本文關(guān)鍵詞： 滬深300期指 長期關(guān)系 因果關(guān)系 交易策略　出處：《哈爾濱工業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：金融業(yè)快速發(fā)展,風(fēng)險的不確定性增加,各種金融衍生工具創(chuàng)新層出不窮。期指被認為是最為成功的金融創(chuàng)新,是世界各國期貨市場交易最活躍的金融衍生工具之一。期指具有價格發(fā)現(xiàn)、套利、套期保值和穩(wěn)定證券市場等作用,深受投資者和決策者的青睞,而期指的高杠桿性又使市場存在潛在的風(fēng)險。為了完善中國資本市場體制,中國金融期貨交易所在2010年4月16日正式發(fā)布滬深300期指并上市交易,但是當(dāng)日滬深300股票指數(shù)大幅度下跌,這讓投資者懷疑期指是否具有穩(wěn)定市場和價格發(fā)現(xiàn)的功能,因此有必要探究滬深300期指和指數(shù)之間的相關(guān)性,并且在此基礎(chǔ)上提出合理的交易策略。本文選取從2010年4月16日到2011年4月15日的一分鐘滬深300期指和指數(shù)高頻數(shù)據(jù)作為樣本數(shù)據(jù),研究有以下主要結(jié)論:(1)為了方便計算和減少誤差,對滬深300期指和指數(shù)取自然對數(shù)log,并且通過單位根檢驗,發(fā)現(xiàn)滬深300期指和指數(shù)是一階單整的,說明log差分一階意味著收益率是平穩(wěn)的,并且可以采用時間序列方法對其進行預(yù)測。(2)利用門限自回歸模型分析得出滬深300期指和指數(shù)具有長期關(guān)系,并通過引入有效能參數(shù)改進門限自回歸模型,有效能參數(shù)在一定程度上顯示了平穩(wěn)趨勢,更能夠反映出兩者的長期關(guān)系,分析結(jié)果發(fā)現(xiàn)滬深300期指和指數(shù)同樣具有長期關(guān)系。在兩者具有長期關(guān)系的條件下,采用門限誤差修正模型對兩者的因果關(guān)系進行了探究,其中指示函數(shù)采用有效能參數(shù),發(fā)現(xiàn)滬深300期指對股票指數(shù)有較強的引導(dǎo)能力,領(lǐng)先股票指數(shù)15~26分鐘之間,而股票指數(shù)對期指卻有較弱的引導(dǎo)能力,領(lǐng)先期指8~47分鐘。(3)基于上述分析結(jié)論,本文對滬深300期指進行了預(yù)測,選取樣本為2010年4月16日到2011年4月15日作為樣本內(nèi)數(shù)據(jù),比較了自回歸模型、移動平均模型和差分自回歸移動平均模型的預(yù)測精度,對比發(fā)現(xiàn)移動平均模型要比自回歸模型和差分自回歸移動平均模型精確度要高,但是差別不是很大。文章還比較了樣本時間段為2011年4月16日到2013年4月9日的1分鐘滬深300期指的預(yù)測數(shù)據(jù)和滯后階數(shù)18期,20期,22期和24期后的股票指數(shù)的走勢,結(jié)果發(fā)現(xiàn)滯后22期股票指數(shù)和期指的預(yù)測數(shù)據(jù)具有相似的走勢,滯后24期的股票指數(shù)和期指的真實數(shù)據(jù)具有相似的走勢,因此投資者可以通過滬深300期指的走勢來判斷預(yù)測股票指數(shù)的走勢,提前做好交易決策,從而獲取收益。
[Abstract]:With the rapid development of the financial industry and the increase of the uncertainty of the risk, various kinds of financial derivatives innovation emerge in endlessly. The index index is considered to be the most successful financial innovation. Futures index is one of the most active financial derivatives in futures markets in the world. The futures index has the functions of price discovery arbitrage hedging and stabilizing the securities market and is favored by investors and policy makers. In order to perfect China's capital market system, China Financial Futures Exchange officially released the Shanghai and Shenzhen 300 futures index and listed on April 16th 2010. However, the Shanghai and Shenzhen 300 stock index fell sharply on the same day, which made investors doubt whether the futures index has the function of stabilizing the market and price discovery, so it is necessary to explore the correlation between the Shanghai and Shenzhen 300 index and the index. And on this basis put forward a reasonable trading strategy. This paper selects one minute Shanghai and Shenzhen 300 index and index high frequency data from April 16th 2010 to April 15th 2011 as sample data. The main conclusions of the study are as follows: (1) in order to facilitate the calculation and reduce the error, the natural logarithm is taken for the index and index of the Shanghai and Shenzhen 300 futures index, and the unit root test is adopted. It is found that the index and index of Shanghai and Shenzhen 300 are one-order and single-integral, indicating that the first order of log difference means that the yield is stable. And we can use time series method to predict it. 2) using threshold autoregressive model analysis, we can conclude that the index of Shanghai and Shenzhen 300 has a long-term relationship. And by introducing effective parameters to improve threshold autoregressive model, the effective parameters to a certain extent show a stable trend, and can reflect the long-term relationship between the two. The results show that the CSI 300 index and the index also have a long-term relationship. Under the condition of long-term relationship between the two indexes, the causal relationship between them is explored by using the threshold error correction model. The indicator function adopts effective parameters, and it is found that the CSI 300 index has a strong ability to guide the stock index, leading the stock index between 15 minutes and 26 minutes. On the other hand, the stock index has a weak ability to guide the futures index, leading the futures index 847 minutes. 3) based on the above conclusions, this paper forecasts the Shanghai and Shenzhen 300 futures index. From April 16th 2010 to April 15th 2011, the prediction accuracy of autoregressive model, moving average model and differential autoregressive moving average model were compared. It is found that the moving average model is more accurate than the autoregressive model and the differential autoregressive moving average model. But the difference is not very big. The paper also compares the prediction data of 1 minute CSI 300 index from April 16th 2011 to April 9th 2013 and the lag order of 18 periods and 20 periods. The trend of the stock index after 22 period and 24 period. The result shows that the forecast data of the stock index and futures index that lag behind 22 periods have similar trend. The real data of stock index and futures index with 24 periods lag have similar trend, so investors can judge and forecast the trend of stock index through the trend of Shanghai and Shenzhen 300 futures index, and make a good trading decision in advance. In order to gain income.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F724.5;O212.1

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本文編號：1456998