本文選題：融資融券 + 股指期貨　； 參考：《西南財經(jīng)大學(xué)》2012年博士論文

【摘要】：我國證券市場于2010年3月31日開始實施融資融券交易試點,它改變了我國證券市場長期以來的單邊市場格局；我國資本市場于2010年4月16日正式推出股指期貨交易,有利于完善資本市場結(jié)構(gòu)和發(fā)揮資本市場功能。證券現(xiàn)貨融資融券交易和股指期貨交易相差半個月先后陸續(xù)推出,意味著證券市場的融資融券交易和股指期貨交易將長期共存于我國資本市場,是我國資本市場交易制度的重大變化,對我國資本市場的發(fā)展將產(chǎn)生深刻的影響。那么,在我國證券現(xiàn)貨融資融券交易和股指期貨交易共同發(fā)展的過程中,融資融券交易影響股指期貨市場功能的作用機理是怎樣的?股指期貨的市場功能包括套期保值功能、期現(xiàn)套利功能、價格發(fā)現(xiàn)功能這些與兩個市場都緊密相關(guān)的功能將呈現(xiàn)出怎樣的具體狀況呢?這些市場功能又將表現(xiàn)出怎樣的動態(tài)性和時變特征呢?證券投資者和期貨交易者等跨市場參與者應(yīng)該實施怎樣的動態(tài)操作策略呢?證券市場和股指期貨市場的跨市場監(jiān)管者又該制定什么樣的動態(tài)監(jiān)管政策呢?文章將針對這一系列問題,進(jìn)行在融資融券交易情況下股指期貨的套期保值功能、期現(xiàn)套利功能、價格發(fā)現(xiàn)功能的理論模型的數(shù)理推演,并利用滬深300股指期貨真實交易和證券現(xiàn)貨交易數(shù)據(jù)進(jìn)行相應(yīng)的實證檢驗,以揭示融資融券交易情況下股指期貨的主要市場功能的時變特征和市場參與者的應(yīng)對策略。通過本文的研究,為我國金融市場包括基礎(chǔ)金融工具市場的完善和衍生金融工具市場的發(fā)展指明方向和路徑,為我國資本市場監(jiān)管者對融資融券交易和股指期貨的跨市場監(jiān)管提供有價值的決策依據(jù),為股指期貨市場的交易者和證券市場的投資者特別是機構(gòu)投資者的套期保值、期現(xiàn)套利、資產(chǎn)配置等提供跨市場操作參考,為股指期貨的套期保值、期現(xiàn)套利、價格發(fā)現(xiàn)功能在特定的融資融券交易條件下的具體表現(xiàn)及其時變規(guī)律的相關(guān)研究提供有價值的文獻(xiàn)補充。 本文對融資融券交易下股指期貨市場功能時變性的研究主要包括其套期保值功能、期現(xiàn)套利功能、價格發(fā)現(xiàn)功能時變性的研究,并且從股指期貨市場發(fā)展不同階段和股指期貨合約存續(xù)不同階段這兩個視角進(jìn)行展開,具體而言,表述如下： 論文在第一章引入研究背景和研究主題,闡明研究思路和構(gòu)建論文框架。特別強調(diào)本文的研究是在我國現(xiàn)有的證券現(xiàn)貨融資融券交易背景下的關(guān)于股指期貨市場功能的表現(xiàn)形式和時變特征的研究,證券現(xiàn)貨的融資融券交易試點到逐漸轉(zhuǎn)入常規(guī)和股指期貨正式推出并順利運行是其特定的研究背景。在證券融資融券交易的前提下,關(guān)于股指期貨市場功能的研究包括套期保值功能、期現(xiàn)套利功能、價格發(fā)現(xiàn)功能進(jìn)行橫向鋪開,而對股指期貨各類市場功能的研究又將其理論模型的推演和經(jīng)驗數(shù)據(jù)的檢驗結(jié)合起來,最后分別總結(jié)出各部分有價值的研究結(jié)論,特別強調(diào)關(guān)于股指期貨各類市場功能的動態(tài)特征和時變規(guī)律的結(jié)論。 在第二章中,對證券融資融券交易、股指期貨的套期保值功能、期現(xiàn)套利功能、價格發(fā)現(xiàn)功能、時變性等方面的相關(guān)研究文獻(xiàn)進(jìn)行全面系統(tǒng)地梳理、述評,總結(jié)已有研究文獻(xiàn)的主要研究結(jié)論和重要觀點,并試圖從中發(fā)現(xiàn)新的研究視角和切入點。 在第三章中,對與本論文相關(guān)的一些基本范疇和概念進(jìn)行明確的界定,對股指期貨市場功能時變性的相關(guān)理論進(jìn)行闡述。