本文選題：滬深300指數(shù) + 股指期貨��； 參考：《西南財經(jīng)大學》2012年博士論文

【摘要】：2010年4月16日,滬深300股指期貨在中國金融期貨交易所正式掛牌交易,并且以超市場預期的表現(xiàn)成功站穩(wěn)腳跟。作為我國第一個場內(nèi)標準化的金融衍生產(chǎn)品,股指期貨的平穩(wěn)上市實現(xiàn)了國家監(jiān)管部門“高標準,穩(wěn)起步”的設計初衷。經(jīng)過兩年的發(fā)展,股指期貨市場的參與人數(shù)、合約持倉量、日均成交量等指標穩(wěn)步提高,市場規(guī)模逐漸擴大。從市場的顯性指標看,滬深300股指期貨市場可以說取得了初步的成功,基本上達到了預期的目標。隨著券商自營賬戶、基金專戶、QFⅡ、信托賬戶等參與股指期貨的相關指導文件出臺,機構投資者大規(guī)模參與股指期貨交易的進程也逐漸加快。 理論上,在一個完全有效的市場中,新信息應該同時反映在股指期貨和現(xiàn)貨價格上,信息在兩個市場之間傳導使得期現(xiàn)價格在長期處于一種均衡穩(wěn)定狀態(tài)。然而,現(xiàn)實中由于流動性、交易成本和投資者結構等因素的影響,股指期貨與現(xiàn)貨價格對信息的反應速度存在差異,價格會偏離長期均衡,即出現(xiàn)套利機會,套利交易使得價格進一步回歸無套利區(qū)間。國外成熟市場的研究表明,股指期貨由于具有高杠桿性、低交易成本、無賣空限制以及快速執(zhí)行指令等優(yōu)勢,往往能更及時地根據(jù)市場信息調整價格,從而比現(xiàn)貨市場具有更高的定價效率。 滬深300股指期貨上市后不到三個月的時間里股市大跌,不僅股指期貨引導股票價格變化的預期沒有出現(xiàn)(Yang等,2012),股指期貨還因此被質疑加劇了股市波動；上市初期主力合約成交持倉比較高,市場內(nèi)投機交易活躍。2010年9月底開始,指數(shù)價格加速上升,股指期貨價格也大幅攀升,上升速度一度超過指數(shù),價格波動居高不下,基差較高且持續(xù)為正,市場中套利交易不足。直到2011年上半年,各項指標才終于有所好轉,價格波動趨于減緩,基差在均衡水平附近平穩(wěn)變化,持倉量穩(wěn)步上升,成交持倉比穩(wěn)定在較低水平。特別地,投資者結構的改善為股指期貨市場功能的有效發(fā)揮進一步創(chuàng)造了條件。 雖然滬深300股指期貨上市以來取得了較好的成績,但其發(fā)展過程明顯經(jīng)歷了幾個不同的階段,那么股指期貨的價格發(fā)現(xiàn)機制是否已經(jīng)形成?股指期貨定價是否合理?股指期貨是否存在向現(xiàn)貨市場的波動溢出?股指期貨上市是否起到了穩(wěn)定現(xiàn)貨市場的作用?對這一系列問題的研究實際上也是關于股指期貨市場有效性的探討。由于滬深300股指期貨在國內(nèi)上市時間較短,采用市場真實交易數(shù)據(jù)進行較系統(tǒng)、全方位和更細致的研究,變得極為必要和迫切,這正是本文的初衷。 本文以我國新上市交易的滬深300股指期貨為研究對象,對股指期貨價格發(fā)現(xiàn)機制的形成過程進行深入探討,并且從定價偏差(定價效率)、波動溢出效應(信息效率)以及穩(wěn)定現(xiàn)貨市場三個側面展開討論。最后,本文研究了兩個市場基于高頻數(shù)據(jù)的已實現(xiàn)波動率特征。 全文共八章,結構安排和主要結論如下： 第一章是緒論。主要闡述研究背景、研究意義、研究方法和內(nèi)容,主要結論、創(chuàng)新點及不足,并給出本文的研究框架。 第二章是理論基礎與文獻綜述。主要給出了股指期貨價格發(fā)現(xiàn)、定價偏差、波動溢出效應、對現(xiàn)貨市場波動的影響、以及波動率模型的理論和研究綜述,并對關于滬深300股指期貨的相關研究進行評述。最后簡要介紹了數(shù)據(jù)的結構突變檢驗方法。 第三章是全文的核心部分,主要目的是研究滬深300股指期貨價格發(fā)現(xiàn)機制的形成過程。文中首先通過成份股的實時交易數(shù)據(jù)計算滬深300指數(shù)價格,然后分析股指期貨上市以來的運行情況,并通過統(tǒng)計方法研究數(shù)據(jù)的結構突變特征,最后分段估計VECM模型及TVECM模型。本章找到了滬深300股指期貨價格發(fā)現(xiàn)機制的形成脈絡：股指期貨上市的前幾個月,指數(shù)與期貨相互影響,但指數(shù)在價格發(fā)現(xiàn)中起主導作用；2010年底最后幾個月,指數(shù)與期貨的價格發(fā)現(xiàn)功能都較弱,相比之下指數(shù)引導功能稍微強些；2011年上半年以來,股指期貨終于奠定其價格發(fā)現(xiàn)功能的主導地位,指數(shù)加速向均衡水平調整。股指期貨和指數(shù)的價格發(fā)現(xiàn)功能存在不對稱性,在不同時期的表現(xiàn)存在差異。本文將行為金融理論與具體的市場環(huán)境相結合給出了一個可能存在的合理解釋。