以用來實現(xiàn)套期保值,還可以結合資本市場上的其他產品進行靈活的配置從而提升產品的績效,極大地豐富了相關結構性產品的開發(fā)。 因此,本文基于上述方面的問題,利用我國滬深300股指期貨真實的市場數據,結合股指期貨推出初期的情況展開研究。論文分為緒論、研究主體(共三篇)及總結與展望三大部分,具體結構及內容如下： 第一章緒論簡要介紹了本文研究的背景和意義,歸納了相關研究的文獻綜述,闡述了研究內容、結構及主要創(chuàng)新點。 第一篇主要討論我國股指期貨市場的運行機制。其中,第二章依據我國的股指期貨市場仍處于推出初期的客觀情況,推斷該市場與指數現(xiàn)貨市場之間存在結構性的變化。變點存在的直觀證據是期現(xiàn)兩市場之間的動態(tài)條件相關關系的異動；其統(tǒng)計依據由基于殘差的變結構協(xié)整檢驗和鄒氏變點檢驗提供。分階段Granger因果檢驗發(fā)現(xiàn)：變點前后兩個市場引導關系發(fā)生轉變,并因此得出我國股指期貨市場的價格發(fā)現(xiàn)機制尚未完全形成,有待進一步發(fā)展的結論。在第三章中,利用三階段門限自回歸模型研究了我國股指期貨市場的非線性特征及均值回復機制,并給出了有別于傳統(tǒng)持有成本模型的無套利區(qū)間。該模型估計出的門限值反映出我國現(xiàn)貨賣空制度缺失導致反向套利成本過高,只能由市場的投機力量來實現(xiàn)自我矯正的現(xiàn)狀。 第二篇主要討論我國股指期貨市場的風險管理。風險管理是金融市場中永恒的話題之一,而風險的定義及度量是風險管理的基礎和核心問題。在第四章中,介紹了股指期貨市場常用的波動率模型及評價模型的損失函數。本文指出,對于波動率建模,現(xiàn)有的準則選取的模型存在著過度擬合的缺陷。首次提出了一種基于擬合優(yōu)度及平滑性相權衡的新方法,并應用于評價股指期貨市場基差的波動率模型。實證結果表明,新方法有效地縮小了模型的選擇范圍。第五章,對市場的股指期貨與指數現(xiàn)貨序列分別運用門限雙自回歸模型建立VaR的估計模型,并運用擬極大似然方法給出了模型的估計。由實證結果,TDAR-VaR模型能夠很好地捕捉股指期貨市場中的結構變動、“杠桿效應”、非對稱性等非線性現(xiàn)象,是VaR估計的有效方法。 第三篇主要討論股指期貨在量化策略及資產配置中的應用。第六章,重點討論了股指期貨市場期現(xiàn)套利中的核心問題：如何構建指數現(xiàn)貨組合。首先通過模擬比較了幾種有代表性的模型在不同情景下的表現(xiàn),并選用SIS高維選元模型對國內股指期貨市場的數據進行了實證分析。第七章,首先對海外機構投資者股指期貨的應用進行了考察,結合國內證券投資基金投資股指期貨的指引,研究股指期貨在金融產品中的創(chuàng)新,并對國內機構運用股指期貨進行資產配置及產品設計給出了建議。 最后,總結了本文的主要內容及進一步的研究展望。
[Abstract]:In recent years, the stock index futures has become an important global capital market of financial derivatives, provides an indispensable tool for investors and hedge investment. In April 16, 2010 China has Chinese in financial futures exchange launched the Shanghai and Shenzhen 300 stock index futures, marking the Chinese financial futures market entered a new stage that has historical significance of milepost type.
Stock index futures is price discovery, risk transfer and asset allocation, investors can invest in stock index futures and stock market price index is expected to transfer risk to the stock index futures market. The relationship between stock index futures and spot market is one of the most popular financial market concerns. The reason is that the price of futures contracts that function, can provide predictive and explanatory information to the spot market; also helps investors in the stock index futures investment trends, understanding function of hedging deeply. The stock index futures market has price volatility, leverage trading characteristics, with the further development of the stock index futures market, how to identify and correct management the risk of the stock index futures has become an important issue. In addition to the stock index futures can be used for hedging, can also be combined with capital market Other products are configured flexibly to improve the performance of the product, which greatly enriches the development of the related structural products.
Therefore, this paper based on the above problems, the use of market data of China's Shanghai and Shenzhen 300 stock index futures stock index futures with real, early stages of the study. The thesis is divided into introduction, main body of research (three papers) and the summary and Prospect of the three parts, the specific structure and content are as follows:
In the first chapter, the introduction briefly introduces the background and significance of the study, summarizes the literature review of the related research, and expounds the research content, structure and the main innovation points.
The first chapter mainly discusses the operation mechanism of China's stock index futures market. The second chapter based on the stock index futures market in China is still in the early launch of the objective situation, there is a structural change between the market and the stock market index inferred. Direct evidence of the change point is the dynamic conditions between the periods of the current two market related transaction according to statistics provided by the residuals; the variable structure cointegration test and zoushi based on change point test. Granger causality test found that the phase change point before and after the two market leading relationship changed, and then the goods market in China stock index futures price discovery mechanism has not yet fully formed, further development of the conclusion in third. Chapter, auto regression model to study the nonlinear characteristics and the value of China's stock index futures market recovery mechanism using three stage threshold, and presents is different from the traditional cost model The threshold value estimated by this model reflects the shortage of spot selling system in China, which results in the high cost of reverse arbitrage, which can only be realized by the speculative force of the market.
The second chapter mainly discusses the risk management of China's stock index futures market. The risk management is one of the eternal topic in the financial market, and the risk definition and measurement is the core and foundation of risk management. In the fourth chapter, introduces the function loss rate model and evaluation model of stock index futures market volatility. This paper points out that the common. For volatility modeling, the existing model selection criteria for defects of over fitting. A new method is proposed based on the goodness of fit and smoothness of the balance, and applied to the evaluation of the basis of stock index futures market volatility model. The empirical results show that the new method effectively reduces the scope of the model. The fifth chapter, on the spot market stock index futures and index sequence were used to estimate model of double threshold autoregressive model of VaR is built, and the use of quasi maximum likelihood estimation method of the model are presented. From the empirical results, the TDAR-VaR model can well capture the structural changes in stock index futures market, such as the leverage effect, asymmetry and other nonlinear phenomena, which is an effective way of VaR estimation.
The third chapter mainly discusses the application of stock index futures in the quantitative strategy and asset allocation. The sixth chapter focuses on the core problem of the stock index futures market arbitrage: how to construct the index spot portfolio. Firstly by comparison of simulation performance of several representative models in different scenarios, and makes an empirical analysis with the data of SIS high Weixuan element model of domestic stock index futures market. In the seventh chapter, the first application of institutional investors overseas stock index futures were investigated, combined with the domestic securities investment funds in the stock index futures of stock index in the guidelines, financial product innovation in the futures, and the domestic institutions to use stock index futures for asset allocation and product design are given the proposal.
Finally, the main content of this paper and the prospect of further research are summarized.

【學位授予單位】：中國科學技術大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F224;F832.51

【引證文獻】

相關碩士學位論文 前1條

1 劉斌;我國股價指數期貨套利的相關問題研究[D];浙江工商大學;2013年

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本文編號：1634890