發(fā)布時間：2018-07-03 10:56

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

【摘要】：每一個完善、成熟的市場都是由眾多的投資主體、豐富的產(chǎn)品和嚴(yán)格的市場制度組成的,資本市場也不例外。一個成熟的資本市場要求其有眾多的充滿活力的投資主體、健康完善的金融產(chǎn)品體系和完整、細(xì)化、嚴(yán)格的市場制度。審視我國的資本市場,雖然自改革開放以來已經(jīng)實現(xiàn)了飛速的發(fā)展,具有比較豐富的金融產(chǎn)品,但是距離成為一個成熟、完善的資本市場還有不短的距離。我國的資本市場是一個單邊的市場,我們的股票市場沒有做空機(jī)制,沒有一個行之有效的辦法來用來對付市場的系統(tǒng)風(fēng)險。當(dāng)面臨著股票市場的大漲大跌的時候,所有投資者所能做的只是在現(xiàn)貨市場上進(jìn)行拋售或者買進(jìn),而這樣又進(jìn)一步惡性循環(huán)的造成了股市更大的波動。針對這樣的市場現(xiàn)狀,推出股指期貨是必然的發(fā)展趨勢。 股指期貨,全稱為股票價格指數(shù)期貨,從名稱便可以看出是以股票價格指數(shù)為標(biāo)的資產(chǎn)的期貨,是一種金融衍生產(chǎn)品。股指期貨是資本市場發(fā)展到定階段股票市場與期貨市場結(jié)合而來的產(chǎn)物,是一種新型的金融衍生產(chǎn)品,自1982年世界上第一只股指期貨——價值線指數(shù)期貨在美國堪薩斯期貨交易所誕生以來,不過短短三十年的發(fā)展歷程,可是它在資本市場上卻有著重要的地位。這是由于股指期貨本身的特點使其具有穩(wěn)定市場、防止市場大幅波動的作用。隨著金融市場的發(fā)展、金融產(chǎn)品的豐富,影響市場的不確定因素也越來越多,這就使得股指期貨這樣可以充當(dāng)市場穩(wěn)定劑的金融產(chǎn)品成了現(xiàn)代金融市場不可或缺的重要組成部分。 具體來說,股指期貨交易是以標(biāo)準(zhǔn)的股指期貨合約為載體進(jìn)行的。股指期貨合約是由交易所指定的以某一種股票價格指數(shù)作為標(biāo)的物的標(biāo)準(zhǔn)化期貨合約。合約詳細(xì)的規(guī)定了標(biāo)的指數(shù)的種類、合約乘數(shù)、保證金比例、到期時問、交割方式、結(jié)算方法等等一系列具體的交易規(guī)則。交易者根據(jù)期貨合約的規(guī)定,在約定的時間按照約定的價格對標(biāo)的物進(jìn)行買賣交割,而一般來說由于其標(biāo)的物為股票指數(shù),無法實現(xiàn)實物交割,所以買賣雙方就以現(xiàn)金來補足買賣價差以完成交易。 股票市場的風(fēng)險分為兩大類,即非系統(tǒng)風(fēng)險和系統(tǒng)風(fēng)險。非系統(tǒng)風(fēng)險又稱為非市場風(fēng)險或可分散風(fēng)險。從其名稱便可以知道這種風(fēng)險是可以分散的,具體做法是通過投資組合的方式來分散風(fēng)險,雖然不能完全消除但是通過精確的計算可以降到最低。與之相反的,系統(tǒng)風(fēng)險又稱為市場風(fēng)險或不可分散風(fēng)險。這種風(fēng)險是由于市場上某些因素的變化而導(dǎo)致整個股市所有的股票面臨的風(fēng)險。導(dǎo)致系統(tǒng)風(fēng)險的因素不在上市公司內(nèi)部,上市公司本身對其不具有控制性,因此系統(tǒng)風(fēng)險是造成股市大幅波動的元兇。 股指期貨具有穩(wěn)定股票現(xiàn)貨市場作用主要就體現(xiàn)在交易者通過在股指期貨市場上的交易行為可以將股票市場上原本不能夠消除的系統(tǒng)風(fēng)險轉(zhuǎn)移。具體做法是那些持有股票現(xiàn)貨但卻厭惡風(fēng)險的交易者可以通過做空股指期貨合約進(jìn)行套期保值；同樣那些在未來需要買入股票現(xiàn)貨卻厭惡風(fēng)險的交易者可以做多股指期貨合約進(jìn)行套期保值。而股指期貨的價格發(fā)現(xiàn)功能是使股指期貨的套期保值、穩(wěn)定股票市場、合理配置資本等諸多作用能夠順利完成的基礎(chǔ)條件。股指期貨對于金融市場的所有積極作用都是依托于價格發(fā)現(xiàn)功能而完成的,所以說價格發(fā)現(xiàn)功能是股指期貨最基本的功能。因此對于“股指期貨具有價格發(fā)現(xiàn)功能”這一命題的真?zhèn)尉途哂挟惓Ｖ匾囊饬x,自股指期貨誕生以來關(guān)于此問題的爭論就沒有停止過。從上世紀(jì)八十年代股指期貨問世以后眾多經(jīng)濟(jì)學(xué)家們就針對其價格發(fā)現(xiàn)功能做了大量的實證和理論分析,但是由于所選樣本的差別、市場所處宏觀經(jīng)濟(jì)環(huán)境迥異等等因素,造成論證結(jié)果也不盡相同。對于股指期貨是否具有價格發(fā)現(xiàn)功能的觀點大致分為三類：肯定、否定和無法確定。 其實對于股指期貨是否具有價格發(fā)現(xiàn)功能的論證即證明股指期貨的價格是否領(lǐng)先于價格發(fā)現(xiàn)功能,或者換種說法便是股指期貨價格是否為指數(shù)現(xiàn)貨價格的原因。要驗證哪種觀點是正確的需要選取合適的樣本數(shù)據(jù)來對其進(jìn)行實證分析,便會得到一個確定的結(jié)果來驗證在所選樣本所在的股指期貨市場內(nèi)該股指期貨是或者不是具有價格發(fā)現(xiàn)功能的。本文便是選取我國的滬深300股指期貨價格和指數(shù)現(xiàn)貨價格作為樣本數(shù)據(jù)對股指期貨是否具有價格發(fā)現(xiàn)功能進(jìn)行實證分析。 我國滬深300指數(shù)是由中證指數(shù)有限公司編制和維護(hù)的,以滬深股市中規(guī)模大、流動性好的300只A股作為成分股,基期為2004年12月31日,基點為1000點,運用派許加權(quán)綜合價格指數(shù)公式進(jìn)行計算。其選取的成分股覆蓋范圍廣、代表性強,已經(jīng)成為衡量我國股市發(fā)展?fàn)顩r的風(fēng)向標(biāo),因此滬深300指數(shù)很適合作為股指期貨的標(biāo)的物。