上證50股指期貨的價格發(fā)現(xiàn)功能及對股市定價效率的影響
發(fā)布時間：2018-08-02 13:07
【摘要】：2015年4月上證50股指期貨品種進入市場,旨在完善資本市場的風險對沖機制,豐富資本市場的做空手段,提高市場效率,降低市場系統(tǒng)風險。但是在國內市場不夠成熟、投資者不夠理性的大環(huán)境下,加之2015年的股災事件、中金所出臺的交易限制措施影響,股指期貨新品種的推出能否對市場產生積極的作用值得深思。本文旨在探究上證50股指期貨推出后對股票現(xiàn)貨市場是否產生了有效影響,從期指的價格發(fā)現(xiàn)功能及對股票的定價效率兩個角度考量。將樣本區(qū)間分為市場非穩(wěn)定期和市場穩(wěn)定期,首先基于2015年4月16日期指上市至2016年4月16日一年內的日度數(shù)據(jù)和五分鐘高頻數(shù)據(jù),運用DCC-GARCH模型計算指數(shù)期現(xiàn)貨收益率間的動態(tài)相關系數(shù),對二者間的互動關系進行檢驗;其次,運用協(xié)整檢驗對指數(shù)期現(xiàn)貨價格間的長期均衡關系進行驗證,并根據(jù)檢驗結果對期現(xiàn)貨價格間的長期均衡及短期互動關系建立VECM誤差修正模型,定性分析二者間的價格引導關系;在此基礎上,利用IS信息份額模型對指數(shù)期現(xiàn)貨的價格發(fā)現(xiàn)貢獻度進行測算,定量分析二者的價格發(fā)現(xiàn)功能;此外,利用分位數(shù)回歸法定性分析不同市場行情下股指期貨對現(xiàn)貨市場的影響;最后,利用期指推出前后各一年的交易數(shù)據(jù),以股價調整滯后系數(shù)作為市場定價效率的衡量指標,建立DID雙重差分模型和面板數(shù)據(jù)模型對期指推出事件的影響進行分析,判斷其對指數(shù)標的成分股的定價效率是否具有提高作用。研究結果表明:無論從日間還是日內數(shù)據(jù)來看,指數(shù)期現(xiàn)貨間都保持了較高的關聯(lián)性,期指上市的近半年內適逢股災,避險功能未能有效發(fā)揮,反而成為股市下跌的助推劑,半年后期指的價格發(fā)現(xiàn)功能逐漸顯現(xiàn),形成指數(shù)期現(xiàn)貨間的雙向引導關系;股指期貨對現(xiàn)貨的影響在市場行情上漲時更強,股票的定價效率有更明顯的提高,而在市場行情下跌時這一正向影響卻不顯著。由此本文認為,上證50股指期貨的推出總體而言,對股票市場具有正面影響,但由于制度設計、交易監(jiān)管及投資者情緒等方面的因素,其價格發(fā)現(xiàn)及風險對沖的作用未能完全有效發(fā)揮,因此應精細化期指交易及合約等制度的設計、引導投資者對期指的有效合理運用,以此促進其功能的進一步顯現(xiàn),也防范其可能帶來的風險。
[Abstract]:In April 2015, Shanghai 50 stock index futures entered the market in order to perfect the risk hedging mechanism of capital market, enrich the short selling means of capital market, improve market efficiency and reduce market system risk. However, in the domestic market is not mature, investors are not rational environment, coupled with the 2015 stock disaster, the trading restrictions introduced by CICC, whether the introduction of new stock index futures on the market has a positive role to ponder. The purpose of this paper is to explore whether the Shanghai 50 stock index futures have an effective impact on the spot stock market from the perspective of the price discovery function of the futures index and the pricing efficiency of the stock market. The sample ranges are divided into market unsteady periods and market stable periods. First, it is based on daily data and five-minute high frequency data for the year from April 16, 2015 to April 16, 2016. The DCC-GARCH model is used to calculate the dynamic correlation coefficient between the spot returns of the index period, and the interactive relationship between the two is tested. Secondly, the long-term equilibrium relationship between the spot prices of the index period is verified by cointegration test. Based on the test results, the VECM error correction model is established for the long-term equilibrium and short-term interaction between spot prices, and the price guidance relationship between them is analyzed qualitatively. Using is information share model to measure the price discovery contribution of the spot price in the index period, and quantitatively analyze the price discovery function of both, in addition, use the quantile regression method to qualitatively analyze the influence of the stock index futures on the spot market under different market prices. Finally, using the trading data of one year before and after the launch of the index, and taking the stock price adjustment lag coefficient as the index to measure the market pricing efficiency, the DID double difference model and the panel data model are established to analyze the impact of the index launch event. Judge whether the pricing efficiency of the index target constituent stock has the function of improving. The results of the study show that: whether from day to day data, the index period spot has maintained a high correlation, the futures index has experienced a stock disaster in the past half a year, and the risk avoidance function has not been effectively brought into play, on the contrary, it has become a booster for the stock market to fall. Half a year later, the price discovery function of the index gradually became apparent, forming a two-way guiding relationship between the spot stocks in the index period; the influence of the stock index futures on the spot prices was stronger when the market price rose, and the pricing efficiency of the stocks increased more obviously. But in the market decline, this positive impact is not significant. Therefore, the introduction of Shanghai Stock Exchange 50 stock index futures has a positive impact on the stock market in general, but due to the factors of system design, transaction supervision and investor sentiment, etc. The role of price discovery and risk hedging is not fully effective, so we should elaborate the design of futures trading and contract system to guide investors to use the index effectively and reasonably, so as to promote the further development of its function. Also guard against its possible risks.
