本文關(guān)鍵詞：基于高頻數(shù)據(jù)的股指期貨微觀結(jié)構(gòu)與投資策略研究　出處：《哈爾濱工業(yè)大學(xué)》2014年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股指期貨 高頻數(shù)據(jù) 市場微觀結(jié)構(gòu) 投資策略 技術(shù)分析 指數(shù)套利

【摘要】：2010年4月16日,中國正式推出滬深300股指期貨這一金融衍生品,它運(yùn)行的經(jīng)驗(yàn)將為未來推出個股期貨、期權(quán)等金融衍生品提供借鑒,所以迫切需要系統(tǒng)研究滬深300股指期貨市場的運(yùn)行情況。市場微觀結(jié)構(gòu)主要研究在既定市場金融資產(chǎn)的價(jià)格發(fā)現(xiàn)過程及結(jié)果,進(jìn)而揭示交易機(jī)制、市場組織結(jié)構(gòu)、投資者行為對資產(chǎn)價(jià)格發(fā)現(xiàn)的影響。研究股指期貨的微觀結(jié)構(gòu)可以幫助分析市場運(yùn)行情況,進(jìn)而完善交易機(jī)制,而高頻數(shù)據(jù)為研究市場微觀結(jié)構(gòu)提供了便利。股指期貨T+0的交易方式為高頻交易的大規(guī)模開展奠定了基礎(chǔ),高頻交易能夠?qū)κ袌龅淖兓杆僮龀龇磻?yīng),也有學(xué)者指出高頻交易會增加市場系統(tǒng)性風(fēng)險(xiǎn)。高頻交易離不開對高頻數(shù)據(jù)規(guī)律的研究,利用高頻數(shù)據(jù)研究滬深300股指期貨微觀結(jié)構(gòu)規(guī)律,能夠?yàn)橹贫ㄒ?guī)避高頻交易風(fēng)險(xiǎn)的措施提供參考。投資策略是投資者根據(jù)對市場的理解構(gòu)建的指導(dǎo)投資的規(guī)則集合,它不僅能指導(dǎo)投資,更能深化對市場微觀結(jié)構(gòu)的認(rèn)識。國外對股指期貨微觀結(jié)構(gòu)的研究比較成體系,國內(nèi)的研究剛起步,還比較零散。本文遵循股指期貨微觀結(jié)構(gòu)特征--微觀結(jié)構(gòu)特征指導(dǎo)投資--投資策略反饋微觀結(jié)構(gòu)的思路,采用理論分析和計(jì)量經(jīng)濟(jì)學(xué)實(shí)證研究相結(jié)合的方法,系統(tǒng)研究了滬深300股指期貨的微觀結(jié)構(gòu)和投資策略。論文的主要研究內(nèi)容和研究成果如下:為了檢驗(yàn)滬深300股指期貨是否存在日內(nèi)模式,本文運(yùn)用Wilcoxon秩和檢驗(yàn)方法研究了滬深300股指期貨的收益率、波動率、交易量和持倉量等微觀結(jié)構(gòu)變量的日內(nèi)特征。發(fā)現(xiàn)受交易機(jī)制和投資者行為影響,滬深300股指期貨的收益率、波動率、交易量和持倉量呈現(xiàn)明顯的日內(nèi)模式,說明日內(nèi)模式并不是做市商市場特有的,訂單驅(qū)動市場也有日內(nèi)模式,豐富了市場微觀結(jié)構(gòu)理論,也為投資決策和市場操縱行為的監(jiān)管提供了參考。為了研究滬深300股指期貨的價(jià)格形成機(jī)制,本文運(yùn)用ARMA-EGARCH、VAR、Granger因果檢驗(yàn)等方法研究了滬深300股指期貨的收益率、交易量和持倉量的動態(tài)關(guān)系。發(fā)現(xiàn)滬深300股指期貨的交易量對價(jià)格波動有正的影響,持倉量對價(jià)格波動有負(fù)的影響,價(jià)格波動同時影響交易量和持倉量,滬深300股指期貨市場是有效的。該研究結(jié)果說明滬深300股指期貨的量價(jià)是雙向依賴的。為了研究滬深300股指期貨和股票指數(shù)之間的價(jià)格關(guān)系,本文運(yùn)用VECM、BEKK-GARCH、TGARCH等方法研究了股指期貨和現(xiàn)貨的價(jià)格發(fā)現(xiàn)關(guān)系、波動率溢出關(guān)系,以及股指期貨對現(xiàn)貨信息效率的影響。發(fā)現(xiàn)滬深300股指期貨較好地發(fā)揮了價(jià)格發(fā)現(xiàn)功能,滬深300指數(shù)和股指期貨的價(jià)格存在雙向Granger因果關(guān)系;而且,股票指數(shù)和股指期貨存在雙向波動率溢出效應(yīng),股票指數(shù)對股指期貨的波動率溢出效應(yīng)更明顯,股指期貨對股票指數(shù)存在非對稱的波動率溢出效應(yīng);股指期貨的推出提高了股票市場的信息效率。該研究結(jié)果說明滬深300股指期貨的價(jià)格受現(xiàn)貨指數(shù)影響,交易限制將影響股指期貨市場的信息效率,從市場微觀結(jié)構(gòu)角度為跨市場操縱找到了現(xiàn)實(shí)證據(jù),為監(jiān)管層放松管制,活躍股指期貨市場提供了參考。為了檢驗(yàn)微觀結(jié)構(gòu)特征在指導(dǎo)投資的價(jià)值,加深對滬深300股指期貨微觀結(jié)構(gòu)的理解,本文運(yùn)用ARMA、統(tǒng)計(jì)模擬、非參數(shù)檢驗(yàn)等方法,研究了滬深300股指期貨收益率日內(nèi)模式、收益率自相關(guān)、技術(shù)分析和指數(shù)套利在指導(dǎo)投資的有效性。發(fā)現(xiàn)滬深300股指期貨的收益率在上午收盤階段和下午開盤階段具有穩(wěn)定的日內(nèi)模式;收益率自相關(guān)規(guī)律在考慮交易成本的情況下并不能獲得穩(wěn)定收益;由于滬深300股指期貨市場是有效的,技術(shù)分析策略并不能獲得穩(wěn)定的高收益,技術(shù)分析的高收益源自數(shù)據(jù)探測;受融資風(fēng)險(xiǎn)和價(jià)差收斂風(fēng)險(xiǎn)影響,滬深300股指期貨的負(fù)向套利機(jī)會遠(yuǎn)多于正向套利。該研究結(jié)果進(jìn)一步驗(yàn)證了訂單驅(qū)動市場存在日內(nèi)模式,也進(jìn)一步說明滬深300股指期貨市場是有效的,同時解答了學(xué)術(shù)界和實(shí)務(wù)界對技術(shù)分析是否可行的爭論,豐富了有限套利理論,深化了對滬深300股指期貨市場微觀結(jié)構(gòu)的認(rèn)識。本文的研究豐富了市場微觀結(jié)構(gòu)理論和有限套利理論,對于學(xué)者和投資者窺探交易機(jī)制對投資者行為以及市場微觀結(jié)構(gòu)的影響有重要啟示作用,對于指導(dǎo)投資者決策也有重要價(jià)值,對于監(jiān)管當(dāng)局維護(hù)股指期貨市場的穩(wěn)定和繁榮、推出更多的金融衍生品也有借鑒意義。隨著中國股指期貨市場的不斷成熟,未來可以利用超高頻數(shù)據(jù)和交易賬戶數(shù)據(jù)分析股指期貨微觀結(jié)構(gòu)規(guī)律的深層次原因。
