【摘要】：價格發(fā)現(xiàn)功能是整個期貨市場存在和發(fā)展的基礎(chǔ),同時也是股指期貨市場實現(xiàn)套期保值功能的前提。股指期貨價格發(fā)現(xiàn)功能的發(fā)揮有利于現(xiàn)貨市場系統(tǒng)風(fēng)險的規(guī)避和投資組合的有效配置,關(guān)系著股票市場的價格穩(wěn)定和市場整體的承載能力。研究我國尚處于襁褓階段的股指期貨其價格發(fā)現(xiàn)功能的表現(xiàn),客觀地從量化角度對我國股指期貨市場的這一基礎(chǔ)功能做出衡量和評價,可以辨識出我國股指期貨市場發(fā)展成熟度和是否出現(xiàn)了異常表現(xiàn),以促進股指期貨積極功能的發(fā)揮、并推動其發(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)。運用Granger因果關(guān)系檢驗從長短期判斷期貨市場與現(xiàn)貨市場的價格領(lǐng)先滯后關(guān)系,運用基于VAR模型的脈沖響應(yīng)分析來探究不同頻率的期現(xiàn)貨價格序列中新信息沖擊對期貨價格和現(xiàn)貨價格的動態(tài)影響效果和基于VAR模型的方差分解從長短期對期現(xiàn)貨市場價格發(fā)現(xiàn)貢獻度進行定量研究,并將HS300指數(shù)及其對應(yīng)的股指期貨不同頻率數(shù)據(jù)實證研究結(jié)果進行比較。 從微觀角度來看,高頻率的股指期貨價格對現(xiàn)貨價格的價格發(fā)現(xiàn)能力很強且持續(xù)時間長,股指期貨在短期內(nèi)領(lǐng)跑現(xiàn)貨價格。對于現(xiàn)貨市場的短線交易者,可以參考股指期貨價格走勢作為投資決策方向的一個預(yù)判指標(biāo),在股指期貨市場和現(xiàn)貨市場之間構(gòu)建-個風(fēng)險管理體系。通過兩個序列的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。期貨市場的價格發(fā)現(xiàn)優(yōu)勢只是在短期存在,從宏觀角度來看,股指期貨市場的價格發(fā)現(xiàn)優(yōu)勢已經(jīng)喪失。對于現(xiàn)貨市場中的長期投資者,參考股指期貨市場走勢進行投資決策的價值不大。我國股指期貨市場價格發(fā)現(xiàn)功能的發(fā)揮仍有較大的進步空間,為進一步促進股指期貨市場價格發(fā)現(xiàn)功能的發(fā)揮,本文最后提出了四點政策建議。
[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)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

【參考文獻】

相關(guān)期刊論文 前10條

1 劉鳳根;王曉芳;;股指期貨與股票市場波動性關(guān)系的實證研究[J];財貿(mào)研究;2008年03期

2 蔡向輝;;股指期貨價格發(fā)現(xiàn)功能研究[J];價格理論與實踐;2010年02期

3 劉成立;王朝暉;鄭蓉;;滬深300股指期貨價格發(fā)現(xiàn)功能實證研究[J];價格月刊;2010年10期

4 張雨萌;劉向麗;;中國滬深300股指期貨的日內(nèi)價格發(fā)現(xiàn)功能研究[J];會計之友;2011年31期

5 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(xué)學(xué)報(社會科學(xué)版);2008年03期

6 劉超;康艷青;;我國滬深300股指期貨價格發(fā)現(xiàn)功能的實證分析[J];企業(yè)經(jīng)濟;2012年05期

7 林祥友;代宏霞;何蕭肖;;股指期貨價格發(fā)現(xiàn)功能的實證研究——來自滬深300股指期貨仿真交易的證據(jù)[J];山東經(jīng)濟;2011年01期

8 蔡向輝;;滬深300指數(shù)期貨價格發(fā)現(xiàn)功能研究[J];金融發(fā)展研究;2011年03期

9 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

10 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(shù)經(jīng)濟研究;2011年05期

，

本文編號：2141120