【學位授予單位】：南京師范大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51;F724.5
[Abstract]:In April 2015, Shanghai 50 stock index futures entered the market in order to perfect the risk hedging mechanism of capital market, enrich the short selling means of capital market, improve market efficiency and reduce market system risk. However, in the domestic market is not mature, investors are not rational environment, coupled with the 2015 stock disaster, the trading restrictions introduced by CICC, whether the introduction of new stock index futures on the market has a positive role to ponder. The purpose of this paper is to explore whether the Shanghai 50 stock index futures have an effective impact on the spot stock market from the perspective of the price discovery function of the futures index and the pricing efficiency of the stock market. The sample ranges are divided into market unsteady periods and market stable periods. First, it is based on daily data and five-minute high frequency data for the year from April 16, 2015 to April 16, 2016. The DCC-GARCH model is used to calculate the dynamic correlation coefficient between the spot returns of the index period, and the interactive relationship between the two is tested. Secondly, the long-term equilibrium relationship between the spot prices of the index period is verified by cointegration test. Based on the test results, the VECM error correction model is established for the long-term equilibrium and short-term interaction between spot prices, and the price guidance relationship between them is analyzed qualitatively. Using is information share model to measure the price discovery contribution of the spot price in the index period, and quantitatively analyze the price discovery function of both, in addition, use the quantile regression method to qualitatively analyze the influence of the stock index futures on the spot market under different market prices. Finally, using the trading data of one year before and after the launch of the index, and taking the stock price adjustment lag coefficient as the index to measure the market pricing efficiency, the DID double difference model and the panel data model are established to analyze the impact of the index launch event. Judge whether the pricing efficiency of the index target constituent stock has the function of improving. The results of the study show that: whether from day to day data, the index period spot has maintained a high correlation, the futures index has experienced a stock disaster in the past half a year, and the risk avoidance function has not been effectively brought into play, on the contrary, it has become a booster for the stock market to fall. Half a year later, the price discovery function of the index gradually became apparent, forming a two-way guiding relationship between the spot stocks in the index period; the influence of the stock index futures on the spot prices was stronger when the market price rose, and the pricing efficiency of the stocks increased more obviously. But in the market decline, this positive impact is not significant. Therefore, the introduction of Shanghai Stock Exchange 50 stock index futures has a positive impact on the stock market in general, but due to the factors of system design, transaction supervision and investor sentiment, etc. The role of price discovery and risk hedging is not fully effective, so we should elaborate the design of futures trading and contract system to guide investors to use the index effectively and reasonably, so as to promote the further development of its function. Also guard against its possible risks.
【學位授予單位】：南京師范大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51;F724.5
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