本文關(guān)鍵詞： 滬深300 股指期貨 基差 影響因素 非對稱效應(yīng)　出處：《西南財經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：2010年4月16日,中國金融期貨交易所正式推出了我國第一份股指期貨合約——滬深300股指期貨合約。在不到兩年的時間里,滬深300股指期貨日成交額已突破4000億元。2012年2月2日,新修訂的《期貨市場客戶開戶管理規(guī)定》,解決了公募基金等機(jī)構(gòu)投資者股指期貨開戶問題,這意味著公募基金等機(jī)構(gòu)投資者將正式進(jìn)入股指期貨市場。這將有利于公募基金等機(jī)構(gòu)投資者減少交易成本和進(jìn)行流動性管理,同時,也為公募基金等機(jī)構(gòu)投資者的產(chǎn)品創(chuàng)新和策略設(shè)計提供了新的空間。對于如何利用滬深300股指期貨進(jìn)行套期保值和套利,對這些機(jī)構(gòu)投資者而言是迫切想要知道的問題。而滬深300股指期貨基差對于利用滬深300股指期貨進(jìn)行套期保值或者進(jìn)行套利來說,都是至關(guān)重要的。本文便試圖通過對滬深300股指期貨基差的影響因素以及基差的非對稱效應(yīng)進(jìn)行實證研究,為滬深300股指期貨市場的套期保值者和套利者提供一個參考,以便于他們利用相關(guān)結(jié)論更好地達(dá)到套期保值或者套利的目的。 本文主要通過以下五個部分,對滬深300股指期貨基差的影響因素以及其非對稱效應(yīng)進(jìn)行了研究： 第一部分是緒論,在該部分本文對選題的背景、意義以及研究方法內(nèi)容進(jìn)行了介紹。同時,也對國內(nèi)外有關(guān)基差的一些研究進(jìn)行了回顧。 第二部分是概述部分,主要對滬深300股指期貨、其標(biāo)的以及滬深300股指期貨基差的特性進(jìn)行了簡單的介紹。在這個部分本文通過圖示分析,觀察到滬深300指數(shù)的成分股分紅情況呈現(xiàn)出周期性,分紅主要集中在每年的5月份-9月份。同時,也發(fā)現(xiàn)滬深300指數(shù)和期現(xiàn)日交易額占比之間,存在明顯的反向變動關(guān)系。 第三部分是本文的重點章節(jié),在這個部分本文首先從國內(nèi)外學(xué)者對基差影響因素進(jìn)行研究時所提出的多種理論出發(fā),對滬深300股指期貨基差的各種可能的影響因素進(jìn)行了定性分析。然后,利用簡單線性模型、ARMA模型以及GARCH模型,實證研究了這些因素對滬深300股指期貨基差的影響,并對實證結(jié)果進(jìn)行了分析說明。 第四部分也是本文的重點章節(jié),在該部分本文對滬深300股指期貨基差的非對稱效應(yīng)展開了研究。首先,通過運(yùn)用對稱效應(yīng)模型和非對稱效應(yīng)模型,實證研究了基差對現(xiàn)貨收益率和期貨收益率的風(fēng)險結(jié)構(gòu)的影響,以證實滬深300股指期貨基差是否存在著非對稱效應(yīng)。然后,在此基礎(chǔ)上,將利用非對稱效應(yīng)模型取得的套期保值效果與幾種傳統(tǒng)套保模型的套期保值效果進(jìn)行了比較,進(jìn)而對考慮滬深300股指期貨基差的非對稱效應(yīng)是否將有助于投資者提高其套期保值的效率進(jìn)行研究。 第五部分,是本文的最后一個部分,主要是對本文前面章節(jié)實證部分所得到結(jié)果進(jìn)行歸納總結(jié),進(jìn)而綜合得出本文的最終結(jié)論。同時,在這個部分,本文也為后來的學(xué)者列出了一些可供進(jìn)一步研究的方向。 通過以上五個部分的研究,本文主要得到了以下結(jié)論： 第一,在利用簡單線性模型對資金成本率與股息率對基差的影響進(jìn)行研究時,本文發(fā)現(xiàn)股息率將對基差產(chǎn)生正向的影響,資金成本率將對基差產(chǎn)生負(fù)向的影響。除此之外,通過比較研究,本文發(fā)現(xiàn)個人投資者對滬深300股指期貨進(jìn)行定價時,更多將銀行貸款利率作為資金成本率,而機(jī)構(gòu)投資者參考的利率主要是國債到期收益率。 第二,本文利用ARMA模型研究了各期限連續(xù)合約的基差滯后項對基差的影響,實證結(jié)果表明滬深300股指期貨各期限連續(xù)合約基差的一階、二階滯后項對基差都有顯著為正的影響。并且,滯后二階的影響要小于滯后一階。 第三,本文通過在ARMA模型中引入現(xiàn)貨指數(shù)和距到期日時間這兩個變量,研究了這兩個因素對滬深300股指期貨基差的影響。實證結(jié)果顯示,這兩個因素都會對滬深300股指期貨的基差產(chǎn)生負(fù)的影響。結(jié)合本文的第一條結(jié)論,本文認(rèn)為持有成本理論對于分析滬深300股指期貨基差的變動是適用的。 第四,本文通過對現(xiàn)貨指數(shù)漲跌幅度加以門限,建立悲觀與樂觀兩個虛擬變量,然后將這兩個虛擬變量引入基差的ARMA模型中,實證研究了市場情緒對滬深300股指期貨基差的影響。最終,得到的實證結(jié)果表明當(dāng)現(xiàn)貨市場處于樂觀情緒的時,這種情緒更容易傳導(dǎo)至股指期貨市場,進(jìn)而使得滬深300股指期貨的基差變小,而當(dāng)現(xiàn)貨市場處于悲觀情緒時,這種悲觀情緒并不容易傳導(dǎo)到股指期貨市場上。 第五,本文借鑒劉洪(2011)等人的月份效應(yīng)研究方法,對滬深300股指期貨基差的月份效應(yīng)進(jìn)行了實證研究,實證結(jié)果顯示滬深300股指期貨基差存在著月份效應(yīng)。1月和9月交割的合約較其他月份交割的合約的基差顯著要小,而在分紅高峰期每年的六月份,在該月交割的滬深300股指期貨合約基差較其他月份,顯著要大。這個結(jié)果提醒滬深300股指期貨市場上的套期保值者和套利者,在利用基差進(jìn)行投資決策時,應(yīng)考慮這些月份交割的合約可能會出現(xiàn)的這種效應(yīng)。 第六,通過將股指期貨日交易量的自然對數(shù)作為交易成本的代理變量,并建立GARCH模型,本文研究了交易成本對滬深300股指期貨基差的影響,結(jié)果發(fā)現(xiàn)交易成本的增加會顯著增加基差的波動性。同時,該實證結(jié)果還表明當(dāng)股指期貨市場的流動性越好時,基差越��；反之,基差越大。結(jié)合凱恩斯的風(fēng)險補(bǔ)償理論進(jìn)行分析,本文認(rèn)為這個結(jié)果與我國股指期貨市場以空頭套期保值者居多的事實相一致。 第七,本文將“相對波動率”作為衡量期現(xiàn)兩市相對風(fēng)險的指標(biāo),并將其引入ARMA模型,研究了期現(xiàn)兩市的相對風(fēng)險對滬深300股指期貨基差的影響,結(jié)果發(fā)現(xiàn)“相對波動率”的滯后一階項與滬深300股指期貨基差之間存在較為顯著負(fù)向的關(guān)系。.