具體包括證券現(xiàn)貨融資融券交易的基本原理,滬深300股指期貨交易的運行機理,股指期貨的主要市場功能包括套期保值功能、期現(xiàn)套利功能、價格發(fā)現(xiàn)功能的含義,股指期貨市場功能時變性的具體表現(xiàn)形式,以及文中實證部分用到的滬深300股指期貨和股指現(xiàn)貨真實交易數(shù)據(jù)的數(shù)據(jù)區(qū)間、數(shù)據(jù)頻率、數(shù)據(jù)連接方式等,最為關(guān)鍵的是對在證券現(xiàn)貨融資融券交易下,股指期貨的市場功能可能受到哪些方面因素的影響,其市場功能時變性特征的具體表現(xiàn),融資融券交易影響股指期貨市場功能的作用機理等進(jìn)行理論分析,以為后文的繼續(xù)展開做好理論鋪墊。 接下來,對融資融券交易下股指期貨的主要市場功能包括套期保值功能、期現(xiàn)套利功能和價格發(fā)現(xiàn)功能的時變性特征進(jìn)行橫向鋪開研究。 第四章,研究融資融券交易下股指期貨套期保值功能的時變性。首先對股指期貨套期保值,特別是最優(yōu)套期保值比率確定模型的相關(guān)研究文獻(xiàn)進(jìn)行系統(tǒng)梳理,找到確定最優(yōu)套期保值比率的靜態(tài)模型和動態(tài)模型發(fā)展的清晰脈絡(luò)。全面比較分析確定股指期貨靜態(tài)套期保值比率的OLS方法、VAR方法和VECM方法的基本原理、優(yōu)缺點和套期保值效果,以及股指期貨動態(tài)套期保值比率的BGARCH模型、ECM-GARCH模型、修正的ECM-GARCH模型等方法的基本原理、優(yōu)缺點和套期保值效果,利用我國滬深300股指期貨正式推出之后的日交易數(shù)據(jù)對靜態(tài)套期保值比率模型和動態(tài)套期保值比率模型的最優(yōu)套期保值比率以及套期保值效果進(jìn)行實證檢驗,得出的基本結(jié)論是,在融資融券交易下,股指期貨的動態(tài)套期保值效果顯著優(yōu)于靜態(tài)套期保值效果,這意味著股指期貨的套期保值功能中的最優(yōu)套期保值比率表現(xiàn)出明顯的時變性特征,套期保值者應(yīng)當(dāng)采用動態(tài)的套期保值模型取代靜態(tài)的套期保值模型實施套期保值。 第五章,研究融資融券交易下股指期貨期現(xiàn)套利功能的時變性。根據(jù)持有成本模型,確定完美市場條件股指期貨的理論價格；然后放松市場條件假設(shè),考慮交易成本、沖擊成本、借貸利率不等和融資融券交易等市場條件,根據(jù)無套利原理,全面刻畫融資融券交易下期現(xiàn)套利中的現(xiàn)金流,利用正向套利原理確定無套利區(qū)間的上限,利用反向套利原理確定無套利區(qū)間的下限,用錯誤定價率反映股指期貨實際價格偏離無套利區(qū)間的程度,準(zhǔn)確刻畫股指期貨期現(xiàn)套利的套利機會和套利空間；然后從股指期貨市場發(fā)展不同階段和股指期貨合約存續(xù)不同階段兩個視角,去分析股指期貨期現(xiàn)套利的套利機會和套利空間的時變規(guī)律。在本部分的實證研究中采用滬深300股指期貨和股指現(xiàn)貨的日數(shù)據(jù)和5分鐘交易數(shù)據(jù)。得到的基本結(jié)論是,證券現(xiàn)貨的融資融券交易會對股指期貨的期現(xiàn)套利的無套利區(qū)間的上限和下限特別是下限產(chǎn)生重要影響,進(jìn)而影響股指期貨期現(xiàn)套利的套利機會和套利空間;從股指期貨市場發(fā)展的不同階段考察,我國滬深300股指期貨市場發(fā)展前期的套利機會和套利空間多于后期；從股指期貨合約存續(xù)的不同階段考察,我國滬深300股指期貨合約上市前期的套利機會和套利空間多于后期：基于日數(shù)據(jù)的期現(xiàn)套利機會遠(yuǎn)遠(yuǎn)少于基于5分鐘數(shù)據(jù)的期現(xiàn)套利機會。 第六章,研究融資融券交易下股指期貨價格發(fā)現(xiàn)功能的時變性。通過對國內(nèi)外研究文獻(xiàn)的梳理,發(fā)現(xiàn)全面研究股指期貨的價格發(fā)現(xiàn)功能主要包括三個方面,即股指期貨和股指現(xiàn)貨價格的領(lǐng)先滯后關(guān)系(價格引導(dǎo)關(guān)系),價格發(fā)現(xiàn)貢獻(xiàn)度和波動溢出效應(yīng)。由于股指期貨與證券現(xiàn)貨市場存在著影響價格發(fā)現(xiàn)功能的先天差異,比如股指期貨交易的是整體市場,證券現(xiàn)貨市場交易的是個股,這使得股指期貨市場具有較快地反映總體市場信息的優(yōu)勢,而證券現(xiàn)貨市場的價格不免摻雜來自個股的噪聲交易的信息成分。