本文關(guān)鍵詞：滬深300股指期貨價(jià)格發(fā)現(xiàn)與波動(dòng)溢出實(shí)證分析　出處：《哈爾濱工業(yè)大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 股指期貨 VECM模型 脈沖響應(yīng) 方差分解 BEKK-GARCH模型

【摘要】：我國(guó)滬深300股指期貨上市已三年有余，它在中國(guó)期貨市場(chǎng)上交易活躍，從其整個(gè)市場(chǎng)的流動(dòng)性、持倉(cāng)機(jī)構(gòu)的風(fēng)險(xiǎn)控制水平看來(lái)，我國(guó)的股指期貨市場(chǎng)已經(jīng)日趨成熟。但是滬深300股指期貨是否已經(jīng)如市場(chǎng)參與者所預(yù)期地那樣，發(fā)揮好了它的價(jià)格發(fā)現(xiàn)、套期保值和風(fēng)險(xiǎn)管理的基本功能呢？當(dāng)前尚無(wú)定論。股指期貨到底對(duì)股指現(xiàn)貨發(fā)揮著什么樣的作用，它是否能在一定程度上調(diào)整股市的異常波動(dòng)現(xiàn)象？是否可以給投資者提供更多的投資和套利機(jī)會(huì)？這些問(wèn)題都是現(xiàn)在業(yè)界以及學(xué)術(shù)界所共同關(guān)注的問(wèn)題。 本課題以滬深300股指期貨和滬深300指數(shù)2011年全年的5分鐘高頻成交數(shù)據(jù)作為研究對(duì)象，在符合中國(guó)金融期貨市場(chǎng)特征的前提下，構(gòu)建連續(xù)的股指期貨價(jià)格時(shí)間序列。在計(jì)量統(tǒng)計(jì)框架下探討股指期貨市場(chǎng)的價(jià)格發(fā)現(xiàn)特征，并對(duì)其與現(xiàn)貨之間的波動(dòng)溢出關(guān)系進(jìn)行實(shí)證分析。 本課題通過(guò)向量誤差修正模型（Vector Error Correction Model，VECM）結(jié)合脈沖響應(yīng)方法、方差分解等信號(hào)系統(tǒng)領(lǐng)域中的研究手段，深入剖析滬深300股指期貨與現(xiàn)貨市場(chǎng)長(zhǎng)期均衡關(guān)系和短期非均衡的動(dòng)態(tài)調(diào)整微觀動(dòng)態(tài)結(jié)構(gòu)。本課題以BEKK-GARCH（1，1）模型為基礎(chǔ)，對(duì)我國(guó)股指期現(xiàn)貨市場(chǎng)間的波動(dòng)溢出關(guān)系進(jìn)行了探究。 研究結(jié)果表明股指期貨市場(chǎng)和現(xiàn)貨市場(chǎng)之間存在長(zhǎng)期均衡關(guān)系，且期貨價(jià)格領(lǐng)先現(xiàn)貨價(jià)格15分鐘；期貨市場(chǎng)對(duì)現(xiàn)貨市場(chǎng)沖擊具有吸收消化的過(guò)程，，期貨的上市可以相應(yīng)的緩解現(xiàn)貨市場(chǎng)的極端波動(dòng)，發(fā)揮穩(wěn)定金融市場(chǎng)的作用；現(xiàn)貨市場(chǎng)對(duì)期貨市場(chǎng)沖擊表現(xiàn)敏感，由期貨市場(chǎng)向現(xiàn)貨市場(chǎng)的信息傳遞能在現(xiàn)貨市場(chǎng)中快速體現(xiàn)。對(duì)波動(dòng)溢出的實(shí)證分析結(jié)果表明，市場(chǎng)間雙向波動(dòng)溢出效應(yīng)顯著存在于我國(guó)滬深300股指期貨和股指現(xiàn)貨市場(chǎng)，然而雙向溢出呈現(xiàn)非平衡狀態(tài)。本課題根據(jù)實(shí)證分析的研究結(jié)果給出了利用股指期貨和現(xiàn)貨之間價(jià)格和波動(dòng)溢出關(guān)系進(jìn)行期現(xiàn)套利的交易策略建議，供我國(guó)期貨市場(chǎng)的主要參與者參考；而且本研究的結(jié)論也為我國(guó)股指期貨市場(chǎng)的政策制定者及監(jiān)管方提供了相關(guān)決策的參考依據(jù)，使得風(fēng)險(xiǎn)控制監(jiān)管更有效率。
[Abstract]:China's CSI 300 stock index futures market has been more than three years, it Chinese in the futures market trading activity, from the liquidity of the market, the level of risk control mechanism of the positions of view, China's stock index futures market has become increasingly mature. But the Shanghai and Shenzhen 300 stock index futures have such as market participants expected to play good its price discovery, hedging and risk management of the basic function? The current inconclusive. In the end of the stock index futures and stock index spot plays what role, whether it can adjust the abnormal fluctuations in the stock market to some extent? Whether can provide investors with more investment and arbitrage opportunities? These problems are now the industry and the problem of common concern in academic circles.
The Shanghai and Shenzhen 300 stock index futures and the Shanghai and Shenzhen 300 index in 2011 the year of the 5 minute high-frequency transaction data as the research object, in accordance with the characteristics of Chinese financial futures market, stock index futures price to construct a continuous time series. In the statistical framework of stock index futures market price discovery feature, and the relationship between the volatility spillover and the spot for empirical analysis.
This topic through the vector error correction model (Vector Error Correction Model, VECM) with the method of impulse response, variance decomposition research methods in the field of signal system, in-depth analysis of the Shanghai and Shenzhen 300 stock index futures and spot market long-term equilibrium relationship and short-term dynamic adjustment of the micro dynamic structure of non equilibrium. In this paper BEKK-GARCH (1,1) model on the spot market volatility spillover, the relationship between the stock index futures in China were studied.
The results show that there is a long-term equilibrium relationship between stock index futures market and spot market, futures prices and spot prices ahead of 15 minutes; the futures market has the process of digestion and absorption of impact on the spot market, futures market can alleviate the corresponding extreme fluctuations in the stock market, play a role to stabilize the financial market; spot market is sensitive to the futures market impact performance from the futures market to the spot market, the transmission of information can be quickly reflected in the spot market. The results of the empirical analysis of the volatility spillover between the market showed significant two-way volatility spillover effects exist in China's Shanghai and Shenzhen 300 stock index futures and stock index spot market, but the overflow showed non equilibrium. This paper according to the results of empirical analysis are given the price and volatility spillover between stock index futures and spot arbitrage trading strategies are proposed for me The main participants in China's futures market refer to it, and the conclusions of this study provide a reference for policy makers and regulators in China's stock index futures market, making risk control and supervision more efficient.

