本文關(guān)鍵詞： 股指期貨 價(jià)格發(fā)現(xiàn) 誤差修正模型 信息份額模型　出處：《上海師范大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：2006年9月8口，中國(guó)金融期貨交易所在上海注冊(cè)成立，它的注冊(cè)資本為5億元，它的成立對(duì)于加強(qiáng)金融市場(chǎng)功能，改善金融市場(chǎng)體系，深化金融市場(chǎng)改革，具桿長(zhǎng)遠(yuǎn)的意義.中國(guó)金融期貨交易所經(jīng)過(guò)多次的仿真交易后，于2010年4月16日推出了滬深300股指期貨。 當(dāng)前中國(guó)的股指期貨市場(chǎng)的價(jià)格發(fā)現(xiàn)作用，與現(xiàn)貨市場(chǎng)的價(jià)格引導(dǎo)關(guān)系，價(jià)格發(fā)現(xiàn)貢獻(xiàn)度，，研究這叫問(wèn)題可以揭示出中國(guó)股指期貨市場(chǎng)價(jià)格發(fā)現(xiàn)的過(guò)程與其價(jià)格發(fā)現(xiàn)能力，同時(shí)可以將這件有價(jià)值的市場(chǎng)信息提供給夂易者，也有利于我們對(duì)中國(guó)股指期貨市場(chǎng)價(jià)格發(fā)現(xiàn)機(jī)制的理解。 木文首先對(duì)股指期貨和的對(duì)數(shù)收益進(jìn)行描述性統(tǒng)計(jì)分析和平穩(wěn)性檢驗(yàn)；接著通過(guò)格蘭杰因果關(guān)系驗(yàn)證現(xiàn)貨與期貨價(jià)格之間是否存在超前滯后的引導(dǎo)關(guān)系;隨后，通過(guò)分析脈沖響應(yīng)函數(shù)和方差分解，探究?jī)?nèi)生變量的沖擊和誤差項(xiàng)對(duì)模型中其他變量帶來(lái)的影響；然后，通過(guò)johansen協(xié)整關(guān)系判斷現(xiàn)貨價(jià)格與股指期貨之間是否存在長(zhǎng)期均衡關(guān)系；并根據(jù)該結(jié)果建立向量誤差修正模型(VEC)，檢驗(yàn)現(xiàn)貨價(jià)格與股指期貨之問(wèn)相互影響程度。最后分析VEC模型的參數(shù)OT計(jì)結(jié)果，建立信息份額模型(IS),計(jì)算期貨市場(chǎng)信息份額，對(duì)價(jià)格發(fā)現(xiàn)貢獻(xiàn)作出定量的分析。研允表明： 首先，就格蘭杰因果關(guān)系檢驗(yàn)的結(jié)果而言，在口度數(shù)據(jù)的頻率下，現(xiàn)貨市場(chǎng)和期貨市場(chǎng)均不是對(duì)方的價(jià)格變化原因，但在1分鐘的數(shù)據(jù)頻率下，期貨市場(chǎng)和現(xiàn)貨市場(chǎng)互為對(duì)方的價(jià)格變化原因。 然后，分析脈沖響應(yīng)函數(shù)和方差分解結(jié)果，發(fā)現(xiàn)股指期貨市場(chǎng)有長(zhǎng)期的價(jià)格發(fā)現(xiàn)功能，但是股指期貨的價(jià)格主要是受自身沖擊的影響，現(xiàn)貨市場(chǎng)對(duì)股指期貨市場(chǎng)的影響很小lf.持續(xù)時(shí)間很短，從而得到了期貨市場(chǎng)對(duì)現(xiàn)貨市場(chǎng)價(jià)格變化具有引導(dǎo)關(guān)系。 股指期貨的價(jià)格發(fā)現(xiàn)貢獻(xiàn)度為44.27%,二者都說(shuō)明股指現(xiàn)貨的價(jià)格發(fā)現(xiàn)能力很強(qiáng)，在價(jià)格發(fā)現(xiàn)過(guò)程中占主導(dǎo)地位。
[Abstract]:In September 8th 2006, the China Financial Futures Exchange was established in Shanghai with a registered capital of 500 million yuan. The establishment of the Exchange will enhance the function of the financial market, improve the financial market system, and deepen the reform of the financial market. The China Financial Futures Exchange introduced the Shanghai and Shenzhen 300 stock index futures in April 16th 2010 after many simulation transactions. At present, the role of price discovery in China's stock index futures market is related to the price guidance of the spot market and the contribution of price discovery. Studying this problem can reveal the process of price discovery and its price discovery ability in China's stock index futures market. At the same time, this valuable market information can be provided to the exchange, and it is also beneficial to our understanding of the price discovery mechanism of China's stock index futures market. The paper first carries on the descriptive statistical analysis and the stability test to the logarithmic income of stock index futures; then proves whether there is a leading relation between spot and futures price by Granger causality; then, By analyzing impulse response function and variance decomposition, this paper explores the impact of endogenous variables and errors on other variables in the model, and then determines whether there is a long-term equilibrium relationship between spot price and stock index futures by johansen cointegration. Based on the result, a vector error correction model is established to test the interaction between spot price and stock index futures. Finally, the results of VEC model are analyzed, and the information share model is established to calculate the information share of futures market. To make a quantitative analysis of the contribution of price discovery. First of all, as far as the Granger causality test is concerned, both the spot market and the futures market are not the cause of each other's price changes at the frequency of the mouth size data, but at the frequency of one minute of the data, Futures market and spot market for each other's price changes. Then, by analyzing the impulse response function and variance decomposition results, it is found that the stock index futures market has a long-term price discovery function, but the price of stock index futures is mainly affected by its own impact. The influence of the spot market on the stock index futures market is very small and the duration is very short, so it is concluded that the futures market has a leading relationship to the change of the spot market price. The contribution of stock index futures to price discovery is 44.27, both of which indicate that the spot stock index has a strong ability to find the price and plays a leading role in the process of price discovery.
【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F724.5;F224

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