[Abstract]:In April 16, 2010, Chinese officially launched the CSI 300 stock index futures financial derivatives, its operation experience will launch stock futures to provide reference for the future, options and other financial derivatives, so there is an urgent need to study the Shanghai and Shenzhen 300 stock index futures market operation. The market micro structure research discovery process and results in a given market prices of financial assets then, reveal the trading mechanism, market structure, influence the behavior of investors found on asset prices. Microstructure of the stock index futures can help to analyze the market situation, and further improve the trading mechanism, while the high frequency data provides convenience for the research on market microstructure. The stock index futures trading T+0 laid the foundation for the large-scale development of high-frequency trading high frequency, transaction can respond quickly to changes in the market, some scholars have pointed out that the high frequency trading market will increase Systemic risk. High frequency trading cannot do without research on high frequency data rules, the use of high-frequency data to study the microstructure of Shanghai and Shenzhen 300 stock index futures, which can provide a reference for the formulation to avoid high-frequency trading risks. Investors investment strategy is according to the understanding of the market to build a set of rules to guide investment, it can not only guide the investment, more to deepen the understanding of the market microstructure. Study on Microstructure of foreign stock index futures system, domestic research has just started, is still relatively fragmented. This paper follows the microstructure characteristics of stock index futures, microstructure characteristics of guide investment strategy of feedback micro structure of ideas, methods of theoretical analysis and empirical research combining econometrics the micro structure and investment strategy of Shanghai and Shenzhen 300 stock index futures. The main research contents and results are as follows: The inspection of the existence of the CSI 300 stock index futures intraday pattern, rate of return, this paper uses the Wilcoxon rank sum test method to study the Shanghai and Shenzhen 300 stock index futures volatility, trading volume and other characteristics of the positions of the microstructural variables within day. Found that the trading mechanism and investor behavior influence, Shanghai and Shenzhen 300 stock index futures return volatility. The rate, volume and open interest shows the intra day pattern, that pattern is not unique within the market maker market, order driven market also has day mode, enrich the theory of market microstructure, and provide a reference for the manipulation of investment decision and market supervision. In order to study the Shanghai and Shenzhen 300 stock index futures the price formation mechanism, this paper uses ARMA-EGARCH, VAR, yield of Granger causality test and other methods to study the Shanghai and Shenzhen 300 stock index futures, the dynamic relationship between trading volume and open interest. It is found that the Shanghai and Shenzhen 300 stock index futures The trading volume has a positive impact on price fluctuations, positions have a negative impact on price fluctuations, while the impact of trading volume and open interest price volatility, the Shanghai and Shenzhen 300 stock index futures market is effective. The research results show that Shanghai and Shenzhen 300 stock index futures price is two-way dependence. In order to research the relationship between the price of the Shanghai and Shenzhen 300 the stock index futures and stock index, this paper uses VECM, BEKK-GARCH, TGARCH and other methods