【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F724.5;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 趙燕;李月環(huán);;我國(guó)股指期貨市場(chǎng)有效性研究[J];財(cái)會(huì)月刊;2011年36期

2 李婷;劉向麗;李成武;;股指期貨與股市聯(lián)動(dòng)效應(yīng)研究——滬深300股指期貨高頻數(shù)據(jù)的證據(jù)[J];東北財(cái)經(jīng)大學(xué)學(xué)報(bào);2012年01期

3 嚴(yán)敏;巴曙松;吳博;;我國(guó)股指期貨市場(chǎng)的價(jià)格發(fā)現(xiàn)與波動(dòng)溢出效應(yīng)[J];系統(tǒng)工程;2009年10期

4 張立;;滬深300指數(shù)期貨與現(xiàn)貨的相互引導(dǎo)關(guān)系研究[J];經(jīng)濟(jì)問(wèn)題;2012年03期

5 朱建平;魏瑾;謝邦昌;;金融高頻數(shù)據(jù)挖掘研究評(píng)述與展望[J];經(jīng)濟(jì)學(xué)動(dòng)態(tài);2011年06期

6 涂志勇;郭明;;股指期貨推出對(duì)現(xiàn)貨市場(chǎng)價(jià)格影響的理論分析[J];金融研究;2008年10期

7 封思賢;張兵;李心丹;汪慧建;;從中國(guó)股指期貨境外的聯(lián)動(dòng)看我國(guó)股市定價(jià)權(quán)[J];金融研究;2010年04期

8 張彥;;中國(guó)股指期貨與現(xiàn)貨關(guān)系的實(shí)證研究——基于滬深300股指期貨[J];價(jià)值工程;2011年33期

9 夏天;;國(guó)內(nèi)外股指期貨與股票指數(shù)之間的關(guān)聯(lián)性研究——基于日經(jīng)225指數(shù)期現(xiàn)貨市場(chǎng)的實(shí)證分析[J];南方經(jīng)濟(jì);2008年04期

10 劉慶富;華仁海;;中國(guó)股指期貨與股票現(xiàn)貨市場(chǎng)之間的風(fēng)險(xiǎn)傳遞效應(yīng)研究[J];統(tǒng)計(jì)研究;2011年11期

本文編號(hào)：1367552