本文選題：滬深300股指期貨 + 滬深300股價指數(shù)��； 參考：《南京航空航天大學》2013年碩士論文

【摘要】：滬深300股指期貨于2010年4月10日在我國資本市場得以推出，迄今為止已經(jīng)平穩(wěn)運行2年多的時間，隨著滬深300股指期貨的交易量日漸增加，交易額亦日益擴大，預示著股指期貨市場亦逐漸走向成熟，股指期貨市場已經(jīng)成為我國資本市場當中不可缺少的一部分。滬深300股指期貨這一金融衍生品在設計之初就被賦予價格發(fā)現(xiàn)、規(guī)避風險以及資產(chǎn)配置三大功能，而價格發(fā)現(xiàn)功能在這三大功能當中是作為最基礎的功能而存在的。自滬深300股指期貨上市交易以來，股指期貨市場功能的發(fā)揮特別是價格發(fā)現(xiàn)功能的發(fā)揮如何，成為業(yè)內(nèi)人員關注的焦點。 本文利用滬深300股指期貨和滬深300股價指數(shù)的日內(nèi)高頻數(shù)據(jù)，基于市場新信息產(chǎn)生之后對于市場沖擊影響的基礎之上，第一部分考慮滬深300股指期貨市場及其現(xiàn)貨市場對于市場新信息沖擊的反應傳遞過程，首先運用向量誤差修正模型研究分析兩個市場之間的相互引導關系，確定滬深300股指期貨與滬深300股價指數(shù)兩者的價格之間的領先——滯后關系，然后運用脈沖響應函數(shù)以及方差分解的方法確定滬深300股指期貨及其現(xiàn)貨指數(shù)的價格發(fā)現(xiàn)功能的相對強弱以及兩者之間的動態(tài)影響過程；另外一部分考慮的是滬深300股指期貨以及滬深300股價指數(shù)兩個市場對于市場新信息的吸收融入過程，在向量誤差修正模型的基礎之上運用永久短暫模型和信息份額模型確定滬深300股指期貨和滬深300股價指數(shù)在價格發(fā)現(xiàn)功能當中的相對貢獻比率，確定兩者之間價格發(fā)現(xiàn)功能的相對強弱。 研究結果表明滬深300股指期貨及其現(xiàn)貨兩者的對數(shù)價格收益率序列之間在長期內(nèi)存在穩(wěn)定的動態(tài)均衡關系，，但是在短期內(nèi)滬深300股指期貨對數(shù)價格收益率要領先滬深300股價指數(shù)對數(shù)價格收益率大約15分鐘；在價格發(fā)現(xiàn)功能方面，滬深300股指期貨對于價格發(fā)現(xiàn)功能的貢獻比率要高于滬深300股價指數(shù)的貢獻比率，即滬深300股指期貨相對于滬深300股價指數(shù)而言具有價格發(fā)現(xiàn)功能,對于股指期貨的價格具有引導作用。
[Abstract]:Shanghai and Shenzhen 300 stock index futures were launched in China's capital market on April 10, 2010. Up to now, the stock index futures have been running smoothly for more than two years. With the increasing trading volume of Shanghai and Shenzhen 300 stock index futures, the trading volume is also expanding day by day. It indicates that the stock index futures market is gradually maturing, and the stock index futures market has become an indispensable part of the capital market in our country. The financial derivatives of Shanghai and Shenzhen 300 stock index futures are endowed with three functions: price discovery, risk avoidance and asset allocation, among which the price discovery function exists as the most basic function. Since the listing and trading of the Shanghai and Shenzhen 300 stock index futures, how does the function of the stock index futures market, especially the function of price discovery, come into play? Based on the intraday high frequency data of CSI 300 stock index futures and CSI 300 stock price index, based on the impact of the new market information on the market impact, this paper makes use of the daily high frequency data of CSI 300 stock index futures and CSI 300 stock price index. In the first part, we consider the reaction transfer process of Shanghai and Shenzhen 300 stock index futures market and its spot market to the impact of new information. Firstly, we use vector error correction model to study and analyze the mutual guiding relationship between the two markets. Determining the leading-lag relationship between the prices of the Shanghai and Shenzhen 300 stock index futures and the Shanghai and Shenzhen 300 stock price indices, Then the impulse response function and variance decomposition method are used to determine the relative strength of the price discovery function of Shanghai and Shenzhen 300 stock index futures and its spot index and the dynamic influence process between them. The other part considers the process of absorbing new information in the Shanghai and Shenzhen 300 stock index futures and the Shanghai and Shenzhen 300 stock index markets. On the basis of vector error correction model, the relative contribution ratio of Shanghai and Shenzhen 300 stock index futures and Shanghai and Shenzhen 300 stock price index in price discovery function is determined by using permanent transient model and information share model. The results show that there is a stable dynamic equilibrium relationship between the logarithmic price return series of CSI 300 stock index futures and spot stock index futures in the long run. However, in the short term, the logarithmic price yield of the Shanghai-Shenzhen 300 stock index futures will be about 15 minutes ahead of the logarithmic price return rate of the CSI 300 stock index; in terms of price discovery function, The contribution ratio of Shanghai and Shenzhen 300 stock index futures to price discovery function is higher than that of Shanghai and Shenzhen 300 stock price index, that is to say, Shanghai and Shenzhen 300 stock index futures have price discovery function relative to Shanghai and Shenzhen 300 stock price index. For the price of stock index futures have a guiding role.
【學位授予單位】：南京航空航天大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

【參考文獻】

相關期刊論文 前10條

1 邢天才;張閣;;中國股指期貨對現(xiàn)貨市場聯(lián)動效應的實證研究——基于滬深300仿真指數(shù)期貨數(shù)據(jù)的分析[J];財經(jīng)問題研究;2010年04期

2 嚴敏;巴曙松;吳博;;我國股指期貨市場的價格發(fā)現(xiàn)與波動溢出效應[J];系統(tǒng)工程;2009年10期

3 葛勇;葉德磊;;滬深300股指期貨與現(xiàn)貨價格發(fā)現(xiàn)功能研究[J];河南金融管理干部學院學報;2008年05期

4 王拓;劉興萬;;股指期貨價格發(fā)現(xiàn)功能研究——基于印度Nifty 50股指期貨的實證分析[J];南昌航空大學學報(社會科學版);2008年03期

5 夏天;;國內(nèi)外股指期貨與股票指數(shù)之間的關聯(lián)性研究——基于日經(jīng)225指數(shù)期現(xiàn)貨市場的實證分析[J];南方經(jīng)濟;2008年04期

6 張維;王平;熊熊;;印度股票市場與期貨市場信息傳遞性研究[J];上海金融;2006年09期

7 華仁海;劉慶富;;股指期貨與股指現(xiàn)貨市場間的價格發(fā)現(xiàn)能力探究[J];數(shù)量經(jīng)濟技術經(jīng)濟研究;2010年10期

8 何誠穎;張龍斌;陳薇;;基于高頻數(shù)據(jù)的滬深300指數(shù)期貨價格發(fā)現(xiàn)能力研究[J];數(shù)量經(jīng)濟技術經(jīng)濟研究;2011年05期

9 龍博;龍傳文;;股指期貨價格發(fā)現(xiàn)功能的實證研究[J];統(tǒng)計與決策;2007年15期

10 佟孟華;楊榮;郭多祚;;股指期貨價格發(fā)現(xiàn)功能的實證研究——基于現(xiàn)貨指數(shù)變化趨勢[J];統(tǒng)計與信息論壇;2008年09期

本文編號：1992769