本文關鍵詞：滬深300股指期貨價格發(fā)現(xiàn)與波動溢出實證分析　出處：《哈爾濱工業(yè)大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 股指期貨 VECM模型 脈沖響應 方差分解 BEKK-GARCH模型

【摘要】：我國滬深300股指期貨上市已三年有余，它在中國期貨市場上交易活躍，從其整個市場的流動性、持倉機構的風險控制水平看來，我國的股指期貨市場已經(jīng)日趨成熟。但是滬深300股指期貨是否已經(jīng)如市場參與者所預期地那樣，發(fā)揮好了它的價格發(fā)現(xiàn)、套期保值和風險管理的基本功能呢？當前尚無定論。股指期貨到底對股指現(xiàn)貨發(fā)揮著什么樣的作用，它是否能在一定程度上調整股市的異常波動現(xiàn)象？是否可以給投資者提供更多的投資和套利機會？這些問題都是現(xiàn)在業(yè)界以及學術界所共同關注的問題。 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)作為研究對象，在符合中國金融期貨市場特征的前提下，構建連續(xù)的股指期貨價格時間序列。在計量統(tǒng)計框架下探討股指期貨市場的價格發(fā)現(xiàn)特征，并對其與現(xiàn)貨之間的波動溢出關系進行實證分析。 本課題通過向量誤差修正模型（Vector Error Correction Model，VECM）結合脈沖響應方法、方差分解等信號系統(tǒng)領域中的研究手段，深入剖析滬深300股指期貨與現(xiàn)貨市場長期均衡關系和短期非均衡的動態(tài)調整微觀動態(tài)結構。本課題以BEKK-GARCH（1，1）模型為基礎，對我國股指期現(xiàn)貨市場間的波動溢出關系進行了探究。 研究結果表明股指期貨市場和現(xiàn)貨市場之間存在長期均衡關系，且期貨價格領先現(xiàn)貨價格15分鐘；期貨市場對現(xiàn)貨市場沖擊具有吸收消化的過程，，期貨的上市可以相應的緩解現(xiàn)貨市場的極端波動，發(fā)揮穩(wěn)定金融市場的作用；現(xiàn)貨市場對期貨市場沖擊表現(xiàn)敏感，由期貨市場向現(xiàn)貨市場的信息傳遞能在現(xiàn)貨市場中快速體現(xiàn)。對波動溢出的實證分析結果表明，市場間雙向波動溢出效應顯著存在于我國滬深300股指期貨和股指現(xiàn)貨市場，然而雙向溢出呈現(xiàn)非平衡狀態(tài)。本課題根據(jù)實證分析的研究結果給出了利用股指期貨和現(xiàn)貨之間價格和波動溢出關系進行期現(xiàn)套利的交易策略建議，供我國期貨市場的主要參與者參考；而且本研究的結論也為我國股指期貨市場的政策制定者及監(jiān)管方提供了相關決策的參考依據(jù)，使得風險控制監(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.

【學位授予單位】：哈爾濱工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F724.5;F224

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