本文選題：滬深300股指期貨 + 波動溢出效應　； 參考：《西南財經(jīng)大學》2013年碩士論文

【摘要】：波動溢出效應在各個資本市場中引起了廣大學者和政府監(jiān)管人員的關注,眾多國內外文獻針對各個金融市場之間的波動溢出效應作了廣泛的實證研究,重點探討一個市場的波動對于另外一個市場造成的影響以及這個波動是如何來回振蕩。其中,股指期貨市場的波動溢出效應是最受關注的研究對象之一。 學術界認為,股指期貨的推出對現(xiàn)貨市場的波動性存在兩個方面(正、反兩個方面)的影響。從反面來看,股指期貨和股票現(xiàn)貨之間存在著一定的替代效應,這導致了現(xiàn)貨市場的流動性會因為股指期貨的推出而降低；而從正面的影響來看,推出股指期貨,會促進股票市場的交易,使得股票市場交易變得更加活躍,并且股票市場的價格波動更為合理,套利及套期保值需求會吸引資金入市,因此可能提高現(xiàn)貨市場流動性。從整體上考量,長期看來,股指期貨的推出會促進現(xiàn)貨市場交易的活躍、穩(wěn)定和有效的價格發(fā)現(xiàn),進而使股市更加健康合理的發(fā)展。而在滬深300股指期貨正式推出前,國內的一些學者就已經(jīng)利用2006年推出的滬深300股指期貨仿真合約的數(shù)據(jù)資料對股指期貨市場和現(xiàn)貨市場之間的波動溢出性進行了一系列的實證研究。但是由于仿真合約的數(shù)據(jù)畢竟只是模擬交易下的數(shù)據(jù),不具備真實性,沒有考慮到正式交易中的經(jīng)濟政策,市場環(huán)境和交易者偏好等相關因素對交易的影響,市場交易者不必承擔相應真實交易情況下帶來的損失(同理,也無法享受真實交易的利潤),因此,基于仿真合約數(shù)據(jù)實證研究結論對現(xiàn)實的參考意義要遠遠小于基于實盤數(shù)據(jù)的研究結論。另一方面,滬深300股指期貨剛推出之時,由于時間尚短,并且市場上的部分投資者對股指期貨沒有正確充分的認識,加上股指期貨市場發(fā)展的不夠成熟,使得市場出現(xiàn)了短期的非正常運行。如今,滬深300股指期貨推出已近3年,市場投資者對股指期貨已有詳細了解,市場上的非理性行為已經(jīng)基本上消失,其市場規(guī)模也取得了突破性的發(fā)展。另外,股指期貨市場作為股票現(xiàn)貨市場的一個重要延伸和補充,它對資本市場的風險管理效果也進一步顯現(xiàn)出來。因此,HS300股指期貨的推出對于股票市場波動性的影響以及背后的成因一直是學術界和政府決策層討論的熱點問題,也是本文試圖解決的問題。相較于國外期貨市場成立久遠,國外市場發(fā)展成熟,我國滬深300指數(shù)期貨仍然屬于新興商品,但隨著我國期貨市場的快速成長,期貨交易在整體金融市場中所扮演的角色日漸重要,其中HS300股指期貨帶來的對于股票市場的影響更為重要。 因此本文將探討在我國金融市場中,滬深300期貨市場與現(xiàn)貨市場間的波動外溢性現(xiàn)象。現(xiàn)有的文獻中關于金融市場之間的相關性研究方法主要有兩類：第一類是研究均值之間的溢出效應,即考察不同市場間的價格走勢的時序相關性和條件一階矩間的相互關系；第二類是研究市場收益率序列之間的波動溢出效應,也就是條件二階矩間的相關性。“雖然一階條件下變動的領先滯后關系可以對價格變化提供預測性的信息,但是這種均值關系卻不一定意味著信息是由領先市場向滯后市場傳遞的,因此更為恰當?shù)姆椒ㄊ茄芯績蓚�市場間的“波動溢出效應”(volatility spillover effeet)"(趙留彥、王一鳴,2003)。此外,兩個序列之間的一階關系很可能是不真實的,在深入研究它們之間的高階關系后,這種一階關系可能會消失(Lutkepohl,1993)。所以本文主要研究的重點是兩市場間的波動溢出效應。通俗地解釋,波動溢出效應是指一個市場的波動不僅受本身市場波動前一期的影響,還要受到其他市場的前期波動影響,這種波動在市場之間的傳遞效果被稱為波動溢出效應,通過對波動溢出效應的研究還可以考察不同市場吸收信息的過程。本研究為了完整檢定期貨交易對于現(xiàn)貨市場所產生的影響,通過建立合適的EGARCH模型分析股票市場與期貨市場的報酬率波動性,并基于一元EGARCH模型分析兩市場的波動性相互影響。在考慮到一元EGARCH的缺陷之后,加入相關系數(shù)的時變性特點,進而引入二元DCC-MVGARCH模型進一步分析期貨市場與現(xiàn)貨市場的波動溢出效果。本文研究中所選取的數(shù)據(jù)資料是中國金融期貨交易所的滬深300股指期貨的“當月連續(xù)”時間序列的日交易數(shù)據(jù),時間從股指期貨正式掛牌交易日2010年4月16日起到2013年2月8日止,剔除非共同交易日的數(shù)據(jù),最終得到676個數(shù)據(jù)。本文為了研究滬深300股指期貨與現(xiàn)貨市場之間的波動溢出效應,為了研究方便和消除序列的異方差性,對兩市場的原始價格取對數(shù),以避免極端資料影響分析結果。最終的實證結果表明在一元的EGARCH模型下,兩市場均存在非對稱效應,在此基礎上的波動溢出效應擬合結果不是很理想,因此很可能與一元EGARCH模型的缺陷有關；緊接著再多元GARCH模型的基礎上發(fā)現(xiàn)兩市場存在波動溢出效應,擬合結果較好,且兩收益率序列的時相關系數(shù)圖表明兩市場的聯(lián)系越來越緊密。
[Abstract]:Volatility spillover effect has attracted the attention of many scholars and government regulators in all capital markets. Many domestic and foreign literatures have made extensive empirical studies on the volatility spillover effects between various financial markets, focusing on the impact of the volatility of a market on the other market and how the volatility is back and forth. Among them, the volatility spillover effect of stock index futures market is one of the most concerned subjects.
