滬深300期指與現(xiàn)指的相互關(guān)系研究
發(fā)布時間：2018-08-22 11:18
【摘要】：滬深300股指期貨于2010年4月16日正式上市,適應(yīng)了中國資本市場的發(fā)展趨勢,豐富了金融衍生產(chǎn)品的種類,為滬深股市提供了有力的風(fēng)險規(guī)避工具。滬深300股指期貨作為期貨的一種，是從股指現(xiàn)貨市場衍生出來的，，就理論上來說，仍然具有價格發(fā)現(xiàn)、套期保值的功能,基于這樣一種原因，滬深300期指與現(xiàn)指必定存在著長期或者短期內(nèi)的均衡關(guān)系，以及某種單向或者雙向的影響關(guān)系，而這些初步推斷的關(guān)系很有可能與協(xié)整有關(guān)，那么，二者的關(guān)系從實證上來看是否真的如此呢？國內(nèi)外眾多經(jīng)濟(jì)學(xué)領(lǐng)域的學(xué)者都對此課題深感興趣,開展了廣泛而深入的研究。 針對此課題，本論文著重研究滬深300股指期貨和現(xiàn)貨在長期和短期的均衡關(guān)系，并分析二者的相互影響關(guān)系。本文采用計量經(jīng)濟(jì)學(xué)的時間序列分析方法，分析滬深300對數(shù)期指和對數(shù)現(xiàn)指序列的協(xié)整,格蘭杰因果關(guān)系,相關(guān)系數(shù),以及誤差糾正機(jī)制,具體使用了ADF單位根檢驗、Johansen檢驗、EG兩步法、VEC建模、脈沖響應(yīng)分析、方差分解以及格蘭杰因果檢驗等方法，以使二者的關(guān)系以定量的方式表達(dá)出來,并且得出以下的實證結(jié)論: ①通過ADF方法進(jìn)行單位根檢驗，結(jié)果表明滬深300對數(shù)期指和對數(shù)現(xiàn)指序列都是非平穩(wěn)的，但其一階差分對數(shù)收益率序列卻是平穩(wěn)的，說明對數(shù)期指和現(xiàn)指序列都是一階單整的，可以進(jìn)一步構(gòu)造向量自回歸（VAR）模型； ②通過Johansen檢驗，發(fā)現(xiàn)滬深300對數(shù)期指和對數(shù)現(xiàn)指在長時間區(qū)間內(nèi)是存在穩(wěn)定的協(xié)整關(guān)系的，說明現(xiàn)指發(fā)揮了對于期指的基礎(chǔ)市場的作用,然而，其各個分時間區(qū)間的數(shù)據(jù)序列卻不必然都是協(xié)整關(guān)系的，即存在著協(xié)整關(guān)系的變結(jié)構(gòu),這種變結(jié)構(gòu)暗示了期指和現(xiàn)指之間基差的波動,說明了風(fēng)險的存在； ③通過VEC建模，進(jìn)行回歸,發(fā)現(xiàn)存在協(xié)整關(guān)系的總時間區(qū)間和分時間區(qū)間在短期內(nèi)都有著反向的誤差糾正機(jī)制，而這種誤差糾正實際上就是對數(shù)收益率的交互變動,即上一期的收益率高估會引起這一期的收益率下降,然而，這種糾正的量的程度卻是不同的，顯著性也是不同的，說明短期內(nèi)的序列運動形式也存在著結(jié)構(gòu)的變異性,進(jìn)一步說明收益率變動的波動性,亦即金融風(fēng)險的存在性； ④通過脈沖響應(yīng)函數(shù)（IRF）和方差分解方法，發(fā)現(xiàn)滬深300對數(shù)期指和對數(shù)現(xiàn)指序列確實存在著相互影響的關(guān)系，而且，期指對于現(xiàn)指的沖擊和方差貢獻(xiàn)度更大，持續(xù)時間也更長,說明正如期貨與現(xiàn)貨關(guān)系理論所闡述的那樣,滬深300期指對于現(xiàn)指確實存在著某種影響關(guān)系； ⑤通過Granger因果檢驗，發(fā)現(xiàn)二者無論在全時間區(qū)間，還是分時間區(qū)間都不存在顯著的格蘭杰因果關(guān)系,說明因為滬深300期指市場不完善,股指期貨沒有充分發(fā)揮對于現(xiàn)貨指數(shù)的應(yīng)有的價格發(fā)現(xiàn)和套期保值功能。
[Abstract]:Shanghai and Shenzhen 300 stock index futures were officially listed on April 16, 2010, which adapts the development trend of Chinese capital market, enriches the types of financial derivatives, and provides a powerful risk aversion tool for Shanghai and Shenzhen stock markets. As a kind of futures, the Shanghai and Shenzhen 300 stock index futures are derived from the spot stock index market. Theoretically speaking, they still have the function of price discovery and hedging, for such a reason, There must be a long-term or short-term equilibrium relationship between the Shanghai and Shenzhen 300 index and the present index, as well as some kind of unidirectional or two-way influence relationship, and these preliminary inferred relationships are likely to be related to cointegration. Is the relationship between the two really true from an empirical point of view? Many domestic and foreign scholars in the field of economics are deeply interested in this subject and have carried out extensive and in-depth research. This paper focuses on the long-term and short-term equilibrium relationship between Shanghai and Shenzhen 300 stock index futures and spot stock index futures, and analyzes the relationship between them. In this paper, the time series analysis method of econometrics is used to analyze the cointegration, Granger causality, correlation coefficient and error correction mechanism of Shanghai and Shenzhen 300 logarithmic index and logarithmic index. The ADF unit root test and Johansen test are used to model VEC, impulse response analysis, variance decomposition and Granger causality test, so that the relationship between the two can be expressed in a quantitative way. The results show that the logarithmic index and logarithmic index sequence of Shanghai and Shenzhen 300 are not stable, but the first order difference logarithmic return sequence is stable, and the empirical results are as follows: (1) using ADF method to test the unit root, the results show that the logarithmic index and logarithmic index of Shanghai and Shenzhen 300 are both non-stationary. It is shown that the logarithmic index and the extant sequence are one-order and single-integer, which can further construct the vector autoregressive (VAR) model. 2 through the Johansen test, It is found that there is a stable cointegration relationship between Shanghai and Shenzhen 300 logarithmic index and logarithmic index in a long period of time, which indicates that the present index plays a role in the basic market of futures index. However, The data sequence of each time interval is not necessarily cointegration relation, that is, there exists the variable structure of cointegration relation, this variable structure implies the fluctuation of the basis difference between the index and the current index, and explains the existence of the risk. (3) by VEC modeling and regression, it is found that the total time interval and sub-time interval with cointegration relationship have reverse error correction mechanism in the short term, and this error correction is actually the interactive change of logarithmic rate of return. That is, the overvaluation of the yield of the previous period will cause the yield of this issue to decline, however, the degree of correction is different, and the significance is also different, indicating that there is also structural variability in the form of sequence motion in the short term. Further explain the volatility of the rate of return, that is, the existence of financial risk. 4 through the impulse response function (IRF) and variance decomposition method, It is found that the Shanghai and Shenzhen 300 logarithmic index and logarithmic index series do have a mutual influence on each other. Moreover, the index has a greater contribution to the impact and variance of the index, and the duration of the index is longer. It shows that the CSI 300 index does have some influence on the current index as stated in the futures and spot relation theory. (5) through the Granger causality test, it is found that both of them are in the whole time range. There is no significant Granger causality in the time interval, which indicates that because the Shanghai and Shenzhen 300 futures market is not perfect, the stock index futures do not give full play to the function of price discovery and hedging for spot index.