知情交易者選擇某個特定的交易市場而揭示其私有信息,那么這個市場的價格將引導(dǎo)其他同類產(chǎn)品市場。一般來講,知情者交易偏好不同微觀結(jié)構(gòu)市場的原因主要存在四種假設(shè)：杠桿交易假設(shè)、交易成本假設(shè)、上點規(guī)則假設(shè)、市場系統(tǒng)性信息假設(shè)。從理論上分析,上述這些方面都決定了股指期貨市場有優(yōu)于證券現(xiàn)貨市場的價格發(fā)現(xiàn)功能。但證券現(xiàn)貨融資融券交易的引入,會使證券交易同樣具有杠桿交易和交易成本低的特征,將使上述四大假設(shè)發(fā)生變化,股指期貨在價格發(fā)現(xiàn)方面的相對優(yōu)勢會減弱,價格發(fā)現(xiàn)功能中股指期貨與證券現(xiàn)貨之間的價格發(fā)現(xiàn)關(guān)系也可能因此發(fā)生某些變化。本文在這一部分將基于價格發(fā)現(xiàn)功能的幾大假設(shè),分析證券現(xiàn)貨市場的融資融券交易使得證券交易也具有了杠桿交易和低成本交易的特點,隨著證券融資融券交易規(guī)則的調(diào)整和交易規(guī)模的增加,股指期貨在價格發(fā)現(xiàn)方面相對于證券市場的優(yōu)勢逐漸變化,導(dǎo)致股指期貨與股指現(xiàn)貨的價格發(fā)現(xiàn)關(guān)系體現(xiàn)出某種時變特征。本文從股指期貨市場發(fā)展不同階段和股指期貨合約存續(xù)不同階段兩個視角研究股指期貨價格發(fā)現(xiàn)功能的時變性。前者的研究采用滬深300股指期貨和股指現(xiàn)貨的5分鐘高頻交易數(shù)據(jù),在進(jìn)行階段劃分的基礎(chǔ)上,全面研究各階段股指期貨的價格引導(dǎo)關(guān)系、價格發(fā)現(xiàn)貢獻(xiàn)度和波動溢出效應(yīng)；后者的研究采用滬深300股指期貨不同合約和股指現(xiàn)貨的5分鐘或1分鐘高頻交易數(shù)據(jù),按股指期貨合約在合約序列中的地位作為階段劃分標(biāo)準(zhǔn),主要研究各階段的股指現(xiàn)貨、股指期貨主力合約和股指期貨非主力合約之間的價格引導(dǎo)關(guān)系。本部分研究得到的基本結(jié)論是,股指期貨市場發(fā)展不同階段和股指期貨合約存續(xù)不同階段價格發(fā)現(xiàn)功能都存在顯著的時變性特征,前者表現(xiàn)為股指期貨價格發(fā)現(xiàn)能力由強到弱再到強的趨勢,后者表現(xiàn)為股指期貨價格引導(dǎo)股指現(xiàn)貨,股指期貨主力合約價格引導(dǎo)非主力合約。 第七章,主要研究結(jié)論和展望。根據(jù)前面每一部分的研究結(jié)論,該部分對股指期貨套期保值功能、期現(xiàn)套利功能、價格發(fā)現(xiàn)功能的時變性特征的相關(guān)研究結(jié)論進(jìn)行全面系統(tǒng)地總結(jié),為股指期貨市場和證券現(xiàn)貨市場的參與者提供動態(tài)的交易策略建議,為股指期貨市場和證券現(xiàn)貨市場的監(jiān)管者提供動態(tài)的監(jiān)管政策建議。同時,指出本文研究的主要創(chuàng)新和貢獻(xiàn),以及尚存的不足之處和后續(xù)的研究方向。 本文的主要創(chuàng)新之處和后續(xù)研究展望主要表現(xiàn)如下： 創(chuàng)新之處： (1).系統(tǒng)分析了融資融券交易影響股指期貨市場功能的作用機理。融資融券交易通過影響套期保值的方向和成本來影響股指期貨套期保值功能的發(fā)揮。融資融券交易通過影響無套利區(qū)間的上下限來影響股指期貨期現(xiàn)套利功能的發(fā)揮。融資融券交易通過影響價格發(fā)現(xiàn)的假設(shè)(比如杠桿交易、低成本交易、賣空交易等)來影響股指期貨價格發(fā)現(xiàn)功能的發(fā)揮。 (2).以股指期貨市場功能的時變性為研究對象,是研究對象的創(chuàng)新。文章系統(tǒng)研究了在我國特定的融資融券交易背景下,股指期貨的主要市場功能包括套期保值功能、期現(xiàn)套利功能、價格發(fā)現(xiàn)功能的表現(xiàn)形式和時變特征,重在對市場功能的時變規(guī)律的總結(jié),而不僅僅研究股指期貨的市場功能本身。 (3).以股指期貨市場發(fā)展和股指期貨合約存續(xù)兩個視角去研究股指期貨市場功能的時變性,是研究視角的創(chuàng)新。