【摘要】：2015年4月上證50股指期貨品種進(jìn)入市場(chǎng),旨在完善資本市場(chǎng)的風(fēng)險(xiǎn)對(duì)沖機(jī)制,豐富資本市場(chǎng)的做空手段,提高市場(chǎng)效率,降低市場(chǎng)系統(tǒng)風(fēng)險(xiǎn)。但是在國(guó)內(nèi)市場(chǎng)不夠成熟、投資者不夠理性的大環(huán)境下,加之2015年的股災(zāi)事件、中金所出臺(tái)的交易限制措施影響,股指期貨新品種的推出能否對(duì)市場(chǎng)產(chǎn)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(duì)股票現(xiàn)貨市場(chǎng)是否產(chǎn)生了有效影響,從期指的價(jià)格發(fā)現(xiàn)功能及對(duì)股票的定價(jià)效率兩個(gè)角度考量。將樣本區(qū)間分為市場(chǎng)非穩(wěn)定期和市場(chǎng)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(nèi)的日度數(shù)據(jù)和五分鐘高頻數(shù)據(jù),運(yùn)用DCC-GARCH模型計(jì)算指數(shù)期現(xiàn)貨收益率間的動(dòng)態(tài)相關(guān)系數(shù),對(duì)二者間的互動(dòng)關(guān)系進(jìn)行檢驗(yàn);其次,運(yùn)用協(xié)整檢驗(yàn)對(duì)指數(shù)期現(xiàn)貨價(jià)格間的長(zhǎng)期均衡關(guān)系進(jìn)行驗(yàn)證,并根據(jù)檢驗(yàn)結(jié)果對(duì)期現(xiàn)貨價(jià)格間的長(zhǎng)期均衡及短期互動(dòng)關(guān)系建立VECM誤差修正模型,定性分析二者間的價(jià)格引導(dǎo)關(guān)系;在此基礎(chǔ)上,利用IS信息份額模型對(duì)指數(shù)期現(xiàn)貨的價(jià)格發(fā)現(xiàn)貢獻(xiàn)度進(jìn)行測(cè)算,定量分析二者的價(jià)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(chǎng)行情下股指期貨對(duì)現(xiàn)貨市場(chǎng)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(jià)調(diào)整滯后系數(shù)作為市場(chǎng)定價(jià)效率的衡量指標(biāo),建立DID雙重差分模型和面板數(shù)據(jù)模型對(duì)期指推出事件的影響進(jìn)行分析,判斷其對(duì)指數(shù)標(biāo)的成分股的定價(jià)效率是否具有提高作用。研究結(jié)果表明:無(wú)論從日間還是日內(nèi)數(shù)據(jù)來(lái)看,指數(shù)期現(xiàn)貨間都保持了較高的關(guān)聯(lián)性,期指上市的近半年內(nèi)適逢股災(zāi),避險(xiǎn)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(jià)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(dǎo)關(guān)系;股指期貨對(duì)現(xiàn)貨的影響在市場(chǎng)行情上漲時(shí)更強(qiáng),股票的定價(jià)效率有更明顯的提高,而在市場(chǎng)行情下跌時(shí)這一正向影響卻不顯著。由此本文認(rèn)為,上證50股指期貨的推出總體而言,對(duì)股票市場(chǎng)具有正面影響,但由于制度設(shè)計(jì)、交易監(jiān)管及投資者情緒等方面的因素,其價(jià)格發(fā)現(xiàn)及風(fēng)險(xiǎn)對(duì)沖的作用未能完全有效發(fā)揮,因此應(yīng)精細(xì)化期指交易及合約等制度的設(shè)計(jì)、引導(dǎo)投資者對(duì)期指的有效合理運(yùn)用,以此促進(jìn)其功能的進(jìn)一步顯現(xiàn),也防范其可能帶來(lái)的風(fēng)險(xiǎn)。
[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(xué)位授予單位】：南京師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.51;F724.5

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本文編號(hào)：2159532