我國的滬深300股指期貨便是以滬深300指數(shù)為標(biāo)的的股指期貨,于2010年4月16日在中國金融期貨交易所掛牌上市,到今天已經(jīng)運行了近兩年的時間,市場交易活躍、運行情況穩(wěn)定。 本文選取我國的滬深300股指期貨作為研究對象具有特殊的意義。首先,滬深300股指期貨是我國內(nèi)地本土誕生的第一只股指期貨,從孕育到正式掛牌上市經(jīng)歷了近二十年的曲折歷程。滬深300股指期貨作為我國內(nèi)地首只股指期貨肩負(fù)著穩(wěn)定我國股票市場、為廣大投資者提供套期保值的平臺、完善資本市場等等重要職責(zé)。但是由于我國社會形態(tài)不同于西方國家、經(jīng)濟(jì)發(fā)展歷史具有自身特色,因此股指期貨在我國資本市場中是否能達(dá)到預(yù)期的積極作用和效果、是否能成為我國未來的資本市場定價中心有待驗證,這就需要針對我國的滬深股指期貨數(shù)據(jù)進(jìn)行分析和研究。而股指期貨的眾多功能中最基礎(chǔ)的功能便是其價格發(fā)現(xiàn)功能,股指期貨所具有的套期保值、風(fēng)險轉(zhuǎn)移、資產(chǎn)配置等一系列功能都是以價格發(fā)現(xiàn)功能為基礎(chǔ)的。因此在我國“股指期貨具有價格發(fā)現(xiàn)功能”這一命題的真?zhèn)尉途哂蟹欠驳囊饬x,需要以我國本土的股指期貨交易的真實數(shù)據(jù)進(jìn)行實證分析驗證我國的股指期貨是否具有價格發(fā)現(xiàn)功能。 本文以我國滬深300股指期貨與指數(shù)現(xiàn)貨2010年4月16日到2010年11月30日和2010年12月1日到2011年12月30日價格的日數(shù)據(jù)、2011年6月8日到2011年12月30日價格的30分鐘頻率數(shù)據(jù)、2011年6月8日到2011年7月29日的5分鐘步長的高頻數(shù)據(jù)四組樣本進(jìn)行實證分析。之所以選取這四組樣本數(shù)據(jù)的目的在于通過第一組和第二組不同時間區(qū)間數(shù)據(jù)分析結(jié)果的對比、第二、三、四組不同時間頻率數(shù)據(jù)的分析結(jié)果對比得到較為全面的結(jié)論。 本文的內(nèi)容結(jié)構(gòu)大致分為：首先對相關(guān)名詞進(jìn)行解釋,如期貨市場、股票指數(shù)、股指期貨等定義的介紹；然后針對股指期貨介紹世界股指期貨的發(fā)展歷史與我國的滬深300股指期貨的現(xiàn)狀介紹；第三對本文進(jìn)行實證分析將要用到的檢驗方法和計量模型進(jìn)行簡單介紹；然后是本文最重要的部分——實證部分。本文的實證分析部分的主要步驟為：(1)對收集到的原始數(shù)據(jù)進(jìn)行初步的描述性分析,使我們對數(shù)據(jù)有認(rèn)知性的了解,再對其進(jìn)行進(jìn)一步的檢驗分析；(2)對經(jīng)初步處理得到的樣本數(shù)據(jù)進(jìn)行檢驗分析,最先的檢驗分析是單位根檢驗,通過檢驗結(jié)果來確定時間序列是否具有平穩(wěn)性,如果序列數(shù)據(jù)是不平穩(wěn)的則對其進(jìn)行差分處理直到其具有平穩(wěn)性為止；(3)再對兩組時間序列進(jìn)行協(xié)整檢驗來判斷二者之間是否存在長期的穩(wěn)定狀態(tài)(即協(xié)整關(guān)系),若存在協(xié)整關(guān)系,則再在協(xié)整檢驗的基礎(chǔ)上建立誤差修正模型來準(zhǔn)確描述在短期內(nèi)兩組時間序列是如何相互影響以達(dá)到長期穩(wěn)定關(guān)系的；(4)對平穩(wěn)的兩組時間序列或其平穩(wěn)的差分序列進(jìn)行Granger因果檢驗得到它們誰是原因誰是結(jié)果的結(jié)論。在完成了實證分析部分之后是本文的第五部分,也就是最后一部分,對實證分析的結(jié)果進(jìn)行分析,結(jié)合我國金融市場實際情況探究造成此實證分析結(jié)果的原因。
[Abstract]:Every perfect and mature market is made up of a large number of investors, rich products and a strict market system, and the capital market is no exception. A mature capital market requires a large number of energetic investment bodies, a healthy and perfect financial product system and a complete, detailed and strict market system. Although the capital market has achieved rapid development since the reform and opening up, it has a relatively rich financial product, but it has no short distance to become a mature and perfect capital market. The capital market of our country is a unilateral market. Our stock market has no short mechanism, and there is no effective method. To deal with the systemic risk of the market. When the stock market is in a big drop, all the investors can do just to sell or buy in the spot market, and the further vicious cycle has caused a greater volatility in the stock market.