to study the relationship of stock index futures and spot price volatility spillover effect between stock index futures and stock index on the spot information efficiency. It is found that the Shanghai and Shenzhen 300 stock index futures played a better price discovery function, there exists bidirectional Granger causality between the Shanghai and Shenzhen 300 index and the price of stock index futures; moreover, stock index and stock index futures have spillover volatility of stock index futures, stock index volatility spillover effect is more obvious, the stock index futures Goods spillover effects are asymmetric volatility of stock index; stock index futures improve the information efficiency of the stock market. The research results show that Shanghai and Shenzhen 300 stock index futures price index of the stock, trading restrictions will affect the information efficiency of the stock index futures market, from the point of view of market microstructure for cross market manipulation to find evidence for regulators, deregulation, provides a reference for active stock index futures market. In order to test the microstructure characteristics in guiding the investment value, deepen our understanding of the CSI 300 stock index futures to the understanding of the microstructure, with ARMA, the statistical simulation, non parametric test, study the Shanghai and Shenzhen 300 stock index futures return rate intraday pattern, income the rate of autocorrelation, technical analysis and index arbitrage is effective in guiding investment. It is found that the Shanghai and Shenzhen 300 stock index futures returns in the morning and afternoon opening closing phase stage A stable day mode; yield autocorrelation law in consideration not the condition of transaction cost and stable income; since the CSI 300 stock index futures market is effective, technical analysis strategy and can not get a stable high income, high Yiyuan from data detection technology analysis; financing risk and the risk of price convergence effect of Shanghai and Shenzhen 300 stock index futures arbitrage opportunities than negative arbitrage. The results of this study further verified the existence of order driven market intraday pattern, it further illustrates that the Shanghai and Shenzhen 300 stock index futures market is effective, at the same time to answer the academic and practical analysis of the feasibility of debate on technology, enrich the Limited arbitrage theory to deepen the understanding of the Shanghai and Shenzhen 300 stock index futures market microstructure. This study enriches the theory of market microstructure and limited arbitrage theory, for scholars and investors spy The trading mechanism has important implications for the behavior of investors and the impact of market microstructure, also has important value in guiding the investor decision-making, for the regulatory authorities to maintain the stability and prosperity of the stock index futures market, the introduction of more financial derivatives is of great significance. With the China stock index futures market continues to mature, the future can take advantage of the deep-seated reasons of ultra high frequency the data and data analysis of stock index futures trading account micro structure of law.

【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2014
【分類號】：F724.5
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本文編號：1408722