【學(xué)位授予單位】：重慶師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.5;F224
[Abstract]:Shanghai and Shenzhen 300 stock index futures were officially listed on April 16, 2010, which adapts the development trend of Chinese capital market, enriches the types of financial derivatives, and provides a powerful risk aversion tool for Shanghai and Shenzhen stock markets. As a kind of futures, the Shanghai and Shenzhen 300 stock index futures are derived from the spot stock index market. Theoretically speaking, they still have the function of price discovery and hedging, for such a reason, There must be a long-term or short-term equilibrium relationship between the Shanghai and Shenzhen 300 index and the present index, as well as some kind of unidirectional or two-way influence relationship, and these preliminary inferred relationships are likely to be related to cointegration. Is the relationship between the two really true from an empirical point of view? Many domestic and foreign scholars in the field of economics are deeply interested in this subject and have carried out extensive and in-depth research. This paper focuses on the long-term and short-term equilibrium relationship between Shanghai and Shenzhen 300 stock index futures and spot stock index futures, and analyzes the relationship between them. In this paper, the time series analysis method of econometrics is used to analyze the cointegration, Granger causality, correlation coefficient and error correction mechanism of Shanghai and Shenzhen 300 logarithmic index and logarithmic index. The ADF unit root test and Johansen test are used to model VEC, impulse response analysis, variance decomposition and Granger causality test, so that the relationship between the two can be expressed in a quantitative way. The results show that the logarithmic index and logarithmic index sequence of Shanghai and Shenzhen 300 are not stable, but the first order difference logarithmic return sequence is stable, and the empirical results are as follows: (1) using ADF method to test the unit root, the results show that the logarithmic index and logarithmic index of Shanghai and Shenzhen 300 are both non-stationary. It is shown that the logarithmic index and the extant sequence are one-order and single-integer, which can further construct the vector autoregressive (VAR) model. 2 through the Johansen test, It is found that there is a stable cointegration relationship between Shanghai and Shenzhen 300 logarithmic index and logarithmic index in a long period of time, which indicates that the present index plays a role in the basic market of futures index. However, The data sequence of each time interval is not necessarily cointegration relation, that is, there exists the variable structure of cointegration relation, this variable structure implies the fluctuation of the basis difference between the index and the current index, and explains the existence of the risk. (3) by VEC modeling and regression, it is found that the total time interval and sub-time interval with cointegration relationship have reverse error correction mechanism in the short term, and this error correction is actually the interactive change of logarithmic rate of return. That is, the overvaluation of the yield of the previous period will cause the yield of this issue to decline, however, the degree of correction is different, and the significance is also different, indicating that there is also structural variability in the form of sequence motion in the short term. Further explain the volatility of the rate of return, that is, the existence of financial risk. 4 through the impulse response function (IRF) and variance decomposition method, It is found that the Shanghai and Shenzhen 300 logarithmic index and logarithmic index series do have a mutual influence on each other. Moreover, the index has a greater contribution to the impact and variance of the index, and the duration of the index is longer. It shows that the CSI 300 index does have some influence on the current index as stated in the futures and spot relation theory. (5) through the Granger causality test, it is found that both of them are in the whole time range. There is no significant Granger causality in the time interval, which indicates that because the Shanghai and Shenzhen 300 futures market is not perfect, the stock index futures do not give full play to the function of price discovery and hedging for spot index.
【學(xué)位授予單位】：重慶師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.5;F224
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