【摘要】：股指期貨是資本市場發(fā)展到一定階段出現(xiàn)的必然產(chǎn)物,它的出現(xiàn)為資本市場注入了新的活力,加速了市場信息的傳導效率,并以其獨特的保證金制度吸引著眾多投資者參與。我國于2010年4月16日推出了首張股指期貨合約——滬深300股指期貨合約,為我國投資者規(guī)避股票市場系統(tǒng)性風險提供了投資標的。 然而,我國股指期貨市場一直在人們的質(zhì)疑聲中運行。問題的關(guān)鍵在于滬深300股指期貨推出的初期引起了滬深300股票現(xiàn)貨市場的暴跌,并在推出后的一段時期內(nèi)沒有消除股票現(xiàn)貨市場劇烈波動的現(xiàn)象,所以許多投資者認為股指期貨的推出成為了股票現(xiàn)貨市場下跌的幕后推手,更有甚者認為一些機構(gòu)投資者通過操縱大盤股打壓股票指數(shù),并在股指期貨市場開立空倉牟取暴利。種種質(zhì)疑也間接說明我國股指期貨市場上投機者較多,缺乏應(yīng)有的套利及套期保值行為,從而使得我國股指期貨的定價機制效率低下。由此,筆者在閱讀了相關(guān)文獻資料的基礎(chǔ)上對我國股指期貨市場與現(xiàn)貨市場的關(guān)聯(lián)性進行了研究。另外,由于我國股指期貨推出的時間相對較短,為了增強文章的說服力,本文采用股指期貨市場及現(xiàn)貨市場15分鐘高頻數(shù)據(jù)進行研究。 本文首先利用ARMA-GARCH模型對股指期貨的推出是否會加劇股票現(xiàn)貨市場波動性進行研究。為了考察股指期貨對股票現(xiàn)貨市場的沖擊是短期現(xiàn)象還是長期現(xiàn)象,筆者將數(shù)據(jù)分為短期數(shù)據(jù)與長期數(shù)據(jù)兩組進行研究,實證結(jié)果表明股指期貨推出的短期內(nèi)會加劇現(xiàn)貨市場的波動,但長期內(nèi)會平抑現(xiàn)貨市場的波動。隨后本文試圖建立VAR模型分析股指期貨市場與股票現(xiàn)貨市場之間的相互引導關(guān)系,但股指期貨與股指現(xiàn)貨收益率序列之間不滿足互為因果關(guān)系,所以筆者改用股指期貨與股票現(xiàn)貨指數(shù)序列進行后續(xù)研究,由于兩者是具有協(xié)整關(guān)系的非平穩(wěn)序列,所以適合建立VEC模型。筆者通過雙變量VEC模型及EGARCH模型對股指期貨是否存在波動溢出效應(yīng)進行了研究。VEC模型檢驗結(jié)果表明股指期貨與現(xiàn)貨市場存在相互引導關(guān)系,但股指期貨市場的波動對現(xiàn)貨市場的影響很大,而現(xiàn)貨市場的波動對股指期貨市場的影響較小,表明股指期現(xiàn)貨市場之間存在不對稱的波動溢出效應(yīng)。實證結(jié)果還發(fā)現(xiàn)股指期貨價格變化要比現(xiàn)貨價格變化超前至少15分鐘,證明股指期貨的推出加快了信息的傳導效率。EGARCH模型檢驗結(jié)果顯示股指期貨市場及現(xiàn)貨市場的各自波動性對信息的反應(yīng)存在不對稱性,股指期貨市場對利好及利空消息的反應(yīng)不同于股票現(xiàn)貨市場,股指期貨對利空消息更加敏感,而現(xiàn)貨市場對利好消息更加敏感。最后本文基于股指期貨與現(xiàn)貨市場的關(guān)聯(lián)性引出了股指期貨定價機制的實證研究,旨在分析我國股指期貨的定價機制是否合理。文章利用修改的持有成本模型及Hemler-Longstaff模型計算出了各個股指期貨合約的理論價格,并與真實價格做了比較,發(fā)現(xiàn)股指期貨合約的真實價格較理論價格偏離度較大,說明滬深300股指期貨的定價機制效率低下。另外,本文還引用了無套利區(qū)間模型對各個月份存在的套利機會進行了統(tǒng)計,統(tǒng)計結(jié)果表明我國股指期貨存在較多套利機會。
[Abstract]:Stock index futures is the inevitable outcome of the development of the capital market. It injects new vitality into the capital market, accelerates the transmission efficiency of market information, and attracts many investors with its unique margin system. Futures contracts provide investment targets for Chinese investors to avoid systemic risks in the stock market.
However, China's stock index futures market has been operating in the voice of query. The key problem is that the initial launch of the Shanghai-Shenzhen 300 stock index futures caused a sharp drop in the Shanghai-Shenzhen 300 stock spot market, and did not eliminate the stock spot market volatility in a period of time after the launch, so many investors believe that the stock index futures. It has become a behind-the-scenes driver of the decline of the stock spot market, and some even believe that some institutional investors manipulate the large-cap stocks to suppress the stock index and open short positions in the stock index futures market for profitable profits. Therefore, the author has studied the correlation between the stock index futures market and the spot market on the basis of reading the relevant literature. In addition, due to the relatively short launch time of China's stock index futures, in order to enhance the persuasiveness of the article, this paper uses the stock index futures market. 15 minute high frequency data in field and spot markets were studied.
In order to investigate whether the impact of stock index futures on the stock spot market is a short-term phenomenon or a long-term phenomenon, the author divides the data into two groups: short-term data and long-term data. In the short run, it will aggravate the fluctuation of the spot market, but it will calm the fluctuation of the spot market in the long run. Then this paper tries to establish a VAR model to analyze the mutual guidance relationship between the stock index futures market and the stock spot market, but the stock index futures and the stock index spot yield series do not satisfy the mutual causal relationship, so the author uses the stock instead. The paper studies the volatility spillover effect of stock index futures through the bivariate VEC model and the EGARCH model. The VEC model test results show that the stock index futures and the spot market exist volatility spillover effect. But the fluctuation of stock index futures market has a great influence on the spot market, while the fluctuation of spot market has a little influence on the stock index futures market, which indicates that there is an asymmetric volatility spillover effect between the spot market and the stock index futures market. The results of the EGARCH model test show that the volatility of the stock index futures market and the spot market reacts asymmetrically to the information. The stock index futures market reacts differently to bullish and bullish news than the stock spot market, and the stock index futures are more sensitive to bullish and bullish news. Finally, based on the correlation between stock index futures and spot market, this paper leads to an empirical study on the pricing mechanism of stock index futures, aiming to analyze whether the pricing mechanism of stock index futures in China is reasonable. The theoretical price of the futures contract is compared with the real price. It is found that the real price of the stock index futures contract deviates greatly from the theoretical price, which indicates that the pricing mechanism of the Shanghai-Shenzhen 300 stock index futures is inefficient. In addition, this paper also quotes the non-arbitrage interval model to analyze the arbitrage opportunities in each month. There are many arbitrage opportunities in China's stock index futures.
【學位授予單位】：江西財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.5;F224

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