對于股指期貨每一類市場功能的時變性特征的研究分別從股指期貨市場發(fā)展的不同階段這一宏觀視角和股指期貨合約存續(xù)的不同階段這一微觀視角進(jìn)行展開,從宏觀層面和微觀層面揭示股指期貨市場功能的時變性規(guī)律,得到的研究結(jié)論比較系統(tǒng)全面。 (4).從不同切入點研究股指期貨市場功能的時變性,是研究切入點的創(chuàng)新。股指期貨的套期保值功能主要研究套期保值比率和套期保值效果的時變性,期現(xiàn)套利功能主要研究套利機會和套利空間的時變性,價格發(fā)現(xiàn)功能主要研究價格引導(dǎo)能力和價格發(fā)現(xiàn)貢獻(xiàn)度的時變性。 研究展望： (1).研究的樣本區(qū)間有待進(jìn)一步拓展。由于我國的證券市場融資融券交易試點和股指期貨交易的推出時間并不太長,基于已有數(shù)據(jù)進(jìn)行的股指期貨市場功能時變性的相關(guān)研究結(jié)論的可靠性有待進(jìn)一步檢驗,后續(xù)的研究應(yīng)當(dāng)在更長的研究區(qū)間,更多的劃分階段,不同的數(shù)據(jù)頻率中去進(jìn)行檢驗,得出更為可靠的研究結(jié)論。 (2).股指期貨的其他功能也可以進(jìn)行研究。本文中只涉及股指期貨的套期保值功能、期現(xiàn)套利功能和價格發(fā)現(xiàn)功能,主要是考慮到這三項功能都能將證券市場和股指期貨市場兩個市場緊密地聯(lián)系起來,易于受到融資融券交易的影響。至于股指期貨的其他市場功能包括風(fēng)險投資功能和資產(chǎn)配置功能的時變性也可能成為后續(xù)的研究方向。 (3).現(xiàn)貨組合的構(gòu)建和現(xiàn)貨指數(shù)的復(fù)制應(yīng)當(dāng)納入后續(xù)研究之中。因為文章的重心在于分析、歸納和總結(jié)股指期貨市場功能的時變性特征,因此統(tǒng)一將股價指數(shù)作為現(xiàn)貨組合來看待。后續(xù)研究時,應(yīng)當(dāng)在套期保值功能研究中構(gòu)建現(xiàn)貨組合,在期現(xiàn)套利功能中進(jìn)行指數(shù)復(fù)制。
[Abstract]:China's securities market began to carry out the pilot of margin trading in March 31, 2010, which changed the long-term market pattern of the unilateral market in China's securities market. China's capital market formally launched the stock index futures trading in April 16, 2010, which is beneficial to perfect the capital market structure and play the function of capital market. The stock index futures trading is gradually introduced in half a month, which means that the margin trading and stock index futures trading will coexist in the capital market of our country for a long time. It is a major change in the capital market trading system of our country, and will have a profound influence on the development of our capital market. In the process of the common development of trading and stock index futures trading, what is the effect mechanism of margin trading on the function of stock index futures market? The market function of stock index futures includes hedging function, the function of arbitrage is present, and what specific conditions will the function of price discovery function which are closely related to the two markets? What are the dynamic and time-varying characteristics of these market functions? What are the dynamic operating strategies for cross market participants such as securities investors and futures traders? What kind of dynamic regulatory policy should cross market supervisors in the stock market and stock index futures market be formulated? The problem is to carry out the hedging function of stock index futures in the case of margin trading, the mathematical deduction of the theoretical model of the arbitrage function, the price discovery function, and the corresponding empirical test using the real transaction of the Shanghai and Shenzhen 300 stock index futures and the stock spot transaction data to reveal the main market of stock index futures in the case of margin trading. The time-varying characteristics of the field function and the coping strategies of the market participants. Through this study, the paper provides the direction and path for the improvement of the market of the financial market including the basic financial instruments and the development of the derivative financial instruments market in our financial market, and provides the value for the regulators of the capital market for the cross market supervision of the margin trading and stock index futures. The decision basis for the stock index futures market traders and the securities market investors, especially the institutional investors, the hedging, the present arbitrage, the asset allocation and so on provide the cross market operation reference, the hedging for the stock index futures, the present arbitrage, the specific performance of the price discovery function under the specific margin trading condition and its time. The related research on changing laws provides valuable literature supplement.