股指期貨價格發(fā)現(xiàn)功能的有效發(fā)揮受到期貨市場投資者結構、成交量和持倉量(成交持倉比)、現(xiàn)貨市場走勢、以及基差大小和方向等多方面因素的影響；根據(jù)實證結果推斷市場中參與交易的主要投資者類型,也是一個非常獨特的視角。 第四章分析了股指期貨定價偏差的影響因素及其非線性調整過程,是關于股指期貨市場定價效率的研究。文中通過指數(shù)紅利點數(shù)計算股指期貨理論價格,研究發(fā)現(xiàn),市場中以正向定價偏差為主。期貨價格的持續(xù)高估可以由交易成本來解釋一部分,到期時間越長定價偏差越高,波動率與正向定價偏差呈現(xiàn)出正的相關性,上升的股票市場有利于減小定價偏差。采用TAR模型分段研究表明,定價偏差向均衡水平的調整表現(xiàn)出非線性特征,2010年市場中負向定價偏差(期貨價格低估)調整速度較快,但是負向定價偏差占的比重較低；2011年上半年,正向定價偏差(期貨價格高估)調整速度明顯加快,并且正向偏差占的比重較高,定價偏差回歸理性調整路徑。 第五章主要探討了股指期貨與現(xiàn)貨市場間的波動溢出效應,即波動水平間的信息傳遞效應,是關于股指期貨市場信息效率的研究。文中將誤差修正項作為解釋變量加入GARCH-BEKK模型,研究價格的長期均衡關系對市場波動的影響。結果表明,市場間存在雙向的波動溢出效應；短期波動溢出效應以現(xiàn)貨市場為主；持久性波動溢出效應在不同時段的表現(xiàn)不同：上市初期以期貨市場為主,其后現(xiàn)貨市場較大,2011年期貨市場的持久性波動溢出明顯增強；誤差修正項對市場波動有顯著影響,且在不同時段的表現(xiàn)存在差異。 第六章主要考察股指期貨上市對現(xiàn)貨市場波動的影響,是關于股指期貨穩(wěn)定現(xiàn)貨市場的研究。文中基于跳-擴散隨機波動率模型討論上市前后指數(shù)連續(xù)波動和跳躍特征的變化,并與股指期貨各項指標作比較。研究發(fā)現(xiàn),滬深300股指期貨上市確實起到了穩(wěn)定現(xiàn)貨市場的作用,但這一穩(wěn)定效果主要體現(xiàn)在指數(shù)波動率的連續(xù)部分,指數(shù)波動率的跳躍特征并沒有出現(xiàn)特別明顯的好轉。具體表現(xiàn)為：股指期貨上市后,指數(shù)連續(xù)波動向均值回歸速度加快,連續(xù)波動呈現(xiàn)出逐漸降低的趨勢；“杠桿效應”在經(jīng)歷短暫的消失后逐漸顯現(xiàn)；指數(shù)跳躍波動在總波動中所占比重較高,但隨著交易時間增加,指數(shù)平均跳躍次數(shù)和跳躍波動所占比重逐漸降低。股指期貨市場的連續(xù)波動高于指數(shù)連續(xù)波動,平均跳躍次數(shù)高于指數(shù)跳躍次數(shù),跳躍波動所占比重也較高。 第七章進一步研究了基于高頻數(shù)據(jù)的已實現(xiàn)波動率特征。首先將已實現(xiàn)波動率分解為連續(xù)波動和跳躍波動兩部分,通過對HAR模型進行擴展研究波動率的長記憶性,以及收益率和交易量對波動率的影響。研究發(fā)現(xiàn),已實現(xiàn)波動率的特征主要通過連續(xù)波動來體現(xiàn),表現(xiàn)出較高的持續(xù)性。收益率對連續(xù)波動具有顯著影響,價格發(fā)生變化會增大市場波動；交易量對連續(xù)波動影響顯著,當期交易量增大連續(xù)波動,滯后期交易量減小連續(xù)波動。.另外,跳躍波動的可預測能力較低,收益率和交易量對跳躍波動的影響明顯降低。 最后一章是總結。 綜上可見,作為新興股指期貨市場,滬深300股指期貨在經(jīng)歷了曲折的發(fā)展歷程后,其價格發(fā)現(xiàn)功能已經(jīng)基本成型,定價偏差回歸理性調整路徑,股指期貨向現(xiàn)貨市場的波動溢出效應逐漸增強。更重要的是,作為股票市場的穩(wěn)定器,現(xiàn)貨市場波動逐漸降低,股指期貨上市起到了穩(wěn)定現(xiàn)貨市場的作用。隨著機構投資者加快入市交易的步伐,股指期貨獲取信息的效率有了很大的提高,開始在信息傳遞中發(fā)揮主導作用,股指期貨市場的有效性不斷增強,逐漸走向理性成熟。 本文可能的創(chuàng)新點有：(1)本文通過分段研究找到了股指期貨價格發(fā)現(xiàn)機制的形成脈絡,并考察了股指期貨和指數(shù)價格發(fā)現(xiàn)功能的不對稱性,最后將行為金融理論與具體的市場環(huán)境結合做了更深層次的探討,分析更全面、徹底；(2)從時變特征來說,定價偏差的調整過程、波動溢出效應演變過程與價格發(fā)現(xiàn)機制的形成過程保持高度一致,最后歸結到統(tǒng)一的結論上,即滬深300股指期貨市場逐漸走向成熟有效；(3)與已有研究只關注波動率不同,本文從連續(xù)波動和跳躍波動兩方面來考察波動率特征,并得出股指期貨的穩(wěn)定作用主要體現(xiàn)在指數(shù)連續(xù)波動上,已實現(xiàn)波動率具有長記憶性,收益率和交易量對連續(xù)波動影響顯著等結論。 本文的不足之處可能有：(1)在數(shù)據(jù)處理上,第三、四和五章分段后的樣本一存在結構突變,可能會導致結論不穩(wěn)定,文中沒有再細分樣本去研究；在考察股指期貨穩(wěn)定現(xiàn)貨市場時,樣本數(shù)據(jù)只有兩年左右,時間稍短；由于數(shù)據(jù)所限,對已實現(xiàn)波動率的研究未考慮市場微觀結構噪音的影響；(2)從研究內(nèi)容上來說,本文大多只關注兩個市場,未能充分考慮外界宏觀經(jīng)濟因素的影響；文中沒有單獨研究非股指期貨標的指數(shù)波動率的變化；(3)在研究方法上,全文主要做的是實證研究,創(chuàng)新也主要體現(xiàn)在實證結論上,理論創(chuàng)新力度還不太夠。