Stock index futures, all known as stock price index futures, can be seen from the name of the stock price index as the underlying asset futures, is a financial derivative product. Stock index futures is the product of the development of the capital market to the fixed phase of the stock market and the futures market, is a new type of financial derivatives, from the 1982 World. The first stock index futures, since the birth of the value line index futures in the Kansas futures exchange of the United States, is only thirty years of development, but it has an important position in the capital market. This is due to the characteristics of the stock index futures itself, which has the effect of stabilizing the market and preventing the large fluctuation of the market. The development, the wealth of financial products, and more and more uncertainties affecting the market, which makes the stock index futures as a market stabilizer, has become an indispensable part of the modern financial market.
Specifically, the stock index futures transaction is carried out by the standard stock index futures contract. The stock index futures contract is a standardized futures contract designated by the exchange with a stock price index as the target. The contract specifies the categories of the index, the number of contracts, the margin ratio, the expiration time, the way of delivery, and the conclusion of the contract. A series of specific rules of transaction, such as the method of calculation, and so on. According to the stipulations of the futures contract, the trader is able to deliver the sale at the agreed time to the subject matter at the agreed price, and generally, because its target is the stock index, it can not achieve the physical delivery, so the buyer and seller will make up the sale spread by cash to complete the transaction.
The risk of the stock market is divided into two categories, namely, non system risk and system risk. Non system risk is also known as non market risk or dispersible risk. From its name, it can be known that the risk can be dispersed, and the concrete practice is to disperse the risk through the way of portfolio, although it can not be completely eliminated but through accurate calculation. In contrast, the system risk is also known as the market risk or the non dispersive risk. This risk is due to the changes in the market factors that lead to the risk of all stocks in the stock market. The factors that cause the system risk are not within the listed company, and the listed company itself is not controlled by the listed company itself, so the system is not in its own control. Risk is the culprit in the stock market.