這個結(jié)果表明,期現(xiàn)相對風(fēng)險越高,基差越小：期現(xiàn)相對風(fēng)險越低,基差越大。該實證結(jié)果也意味著滬深300股指期貨市場上的部分套期保值者,可能更偏好于逐日套保,即：利用前一天的市場相對風(fēng)險,以決定隔日是否進(jìn)行套保以及套保的數(shù)量。 第八,滬深300股指期貨基差非對稱效應(yīng)的實證結(jié)果顯示滬深300股指期貨正負(fù)基差對滬深300現(xiàn)期波動率的確存在著非對稱性的影響。并且從整體上來看,滬深300股指期貨基差分別與期現(xiàn)波動率之間存在著一種V型的關(guān)系。當(dāng)基差為正時,隨著基差的增加,現(xiàn)期波動率都將增大；當(dāng)基差為負(fù)時,隨著基差的增加,現(xiàn)期波動率都將減小。同時,實證結(jié)果也表明正基差的這種影響要大于負(fù)基差。通過該實證研究結(jié)果,本文還發(fā)現(xiàn)隨著滬深300股指期貨基差增加的,現(xiàn)貨指數(shù)與期貨價格之間的相關(guān)性,呈現(xiàn)出先增強(qiáng)后減弱的現(xiàn)象。 在此基礎(chǔ)上,本文通過對各個模型套期保值效果的比較,發(fā)現(xiàn)利用基差非對稱效應(yīng)模型進(jìn)行套期保值,取得的套期保值效果最好。這個結(jié)果表明,對于滬深300股指期貨,如果套期保值者在決定對沖比率時,考慮到基差存在的非對稱效應(yīng),那么,他將能夠改善套期保值的效果。 本文的創(chuàng)新之處,主要體現(xiàn)在以下幾個方面： 首先,本文較為系統(tǒng)地對滬深300股指期貨基差的影響因素以及非對稱效應(yīng)進(jìn)行了分析和實證,這是前人沒有做過的研究。 其次,在研究滬深300股指期貨基差的影響因素時,本文對滬深300股指期貨基差的月份效應(yīng)進(jìn)行了實證分析。同時,將成交量作為衡量交易成本的一個指標(biāo),研究了交易成本對基差以及基差波動率的影響。 再者,本文利用“相對波動率”來衡量滬深300期現(xiàn)兩市的相對風(fēng)險,并以此為基礎(chǔ),研究了期現(xiàn)兩市的相對風(fēng)險對滬深300股指期貨基差的影響。 最后,本文在對基差的非對稱效應(yīng)進(jìn)行研究時,所運(yùn)用的模型與原有的非對效應(yīng)模型相比有一定的改變,并且估計的方法在文中有詳細(xì)的闡述,這將為后來的學(xué)者們對這個問題進(jìn)行更為深入的研究提供便利。
[Abstract]:In April 16, 2010, Chinese financial futures exchange officially launched China's first stock index futures contracts, the Shanghai and Shenzhen 300 stock index futures contracts. In less than two years, the Shanghai and Shenzhen 300 stock index futures turnover has exceeded 400 billion yuan.2012 in February 2nd, the newly revised "Regulations of futures market customer account >, solve the institutional investors raised fund stock index futures account, which means that raised funds and other institutional investors will officially enter the stock index futures market. This will be conducive to raised funds and other institutional investors to reduce transaction costs and liquidity management, at the same time, also provides a new space for the design of product innovation and strategy raised funds and other institutional investors. About how to use the Shanghai and Shenzhen 300 stock index futures for hedging and arbitrage, the institutional investors are eager to know the problem of Shanghai and Shenzhen 300 stock index futures. The basis for the use of the Shanghai and Shenzhen 300 stock index futures for hedging or arbitrage, is essential. This paper attempts to conduct empirical research through the impact on the Shanghai and Shenzhen 300 stock index futures based asymmetric effect factors as well as the basis, to provide a reference for the Shanghai and Shenzhen 300 stock index futures market hedging and arbitrage, so that they using the relevant conclusions to better achieve the purpose of arbitrage or hedging.
This paper mainly through the following five parts, the influence factors of the Shanghai and Shenzhen 300 stock index futures basis and the asymmetric effect is studied:
The first part is the introduction, in this part the paper about the background, content, significance and research methods are introduced. At the same time, also some studies at home and abroad on the basis of the review.