[Abstract]:In April 16, 2010, the Shanghai and Shenzhen 300 stock index futures were formally listed on the China Financial Futures Exchange and succeeded in achieving the success of the market. As the first standardized financial derivatives in China, the smooth listing of stock index futures has realized the design original intention of "high standard and steady start" by the national supervision department. Two years of development, the number of participants in the stock index futures market, the contract holding volume, the daily average volume and so on, the market scale is gradually expanding. From the dominant index of the market, the Shanghai and Shenzhen 300 stock index futures market can be said to have achieved a preliminary success, basically reaching the expected goal. With the securities dealers' self account, the fund special account, QF II, letter The related guidance documents of participating in stock index futures have been introduced, and the process of large-scale participation of institutional investors in stock index futures has gradually accelerated.
Theoretically, in a fully effective market, the new information should be reflected in the stock index futures and spot prices at the same time. The transmission of information between the two markets makes the present price in a balanced and stable state for a long time. However, in reality, the stock index futures and the spot are affected by the factors such as liquidity, transaction cost and investor structure. There is a difference in the rate of price response to information, the price will deviate from the long-term equilibrium, that is, the arbitrage opportunity appears, the arbitrage trade makes the price return to the non arbitrage range further. Time and place adjust prices according to market information, thus having higher pricing efficiency than spot market.
