發(fā)布時(shí)間：2018-07-24 10:43

【摘要】：價(jià)格發(fā)現(xiàn)功能是整個(gè)期貨市場(chǎng)存在和發(fā)展的基礎(chǔ),同時(shí)也是股指期貨市場(chǎng)實(shí)現(xiàn)套期保值功能的前提。股指期貨價(jià)格發(fā)現(xiàn)功能的發(fā)揮有利于現(xiàn)貨市場(chǎng)系統(tǒng)風(fēng)險(xiǎn)的規(guī)避和投資組合的有效配置,關(guān)系著股票市場(chǎng)的價(jià)格穩(wěn)定和市場(chǎng)整體的承載能力。研究我國(guó)尚處于襁褓階段的股指期貨其價(jià)格發(fā)現(xiàn)功能的表現(xiàn),客觀地從量化角度對(duì)我國(guó)股指期貨市場(chǎng)的這一基礎(chǔ)功能做出衡量和評(píng)價(jià),可以辨識(shí)出我國(guó)股指期貨市場(chǎng)發(fā)展成熟度和是否出現(xiàn)了異常表現(xiàn),以促進(jìn)股指期貨積極功能的發(fā)揮、并推動(dòng)其發(fā)展。 本文搜集了2012年3月5日-2013年3月7日期間日收盤數(shù)據(jù)和2013年2月21日-2013年3月7日期間間隔15分鐘的高頻數(shù)據(jù)。運(yùn)用Granger因果關(guān)系檢驗(yàn)從長(zhǎng)短期判斷期貨市場(chǎng)與現(xiàn)貨市場(chǎng)的價(jià)格領(lǐng)先滯后關(guān)系,運(yùn)用基于VAR模型的脈沖響應(yīng)分析來探究不同頻率的期現(xiàn)貨價(jià)格序列中新信息沖擊對(duì)期貨價(jià)格和現(xiàn)貨價(jià)格的動(dòng)態(tài)影響效果和基于VAR模型的方差分解從長(zhǎng)短期對(duì)期現(xiàn)貨市場(chǎng)價(jià)格發(fā)現(xiàn)貢獻(xiàn)度進(jìn)行定量研究,并將HS300指數(shù)及其對(duì)應(yīng)的股指期貨不同頻率數(shù)據(jù)實(shí)證研究結(jié)果進(jìn)行比較。 從微觀角度來看,高頻率的股指期貨價(jià)格對(duì)現(xiàn)貨價(jià)格的價(jià)格發(fā)現(xiàn)能力很強(qiáng)且持續(xù)時(shí)間長(zhǎng),股指期貨在短期內(nèi)領(lǐng)跑現(xiàn)貨價(jià)格。對(duì)于現(xiàn)貨市場(chǎng)的短線交易者,可以參考股指期貨價(jià)格走勢(shì)作為投資決策方向的一個(gè)預(yù)判指標(biāo),在股指期貨市場(chǎng)和現(xiàn)貨市場(chǎng)之間構(gòu)建-個(gè)風(fēng)險(xiǎn)管理體系。通過兩個(gè)序列的15分鐘高頻數(shù)據(jù)可以得到,領(lǐng)先期在15分鐘左右較為明顯。期貨市場(chǎng)的價(jià)格發(fā)現(xiàn)優(yōu)勢(shì)只是在短期存在,從宏觀角度來看,股指期貨市場(chǎng)的價(jià)格發(fā)現(xiàn)優(yōu)勢(shì)已經(jīng)喪失。對(duì)于現(xiàn)貨市場(chǎng)中的長(zhǎng)期投資者,參考股指期貨市場(chǎng)走勢(shì)進(jìn)行投資決策的價(jià)值不大。我國(guó)股指期貨市場(chǎng)價(jià)格發(fā)現(xiàn)功能的發(fā)揮仍有較大的進(jìn)步空間,為進(jìn)一步促進(jìn)股指期貨市場(chǎng)價(jià)格發(fā)現(xiàn)功能的發(fā)揮,本文最后提出了四點(diǎn)政策建議。
[Abstract]:The function of price discovery is the basis of the existence and development of the whole futures market and the premise of the hedging function of the stock index futures market. The function of stock index futures price discovery is beneficial to avoid the systemic risk of spot market and the effective allocation of investment portfolio, which is related to the price stability of stock market and the bearing capacity of the market as a whole. This paper studies the performance of the price discovery function of stock index futures in its infancy in China, and objectively measures and evaluates the basic function of stock index futures market from the angle of quantification. We can identify the maturity and abnormal performance of stock index futures market in order to promote the positive function of stock index futures and promote the development of stock index futures. This paper collects daily closing data from March 5, 2012 to March 7, 2013 and high frequency data from February 21, 2013 to March 7, 2013. Using Granger causality test to judge the price leading lag relationship between futures market and spot market in the long and short term. The impulse response analysis based on VAR model is used to explore the dynamic effect of new information shock on futures price and spot price in futures spot price series with different frequencies. Variance decomposition based on VAR model is presented from long and short term. Quantitative study on the contribution of price discovery in goods market, The empirical results of HS300 index and its corresponding index futures with different frequency data are compared. From the microcosmic point of view, the high frequency stock index futures have a strong ability to find the spot price and last a long time, and the stock index futures lead the spot price in the short term. For the short-term traders in the spot market, we can refer to the price trend of the stock index futures as a predictor of the investment decision direction, and construct a risk management system between the stock index futures market and the spot market. The 15-minute high-frequency data of the two sequences can be obtained, and the leading period is about 15 minutes. The price discovery advantage of the futures market only exists in the short term. From the macro point of view, the price discovery advantage of the stock index futures market has been lost. For long-term investors in the spot market, the value of making investment decisions with reference to the trend of stock index futures market is not significant. There is still much room for improvement in the function of price discovery in stock index futures market in China. In order to further promote the function of price discovery in stock index futures market, four policy suggestions are put forward in this paper.
【學(xué)位授予單位】：湖北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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本文編號(hào)：2141120