The second part is an overview of the main characteristics of Shanghai and Shenzhen 300 stock index futures, the subject and the Shanghai and Shenzhen 300 stock index futures basis were introduced. In this part of this paper through graphic analysis, the observed index dividend CSI 300 index shows a periodicity, divided into red mainly in the annual May -9 month at the same time. And also found that the Shanghai and Shenzhen 300 index and the daily trading volume accounted for, there are changes obviously inverse relationship.
The third part is the focus of this chapter, a variety of theories proposed in this part of this paper from the domestic and foreign scholars on the basis of study on the influencing factors of the qualitative analysis of influencing factors of the Shanghai and Shenzhen 300 stock index futures basis may. Then, using a simple linear model, ARMA model and GARCH model, empirical research the influence of these factors on the Shanghai and Shenzhen 300 stock index futures basis, and the results are analyzed and explained.
The fourth part is the key chapter, in this part of this paper the asymmetric effect of the Shanghai and Shenzhen 300 stock index futures basis were studied. Firstly, by using the symmetrical effect model and asymmetric effect model, the empirical study on the influence of basis on the yields of spot and futures return risk structure, to prove that the Shanghai and Shenzhen 300 stock index futures the basis whether there exists asymmetric effect. Then, on this basis, will use the asymmetric effect model to obtain the effect of hedging with several traditional hedging hedging models are compared, and then to consider the asymmetric effect of Shanghai and Shenzhen 300 stock index futures basis will help investors to improve the efficiency of the hedging study.
The fifth part is the last part of this paper, mainly on the previous sections of this article empirical results are summarized, and concluded that the final conclusion of this article. At the same time, in this part, the paper also lists some for further research direction for later scholars.
Through the study of the above five parts, the main conclusions are as follows:
First, the influence on the cost of capital rate on the basis of the study and dividend rate using a simple linear model, this paper found that the dividend rate will have a positive impact on the basis of capital cost rate will have a negative impact on the basis. In addition, through the comparative study, this paper found individual investors pricing on the Shanghai and Shenzhen 300 stock index futures, more bank loans as the capital cost rate, while institutional investors reference interest rate is mainly bond yield to maturity.
Second, study the period of continuous contract basis lag influence on the basis of the ARMA model in this paper, the empirical results show that the first-order CSI 300 stock index futures for each period of continuous contract basis, on the basis of two order lag has positive effect. And the lagged effect of order two is less than the first order lag.