The stock market plunged in less than three months after the Shanghai and Shenzhen 300 stock index futures market, not only the stock index futures have not been expected to lead to the change of stock prices (Yang, etc., 2012), and the stock index futures have been questioned to aggravate the volatility of the stock market; the initial contracts in the initial stage of the market are relatively high, and the speculative transactions in the market are active in the end of September, in the end of September,.2010. Index prices are rising rapidly, and stock index futures prices have also risen sharply, the rising speed has exceeded the index, the price fluctuation is high, the base difference is high and the market is not enough. Until the first half of 2011, the index has finally improved, the price fluctuation tends to slow down, the base difference is stable near the equilibrium level, holding the warehouse. The volume is steadily increasing, and the turnover ratio is stable at a lower level. In particular, the improvement of the investor structure has further created conditions for the effective function of the stock index futures market.
Although the Shanghai and Shenzhen 300 stock index futures have achieved good results since the listing of stock index futures, the process of its development has experienced several different stages, then whether the price discovery mechanism of stock index futures has been formed? Is the price of stock index futures reasonable? Is the stock index futures spillover to the spot market? Whether the stock index futures are listed on the market is stable or not The research on this series of problems is actually also a discussion about the effectiveness of the stock index futures market. Because of the short time in the domestic market of the Shanghai and Shenzhen 300 stock index futures, it is very necessary and urgent to use the real market data to carry out a more systematic, comprehensive and more detailed study. This is the original intention of this article.
This paper, taking the Shanghai and Shenzhen 300 stock index futures as the research object, discusses the formation process of the price discovery mechanism of the stock index futures, and discusses the three aspects of the pricing deviation (pricing efficiency), the volatility spillover effect (information efficiency) and the stable spot market. Finally, this paper studies the high level of the two markets. Frequency characteristics have been realized.
The paper consists of eight chapters. The main conclusions are as follows:
The first chapter is the introduction, which mainly describes the research background, research significance, research methods and contents, main conclusions, innovations and deficiencies, and gives the research framework of this paper.
The second chapter is the theoretical basis and literature review. It mainly gives the price discovery, pricing deviation, volatility spillover effect, the impact on the volatility of the spot market, the theory and research of volatility model, and reviews the related research on the Shanghai and Shenzhen 300 stock index futures. Finally, the structural mutation test of the data is briefly introduced. Method.
The third chapter is the core part of the full text. The main purpose is to study the formation process of the price discovery mechanism of Shanghai and Shenzhen 300 stock index futures. In this paper, the price of Shanghai and Shenzhen 300 index is calculated by the real time transaction data of the constituent stocks, and then the operation of the stock index futures is analyzed, and the structural change characteristics of the data are studied by the statistical method. Finally, the characteristics of the structural mutation of the data are studied. Finally, the structural change characteristics of the data are studied. Finally, the structural change characteristics of the data are studied. Finally, the structure of the data is studied. This chapter estimates the VECM model and TVECM model. This chapter finds the formation of the price discovery mechanism of Shanghai and Shenzhen 300 stock index futures: the first few months of the stock index futures market, the index and futures interact with each other, but the index plays a leading role in the price discovery; the index and futures price discovery function is weaker than the futures in the last few months of the end of the year, compared with the futures price discovery function. Since the first half of 2011, stock index futures have finally laid the dominant position of its price discovery function, and the index futures and indices have been adjusted to the level of equilibrium. The price discovery function of stock index futures and indices is asymmetrical in different periods. The effect of the stock index futures price discovery function is influenced by many factors such as the structure of the futures market investor, the volume and the position (turnover ratio), the trend of the spot market, the size and direction of the base difference, and deduce the market participation in the market according to the empirical results. The main investor type is also a very unique perspective.
The fourth chapter analyzes the influencing factors and the nonlinear adjustment process of the stock index futures pricing deviation. It is a study on the pricing efficiency of the stock index futures market. In this paper, the theoretical price of stock index futures is calculated by the index bonus points. The study finds that the positive pricing deviation is the dominant factor in the market. The sustained overvaluation of the price of the goods can be solved by the transaction cost. The longer the longer the expiration time, the higher the pricing deviation, the positive correlation between the volatility and the positive pricing deviation. The rising stock market is beneficial to reduce the pricing deviation. The TAR model segmentation study shows that the pricing deviation to the equilibrium level shows a nonlinear characteristic, and the negative pricing deviation (futures price is low) in the market in 2010. The adjustment speed is relatively fast, but the proportion of negative pricing bias is low; in the first half of 2011, the adjustment speed of positive pricing deviation (futures price overvaluation) was quicker, and the proportion of positive deviation was higher, and the pricing deviation returned to rational adjustment path.