In this paper, the research on the temporal variability of the function of stock index futures market under the margin trading is mainly composed of its hedging function, the present arbitrage function, the study of the time change of the price discovery function, and the two perspectives from the different stages of the stock index futures market development and the different stages of the stock index futures contract, specifically, the following :
In the first chapter, the research background and research theme are introduced, and the research ideas and the framework of the paper are clarified. The research is particularly stressed on the form and time variation of stock index futures market function in the background of securities spot financing in China. On the premise of securities margin trading, the research on the function of stock index futures market includes hedging function, the function of arbitrage, the function of price discovery is spread horizontally, and the research on all kinds of market function of stock index futures will be the same. The inference of the theoretical model and the test of the empirical data are combined. Finally, the valuable research conclusions of each part are summed up, and the conclusion of the dynamic characteristics and the time variation of various market functions of stock index futures is emphasized.
In the second chapter, the securities financing margin trading, the hedging function of the stock index futures, the current arbitrage function, the price discovery function, the time variability and other related research literature are systematically combed, reviewed, and summarized the main research conclusions and the important points of view of the existing research literature, and try to find a new research perspective and cut in from it. Point.
In the third chapter, some basic categories and concepts related to this paper are clearly defined, and the related theories of the time change of the stock index futures market are expounded. The basic principles of stock exchange margin trading, the operating mechanism of the Shanghai and Shenzhen 300 stock index futures trading, the main market functions of the stock index futures include the hedging, and the main market functions of the stock index futures market include the hedging. The function of hedging, the present arbitrage function, the meaning of the price discovery function, the specific manifestation of the time change of the stock index futures market function, and the data interval of the Shanghai and Shenzhen 300 stock index futures and the real trading data of the stock stock index, the frequency of the data, the way of data connection, and so on, the most important thing is to finance the stock spot financing. The market function of stock index futures may be influenced by the factors of the stock index futures, the specific performance of the time change characteristics of the market function, the effect mechanism of the margin trading on the function of the stock index futures market and so on.
Next, the main market functions of stock index futures under the margin trading include hedging function, and the temporal variability of the present arbitrage function and the price discovery function is carried out horizontally.
The fourth chapter studies the time variability of the hedging function of stock index futures under the margin trading. First, it systematically combs the related research literature of the stock index futures hedging, especially the optimal hedging ratio determination model, and finds the clear context of the static model and dynamic model development of the optimal hedging ratio. The OLS method, the basic principle of VAR method and VECM method, the advantages and disadvantages and the hedging effect, the BGARCH model of the dynamic hedging ratio of the stock index futures, the ECM-GARCH model, the modified ECM-GARCH model and so on, the advantages and disadvantages and the hedging effect of the modified ECM-GARCH model are analyzed. The daily transaction data after the formal introduction of deep 300 stock index futures is an empirical test on the optimal hedging ratio model of static hedging and dynamic hedging ratio model and the effect of hedging. The basic conclusion is that the dynamic hedging effect of stock index futures is significantly better than static hedging under the margin trading. Hedging effect, which means that the optimal hedging ratio in the hedging function of stock index futures shows obvious time variability, and the hedging should adopt the dynamic hedging model instead of the static hedging model to implement hedging.