Third, through the introduction of the stock index and the expiration time of the two variables in the ARMA model, studied the influence of these two factors on the Shanghai and Shenzhen 300 stock index futures basis. The empirical results show that these two factors will have a negative impact on the Shanghai and Shenzhen 300 stock index futures basis. The first conclusion combined in this paper this paper argues that the holding cost theory is applicable for the analysis of the Shanghai and Shenzhen 300 stock index futures basis changes.
Fourth, based on the index of the stock price to a threshold, pessimism and optimism two dummy variables, then the ARMA model of the two dummy variables into the basis of empirical research on the impact of market sentiment on the Shanghai and Shenzhen 300 stock index futures basis. Finally, the empirical results show that when the stock market is optimistic mood when the mood more easily transfer to the stock index futures market, and then makes the Shanghai and Shenzhen 300 stock index futures basis becomes small, and when the stock market in pessimism, this pessimism is not easy to transfer to the stock index futures market.
Fifth, according to Liu Hong (2011) month effect research method et al, in effect on the Shanghai and Shenzhen 300 stock index futures on the basis of empirical research, the empirical results show that Shanghai and Shenzhen 300 stock index futures basis has month effect.1 months and contract for delivery in September than other months delivery contract basis was smaller in the bonus the peak of June each year, in the month of delivery of the Shanghai and Shenzhen 300 stock index futures contract basis than other months, significantly larger. This result reminds the Shanghai and Shenzhen 300 stock index futures market hedging and arbitrage, investment decisions in the gap, should consider these September delivery contracts may appear this kind of effect.
Sixth, the natural logarithm of stock index futures trading volume as a proxy for transaction costs, and the establishment of GARCH model, this paper studies the impact of transaction cost on the basis of the Shanghai and Shenzhen 300 stock index futures, the results show that the increase of transaction costs will significantly increase the volatility of basis. At the same time, the empirical results also show that the liquidity is better when the stock index futures market, the smaller the basis; on the other hand, the greater the risk compensation basis. According to Keynes's theory of analysis, this paper thinks that this result is consistent with China's stock index futures market with short hedging are the facts.
Seventh, the relative volatility as a measure of the two cities is now the relative risk index, and the introduction of ARMA model, the effect of relative risk of two cities is now on the Shanghai and Shenzhen 300 stock index futures basis, the "relative volatility" lag between the first order and the Shanghai and Shenzhen 300 stock index futures the basis is a significant negative relationship. To the results show that the current relative risk is higher, the smaller the basis: the relative risk is lower, the basis is greater. The empirical results also means of hedging hedging part of Shanghai and Shenzhen 300 stock index futures market, may prefer to daily hedging, namely: relative risk the day before the market to decide whether the next day, hedging and hedging amount.
Eighth, an asymmetric effect of Shanghai and Shenzhen 300 stock index futures basis according to the results of Shanghai and Shenzhen 300 stock index futures on the basis on the volatility of Shanghai and Shenzhen 300 positive and negative current rate indeed has the effect of non symmetry. And on the whole, the Shanghai and Shenzhen 300 stock index futures basis respectively with current fluctuation between a V type rate between when the basis. For the time being, with the basis of current increased, volatility will increase; when the basis is negative, with the basis of current increased, volatility will decrease. At the same time, the empirical results also show that this effect is poor than negative basis. Through the empirical research results, this paper also found that as the Shanghai and Shenzhen 300 stock index futures basis increases, the correlation between stock index and futures prices, showing first increased and then decreased the phenomenon.
On this basis, through the comparison of various models of hedging, found that asymmetric effect model of hedging by basis, the best hedging results. The results show that the Shanghai and Shenzhen 300 stock index futures, if hedging in the decision on the thrust ratio, considering asymmetric effect of basis, so there and he will be able to improve the effect of hedging.
The innovation of this article is mainly reflected in the following aspects:
First of all, this paper systematically influence on the Shanghai and Shenzhen 300 stock index futures basis factors and asymmetric effect analysis and empirical research this is unprecedented.
Secondly, in the study of impact factors of the Shanghai and Shenzhen 300 stock index futures basis when the monthly effect of Shanghai and Shenzhen 300 stock index futures basis for empirical analysis. At the same time, the turnover as a measure of transaction costs, the impact of transaction cost on basis and basis of volatility.
Furthermore, the relative risk relative volatility to measure the CSI 300 period is now two, and on this basis, effects of relative risk of two cities is now on the Shanghai and Shenzhen 300 stock index futures basis.
Finally, this paper conducts the research on asymmetric effect of basis, by the use of the model and the original model of non effect compared with certain changes, and the estimation method is described in this paper, which will later scholars have more in-depth research to provide convenience to this problem.

【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】：2013
【分類號】：F832.51

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