The fifth chapter mainly discusses the volatility spillover effect between the stock index futures and the spot market, that is, the information transfer effect between the volatility level, which is about the information efficiency of the stock index futures market. The error correction term is added to the GARCH-BEKK model as an explanatory variable and the effect of the long term equilibrium relationship on the market volatility is studied. There is a two-way volatility spillover effect in the market, and the short-term volatility spillover effect is mainly in the spot market, and the performance of the persistent volatility spillover effect varies in different periods: the initial market is mainly in the futures market at the beginning of the market, then the spot market is larger, and the volatility spillover of the futures market in 2011 is obviously enhanced; the error correction item is on the market. There are significant differences in volatility and differences in performance at different time periods.
The sixth chapter mainly examines the impact of stock index futures on the volatility of the spot market. It is a study on the stock market of stock index futures. Based on the jump diffusion stochastic volatility model, the changes of the continuous volatility and jumping characteristics before and after the listing are discussed and compared with the indexes of stock index futures. The study found that the Shanghai and Shenzhen stock index futures are the 300 stock index futures. It does play a role in stabilizing the spot market, but the stability effect is mainly reflected in the continuous part of the index volatility, and the jump feature of the index volatility does not show a special improvement. The "leverage effect" appears gradually after the brief disappearance; the proportion of the index jump fluctuation is higher in the total fluctuation, but with the increase of the transaction time, the proportion of the exponential average jump times and the jump fluctuation gradually decreases. The continuous wave movement of the stock index futures market is higher than the index continuous fluctuation and the average jump times are high. In the exponential jump times, the proportion of jump volatility is also higher.
In the seventh chapter, we further study the characteristics of volatility based on high frequency data. First, we decompose the realized volatility into two parts of continuous wave and jump wave. By extending the long memory of the volatility by extending the HAR model, and the influence of the rate of return and the volume of the transaction on the volatility. The rate of return has a significant impact on the continuous fluctuation, the change of the price will increase the fluctuation of the market, the volume of transaction has a significant influence on the continuous fluctuation, the volume of transaction increases continuously and the volume of the lag period decreases continuously. In addition, the predictability of the jump fluctuation is lower, The impact of yield and trading volume on jump volatility is significantly reduced.
The last chapter is a summary.
To sum up, as a new stock index futures market, the price discovery function of Shanghai and Shenzhen 300 stock index futures has been basically formed after a tortuous development process, the pricing deviation regress to the rational adjustment path, the volatility spillover effect of stock index futures to the spot market is gradually enhanced. More importantly, as a stabilizer of the stock market, the spot market is more important. Volatility has gradually decreased, stock index futures have played a role in stabilizing the spot market. As institutional investors accelerate the pace of market entry, the efficiency of stock index futures acquisition information has been greatly improved, and it begins to play a leading role in information transmission. The efficiency of stock index futures market is increasing and gradually to rational maturity.
The possible innovation points of this paper are as follows: (1) in this paper, the formation of the price discovery mechanism of stock index futures is found through the sectional study, and the asymmetry of the index futures and index price discovery function is examined. Finally, the behavioral finance theory and the specific market environment are combined to do a deeper discussion, and the analysis is more comprehensive and thorough; (2) from time to time In terms of variable characteristics, the adjustment process of pricing deviation, the evolution process of volatility spillover effect and the formation process of price discovery mechanism remain highly consistent. Finally, it comes down to the unified conclusion that the Shanghai and Shenzhen 300 stock index futures market is gradually becoming mature and effective; (3) the volatility and jump fluctuation in this paper are different from those of the existing research. The two aspect is to investigate the characteristics of volatility and conclude that the stability of stock index futures is mainly reflected in the continuous fluctuation of index. The volatility has a long memory, the rate of return and the volume of the transaction have a significant impact on the continuous fluctuation.
The shortcomings of this paper may be as follows: (1) in data processing, there is a structural mutation in the sample of the third, fourth and five chapters, which may lead to the instability of the conclusion, and there is no further subdivision of the sample to study. The study of volatility does not take into account the influence of market microstructure noise; (2) from the research content, this paper mainly focuses on two markets and fails to fully consider the influence of the external macroeconomic factors; the change of the index volatility of non stock index futures is not studied separately in this paper; (3) the full text is mainly done in the research method. It is empirical research, and innovation is mainly reflected in the empirical conclusion, and the theoretical innovation is not enough.
【學位授予單位】：西南財經(jīng)大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F832.51

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