The fifth chapter studies the time variability of the present arbitrage function of the stock index futures in the margin trading. According to the holding cost model, the theoretical price of the stock index futures is determined. Then the market condition hypothesis is relaxed, and the market conditions such as transaction cost, impact cost, loan interest rate inequality and margin trading are considered, according to the principle of no arbitrage, Fully depicts the cash flow in the present arbitrage of the margin trading, determines the upper limit of the non arbitrage interval by the positive arbitrage principle, uses the reverse arbitrage principle to determine the lower limit of the arbitrage interval, and uses the wrong pricing rate to reflect the degree of the actual price of the stock index futures deviating from the non arbitrage interval, and accurately depicts the arbitrage of the stock index futures arbitrage. And then from two perspectives of different stages of stock index futures market development and stock index futures contracts, the time variation law of arbitrage opportunities and arbitrage space of stock index futures is analyzed. In this part of the empirical study, the daily data of Shanghai and Shenzhen stock index stock and stock index stock and stock index spot and 5 minute trading are adopted. The basic conclusion is that the stock exchange margin trading will have an important influence on the upper limit and lower limit, especially the lower limit of the arbitrage interval of the stock index futures, and then influence the arbitrage opportunities and the arbitrage space of the stock index futures. From the different stages of the stock index market development, China Shanghai and Shenzhen 300 The arbitrage opportunity and arbitrage space in the early development of the stock index futures market is more than the later stage. From the different stages of the stock index futures contract, the arbitrage opportunity and arbitrage space of the Shanghai and Shenzhen 300 stock index futures contract is more than the latter in the late stage: the arbitrage opportunity based on the daily data is far less than the 5 minute data based arbitrage machine. Meeting.
The sixth chapter studies the time variability of the price discovery function of stock index futures under the margin trading. By combing the domestic and foreign research literature, it is found that the comprehensive study of the price discovery function of stock index futures is mainly included in three aspects, that is, the leading lag relationship between stock index futures and Stock Index Futures (price guidance relationship), price discovery contribution and the contribution of price discovery. Volatility spillover effect. Because stock index futures and stock spot market have the innate difference in price discovery function, such as stock index futures trading is the whole market, stock market trading is a stock, which makes the stock index futures market have the advantage of fast reflecting the overall market information, and the stock spot market price is unavoidable The price of an informed trader chooses a specific trading market to reveal its private information, then the price of the market will lead to other similar product markets. Generally speaking, there are four main reasons for the insider trading preference of different microstructural markets: leveraged trading hypothesis, In theoretical analysis, the stock index futures market has a better price discovery function than the stock spot market. However, the introduction of stock spot financing transaction will make the securities trading also have the characteristics of leveraged transaction and low transaction cost. The above four hypotheses change, the relative advantage of stock index futures in price discovery will be weakened, and the price discovery relationship between stock index futures and stock spot may change some changes. This part will be based on several hypotheses of price discovery function, and analyze the financing of stock spot market. The bond trading makes the securities trading also has the characteristics of leveraged transaction and low cost transaction. With the adjustment of the securities financing trading rules and the increase of the transaction scale, the stock index futures are gradually changing the advantages of the price discovery relative to the stock market, which results in some time when the price discovery relationship between stock index futures and stock refers to the spot. This paper studies the time variability of the price discovery function of stock index futures from two perspectives of different stages of stock index futures market development and the different stages of stock index futures contracts. The former uses the 5 minute high frequency transaction data of Shanghai and Shenzhen Stock Index Futures and stock index spot, and studies the stock of each stage on the basis of the division of the order section. It refers to the price guidance relationship of futures, price discovery contribution and volatility spillover effect. The latter adopts the high frequency transaction data of 5 or 1 minutes in different contracts and stock index futures of Shanghai and Shenzhen stock index futures, according to the status of the stock index futures contract in the contract sequence as the stage division standard, mainly to study the stock of stock index in various stages. The basic conclusion of this part is that there are significant and time-varying characteristics of price discovery function in different stages of stock index futures market development and the different stages of stock index futures contracts. The former shows that the price discovery ability of stock index futures is stronger than that of stock index futures. From weak to strong trend, the latter shows stock index futures price guiding stock index spot, and stock index futures contract price guides non main contract.
The seventh chapter, the main research conclusions and prospects. According to the conclusions of each part of the previous research, the part of the stock index futures hedging function, the present arbitrage function, the time variability of the price discovery function of the relevant research conclusions.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F832.51

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