Stock index futures have the effect of stabilizing stock spot market, which is mainly reflected in the system risk transfer that can not be eliminated in the stock market by trading behavior in stock index futures market. Hedging; the same traders who need to buy stock in the future but disgust risk can make multiple stock index futures contracts for hedging. The price discovery function of stock index futures is the basic condition that can make the stock index futures hedging, the stock market, the rational allocation of capital and so on. All the positive effects of futures on the financial market are based on the price discovery function. Therefore, the price discovery function is the most basic function of the stock index futures. Therefore, the authenticity of the proposition of "the price discovery function" of "stock index futures" is of great significance. Since the stock index futures came out in 80s of last century, many economists have done a lot of empirical and theoretical analysis on its price discovery function, but the results are not the same because of the difference in the selected samples and the macro economic environment in the market. Whether the goods have the function of price discovery can be roughly divided into three categories: affirmation, negation and uncertainty.
In fact, whether the stock index futures have the price discovery function proves whether the price of the stock index futures is ahead of the price discovery function, or whether the stock index futures price is the reason for the index spot price. We will get a definite result to verify that the stock index futures in the stock index futures market where the selected samples are located is or does not have the function of price discovery. This article is to choose our country's Shanghai and Shenzhen 300 stock index futures price and the index spot price as sample data to make an empirical analysis of the price discovery function of the stock index period goods. Analysis.
The Shanghai and Shenzhen 300 index is compiled and maintained by the China Securities Index Co. The 300 A shares in the Shanghai and Shenzhen stock market are large in scale and good in liquidity. The base period is December 31, 2004 and the base point is 1000. In order to measure the vane of the development of China's stock market, the Shanghai and Shenzhen 300 index is very suitable as the target of the stock index futures. The Shanghai and Shenzhen 300 stock index futures are the stock index futures with the Shanghai and Shenzhen 300 index as the standard. In April 16, 2010, the Shanghai and Shenzhen stock index futures were listed on the Chinese financial futures exchange, and the market has been running for nearly two years. The transaction is active and the operation is stable.
This paper selects the Shanghai and Shenzhen 300 stock index futures as the research object. First, the Shanghai and Shenzhen 300 stock index futures are the first stock index futures in the mainland of our country. The stock index futures of Shanghai and Shenzhen stock index futures have undergone a zigzag course for nearly twenty years. The Shanghai and Shenzhen 300 stock index futures are the first stock index futures in the mainland of China. The stock market of our country provides the platform of hedging for the majority of investors and consummate the important responsibilities of the capital market. However, because the social form is different from the western countries, the history of economic development has its own characteristics, so whether the stock index futures can achieve the expected positive effect and effect in the capital market of our country and whether it can be made or not. China's future capital market pricing center needs to be verified, which requires analysis and Research on the Shanghai and Shenzhen stock index futures data in China. The most basic function of the stock index futures is its price discovery function, the hedging of the stock index futures, the risk transfer, the asset allocation and so on is the price of the stock index futures. The authenticity of the proposition that the stock index futures have the price discovery function is of great significance. It is necessary to make an empirical analysis of the real data of the stock index futures trading in our country to verify whether the stock index futures of our country have the function of price occurrence.
In this paper, we take the daily data of the Shanghai and Shenzhen 300 stock index futures and the index spot from April 16, 2010 to November 30, 2010 and December 1, 2010 to December 30, 2011, the 30 minute frequency data of June 8, 2011 to December 30, 2011, four groups of high-frequency data from June 8, 2011 to 5 minutes. The purpose of the four sets of sample data is to compare the results of data analysis between the first and second groups of different time intervals, and to compare the results of the second, third, four groups of different time frequency data to get a more comprehensive conclusion.
The content structure of this article is divided into the following: first, explain the relevant nouns, such as the introduction of futures market, stock index, stock index futures and so on; then, introduce the development history of the stock index futures and the present situation of China's Shanghai and Shenzhen 300 stock index futures for stock index futures; third the empirical analysis will be used in this paper. The main part of this paper is the most important part of this paper. The main steps of the empirical analysis are: (1) a preliminary descriptive analysis of the collected raw data so that we have a cognitive understanding of the data and further analysis of the data; (2) to the classics The initial analysis of the sample data is tested and analyzed. The first test analysis is the unit root test. The test results are used to determine whether the time series is stable. If the sequence data is unstable, the difference processing is carried out until it has the stability. (3) then the two sets of time series are cointegration test. Whether there is a long-term stable state (i.e. cointegration) between the two broken ones, if there is cointegration relationship, then the error correction model is established on the basis of cointegration test to accurately describe how the two groups of time series are affected to achieve long-term stability in the short term. (4) the stationary two groups of time series or the stationary difference of their difference. The sequence carries on the Granger causality test to get them who is the reason who is the conclusion of the result. After the completion of the empirical analysis part, the fifth part of this paper is the last part, the results of the empirical analysis are analyzed, and the reasons for the results of the empirical analysis are explored in combination with the actual situation of the financial market in China.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.5;F224

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