本文關鍵詞：商品期貨與股指期貨價格發(fā)現(xiàn)功能的統(tǒng)計研究　出處：《山東大學》2014年碩士論文　論文類型：學位論文

  更多相關文章： 商品期貨 股指期貨 價格發(fā)現(xiàn)功能 協(xié)整性分析 Granger因果關系

【摘要】：期貨交易作為金融市場的重要交易模式,對經濟發(fā)展、市場穩(wěn)定的貢獻不言而喻。首先興起的是以各類農牧產品,以及后來的金屬、橡膠、原油等工業(yè)用品為標的物的商品期貨交易。它們主要起到了穩(wěn)定價格、規(guī)避風險、提升市場流動性等積極作用。 進入20世紀70年代,資本市場的蓬勃發(fā)展使得期貨交易的標的物開始向資本市場邁進,這帶來了股指期貨的誕生。股指期貨是以股票指數(shù)為標的物的期貨產品,它具有期貨所具有的常規(guī)作用；同時與商品期貨不同的是,它也具有自己的特點,包括采用現(xiàn)金差價結算的交割方式、受資本市場信息影響更大、風險來源更加多樣等。 無論是商品期貨還是股指期貨,它們的交易價格與各自標的物的現(xiàn)貨交易價格之間的關系一直頗為引人關注。從期貨定價的無套利理論上來說,期貨價格會收斂于現(xiàn)貨價格。但在現(xiàn)實交易中,人們往往更關注的是期貨價格對于現(xiàn)貨價格是否具有影響意義。尤其是現(xiàn)在業(yè)界普遍認為：期貨價格對相應現(xiàn)貨價格具有價格發(fā)現(xiàn)功能,即期貨價格能夠對現(xiàn)貨價格產生因果效應。針對這一觀點,我希望在本文中能通過分別對商品期貨和股指期貨這兩大類期貨的交易價格進行統(tǒng)計實證分析來檢驗這一觀點的準確度和合理性。 本文共分為五個部分,核心思想是理論與實證結合,用理論指導實證分析,用實證分析支持理論。 第一部分,首先介紹了商品期貨與股指期貨的起源、發(fā)展、交易特點、區(qū)別等相關知識背景,并對指出了論文的研究方向——兩種期貨價格與相應現(xiàn)貨價格之間關系的比較及分析。第二部分,簡要介紹了過往相關領域一些文獻的研究成果,從側面對本文的研究意義進行了說明,并且也進一步點出了本文的研究創(chuàng)新點所在——同時關注兩種重要期貨與對應現(xiàn)貨價格之間的關系,并結合商品市場與資本市場的不同點來總結原因。第三部分,簡要介紹論文所需要的相關方法理論,包括ADF單位根檢驗、協(xié)整性分析、誤差修正模型以及Granger因果關系檢驗等。第四部分,進行實證分析。通過收集、整理相應數(shù)據(jù),包括鄭州期貨交易所棉花期貨價格數(shù)據(jù)、中國棉花價格指數(shù)、滬深300股指期貨價格、滬深300價格指數(shù)等,運用上述方法進行分析后,得出兩種期貨價格與各自的現(xiàn)貨價格均具有協(xié)整性的結論,并給出了誤差修正模型。進一步分析發(fā)現(xiàn)：鄭棉期貨對棉花現(xiàn)貨存在因果關系,而股指期貨對股指現(xiàn)貨不具有因果關系。第五部分,根據(jù)上文所得出的結論,并結合我國商品市場與資本市場的特點,進行結論分析和論文總結,并對資本市場的相關參與者進行更為理性的投資提供了一定的指導意見。
[Abstract]:Futures trading as an important trading model of financial markets, the contribution to economic development, market stability is self-evident. The first rise is a variety of agricultural and animal husbandry products, as well as later metal, rubber. Commodity futures trading in which crude oil and other industrial supplies are the subject matter. They mainly play a positive role in stabilizing prices, avoiding risks and enhancing market liquidity. In 1970s, with the vigorous development of capital market, the subject matter of futures trading began to move towards the capital market. This brings the birth of stock index futures. Stock index futures are futures products with stock index as the subject matter, which has the regular function of futures. At the same time, different from commodity futures, it also has its own characteristics, including the cash difference settlement method, more affected by the capital market information, more diverse sources of risk, and so on. Whether commodity futures or stock index futures, the relationship between their trading prices and the spot trading prices of their respective subject matter has attracted considerable attention. Futures prices converge to spot prices. But in real trading. People often pay more attention to whether futures price has influence on spot price, especially now the industry generally thinks that futures price has price discovery function to the corresponding spot price. That is, futures prices can have a causal effect on spot prices. In this paper, I hope to test the accuracy and reasonableness of this view by the statistical and empirical analysis of the trading prices of commodity futures and stock index futures. This paper is divided into five parts, the core idea is the combination of theory and practice, using theory to guide empirical analysis, empirical analysis to support the theory. The first part introduces the origin of commodity futures and stock index futures, development, trading characteristics, differences and other related knowledge background. And pointed out the research direction of the thesis-the relationship between the two futures prices and the corresponding spot prices. From the side of the significance of this study is explained, and further points out the innovative point of this study-at the same time concerned about the relationship between the two important futures and the corresponding spot price. Combined with the differences between the commodity market and the capital market to summarize the reasons. The third part briefly introduces the relevant method theory of the paper including ADF unit root test cointegration analysis. Error correction model and Granger causality test. Part 4th, empirical analysis. Through collection, collate the corresponding data, including Zhengzhou Futures Exchange cotton futures price data. China cotton price index, Shanghai and Shenzhen 300 stock index futures price, Shanghai and Shenzhen 300 price index, using the above methods to analyze the two futures prices and their spot prices are cointegrated conclusion. And gives the error correction model. Further analysis found: Zheng cotton futures have causality to cotton spot, but stock index futures have no causality to stock index spot. Part 5th, according to the conclusion reached above. Combined with the characteristics of China's commodity market and capital market, this paper makes a conclusion analysis and a summary, and provides some guidance for the relevant participants in the capital market to invest more rationally.
【學位授予單位】：山東大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F724.5;F724.5

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本文編號：1375144