本文關(guān)鍵詞： 股指期現(xiàn)貨 價(jià)格發(fā)現(xiàn) 高頻數(shù)據(jù) Morlet小波時(shí)頻分析 向量誤差修正模型 價(jià)格發(fā)現(xiàn)貢獻(xiàn)度　出處：《暨南大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：本文從低頻日交易數(shù)據(jù)和高頻1分鐘交易數(shù)據(jù)兩個(gè)方面展開對(duì)股指期貨價(jià)格發(fā)現(xiàn)功能的研究。在高頻交易數(shù)據(jù)部分，還對(duì)股指不同波段的股指期貨的價(jià)格發(fā)現(xiàn)功能進(jìn)行了差異分析。在每部分的研究中，首先通過(guò)Morlet小波時(shí)頻分析方法，從時(shí)域和頻域兩個(gè)方面，對(duì)股指期貨和現(xiàn)貨收盤價(jià)原始序列的動(dòng)態(tài)關(guān)聯(lián)性和價(jià)格引導(dǎo)關(guān)系進(jìn)行分析研究。然后通過(guò)VEC模型更加量化的研究股指期貨的價(jià)格發(fā)現(xiàn)功能。 在時(shí)頻分析中，使用小波量圖和小波互量圖對(duì)股指期現(xiàn)貨時(shí)間序列進(jìn)行分析研究。發(fā)現(xiàn)：（1）在日間，股指期現(xiàn)貨相互之間的價(jià)格引導(dǎo)關(guān)系并不明顯。（2）在高頻數(shù)據(jù)的分析中，在短周期范圍內(nèi)，股指現(xiàn)貨價(jià)格引導(dǎo)期貨的向上箭頭和期貨引導(dǎo)現(xiàn)貨的向下箭頭的大量存在，表明兩者存在顯著的價(jià)格相互引導(dǎo)作用，股指期貨的價(jià)格發(fā)現(xiàn)功能顯著。但是在長(zhǎng)周期范圍內(nèi)，向右箭頭的幾乎清一色的存在，也說(shuō)明股指期現(xiàn)貨長(zhǎng)期內(nèi)仍然是協(xié)同波動(dòng)的。 在VEC模型的分析中，首先運(yùn)用E-G兩步法對(duì)兩個(gè)變量之間的協(xié)整關(guān)系進(jìn)行檢驗(yàn)，，在此基礎(chǔ)上建立股指期現(xiàn)貨之間的向量誤差修正模型以判斷兩者之間價(jià)格的領(lǐng)先-滯后關(guān)系。最后使用在VECM基礎(chǔ)上建立的信息份額模型（I-S模型）和長(zhǎng)期短暫模型（P-T模型）對(duì)股指期現(xiàn)貨各自在市場(chǎng)價(jià)格發(fā)現(xiàn)中的貢獻(xiàn)度進(jìn)行量化分析。通過(guò)分析表明，在股指期貨的日間價(jià)格發(fā)現(xiàn)功能中，股指現(xiàn)貨在價(jià)格發(fā)現(xiàn)所起的作用更大；而使用1分鐘高頻數(shù)據(jù)進(jìn)行建模的結(jié)果表明，滬深300股指期貨價(jià)格領(lǐng)先現(xiàn)貨6分鐘，且價(jià)格發(fā)現(xiàn)貢獻(xiàn)度要顯著大于現(xiàn)貨市場(chǎng)。且通過(guò)快速上漲波段和下降波段的分析發(fā)現(xiàn)，在快速下跌波段，只存在股指期貨對(duì)現(xiàn)貨的單向價(jià)格引導(dǎo)，而在上漲階段，這種價(jià)格引導(dǎo)關(guān)系是相互的。
[Abstract]:This paper studies the price discovery function of stock index futures from two aspects of low-frequency daily trading data and high-frequency 1-minute trading data. The price discovery function of stock index futures in different bands is also analyzed. In each part of the research, the time domain and frequency domain of stock index futures are analyzed by Morlet wavelet time-frequency analysis method. This paper analyzes the dynamic correlation between stock index futures and spot closing price and the relationship between price guidance and stock index futures, and then studies the price discovery function of stock index futures more quantitatively through VEC model. In time-frequency analysis, wavelet quantification graph and wavelet reciprocal graph are used to analyze the spot time series of stock index period. It is found that: 1) during the day, the price guidance relationship between stock index period spot and spot stock index period is not obvious in the analysis of high frequency data. In a short period, the stock index spot price leads to the existence of a large number of upward arrows of futures and a large number of downward arrows of futures leading to spot, which indicates that there is a significant interaction between the two prices. The price discovery function of stock index futures is remarkable, but in the long period, the existence of the right arrow is almost uniform, which also indicates that the spot stock index period is still fluctuating in the long run. In the analysis of VEC model, E-G two-step method is used to test the cointegration relationship between two variables. On this basis, the vector error correction model between stock index and spot is established to judge the lead-lag relationship between them. Finally, the information share model (I-S model based on VECM) and the long-term transient model are used. The contribution of stock index spot to market price discovery is analyzed quantitatively by using P-T model. In the daytime price discovery function of stock index futures, the spot stock index plays a more important role in price discovery. The results of modeling using 1 minute high frequency data show that the price of Shanghai and Shenzhen 300 stock index futures is 6 minutes ahead of spot prices. And the contribution of price discovery is significantly greater than that of spot market, and through the analysis of the fast rising and falling bands, it is found that in the fast falling band, there is only one way price guidance of stock index futures to spot, but in the rising stage, This price-guiding relationship is mutual.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F832.51

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