The academic circles believe that the introduction of stock index futures has two aspects (positive, two aspects) on the volatility of the spot market. From the negative side, there is a certain substitution effect between stock index futures and stock spot, which leads to the liquidity of the spot market because the stock refers to the introduction of futures, but from the positive effect, The introduction of stock index futures will promote the trading of the stock market, make the trading of the stock market more active, and the price fluctuation of the stock market is more reasonable. The arbitrage and hedging demand will attract the capital into the market, so it may improve the liquidity of the spot market. In the long term, the stock index futures will promote the spot market. The active, stable and effective price discovery of the field trade makes the stock market more healthy and reasonable. And before the Shanghai and Shenzhen 300 stock index futures are officially launched, some domestic scholars have already used the data of the Shanghai and Shenzhen 300 stock index futures simulation contract introduced in 2006 to the volatility spillover between the stock index market and the spot market. A series of empirical studies have been conducted. However, because the data of the simulation contract is only a simulation of the data under the transaction, it does not have the authenticity. It does not take into account the influence of the related factors such as the economic policy, the market environment and the trader's preference on the transaction. The market trader does not have to bear the loss of the corresponding real transaction. (the same reason, also can not enjoy the real transaction profit), therefore, the empirical research conclusion based on the simulation contract data is far less than the real data based research conclusions. On the other hand, the Shanghai and Shenzhen 300 stock index futures have just been introduced, because the time is short, and some investors on the market are not correct to the stock index futures. Fully understanding, and the development of stock index futures market is not mature enough, making the market appear short term abnormal operation. Now, Shanghai and Shenzhen 300 stock index futures have been introduced for nearly 3 years, market investors have a detailed understanding of stock index futures, the irrational behavior in the market has basically disappeared, and its market scale has also made a breakthrough development. In addition, as an important extension and supplement of the stock spot market, the stock index futures market has also shown the effect of risk management on the capital market. Therefore, the impact of the introduction of the HS300 stock index futures on the volatility of the stock market and the causes behind it have always been the hot issues in the academic and government decision-making layers. This paper tries to solve the problem. Compared with the foreign futures market and the mature foreign market, the Shanghai and Shenzhen 300 index futures still belong to the emerging commodities. However, with the rapid growth of China's futures market, the role of futures trading in the overall financial market is becoming increasingly important, in which the HS300 stock index futures bring stock to the stock. The impact of the market is more important.
Therefore, this paper will discuss the volatility spillover phenomenon between the 300 futures market and the spot market in the Chinese financial market. There are two main methods of research on the correlation between the financial markets in the existing literature: the first kind is the study of the spillover effect between the mean value, that is, to examine the temporal correlation of the price trend among different markets. The relationship between the first order moment and the condition first moment; the second kind is the volatility spillover effect between the market returns, that is, the correlation between the two moments of the condition. "Although the leading lag relationship under the first order condition can provide the predictive information for the price change, but this mean relationship does not necessarily mean that the information is From the leading market to the lagging market, the more appropriate method is to study the "volatility spillover effeet" between two markets "(Zhao Liuyan, Wang Yiming, 2003). In addition, the first order relationship between the two sequences is likely to be untrue, and this first order after deep study of the high order relationship between them The relationship may disappear (Lutkepohl, 1993). So the main focus of this paper is the volatility spillover effect between the two markets. A popular explanation, the volatility spillover effect is that the volatility of a market is not only influenced by the previous period of the market volatility, but also influenced by the previous period fluctuations in other markets, which is transmitted between the market. The effect is called volatility spillover effect. Through the study of volatility spillover effect, we can examine the process of absorbing information in different markets. In order to fully examine the impact of futures trading on the spot market, this study is based on the establishment of a suitable EGARCH model to analyze the volatility of the return rate of the stock market and the futures market, and based on the one dollar E. The GARCH model analyzes the volatility interaction of the two market. After considering the defects of the one dollar EGARCH, the time-varying characteristic of the correlation coefficient is added, and then the two element DCC-MVGARCH model is introduced to further analyze the volatility spillover effect of the futures market and the spot market. The data selected in this study are the China Financial Futures Exchange. The daily transaction data of the "month continuous" time series of Shanghai and Shenzhen 300 stock index futures, from April 16, 2010 to February 8, 2013 from the formal listing of stock index futures to February 8, 2013, eliminated the data from the non common trading day, and finally got 676 data. This paper is to study the volatility spillover effect between the Shanghai and Shenzhen 300 stock index futures and the spot market. In order to study and eliminate the heteroscedasticity of the sequence, the logarithm of the original price of the two market is taken to avoid the result of the analysis of the influence of extreme data. The final empirical results show that the two market has asymmetric effect under the one dollar EGARCH model, and the result of the fluctuation spillover effect on this basis is not very ideal, so it is likely to be the same. The defect of the one element EGARCH model is related; on the basis of the multiple GARCH model, it is found that there is a volatility spillover effect in the two market, and the fitting results are better, and the time correlation coefficient diagram of the two yield sequence shows that the connection of the two market is becoming more and more close.
【學位授予單位】：西南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F723;F224

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