發(fā)布時間：2018-01-03 16:31

  本文關鍵詞：中國股指期貨市場功能實證研究與優(yōu)化對策　出處：《華東師范大學》2013年博士論文　論文類型：學位論文

  更多相關文章： 股指期貨 價格發(fā)現(xiàn) 波動性 到期日效應 套期保值

【摘要】：股指期貨是以股票價格指數(shù)為標的一種金融衍生品,自20世紀80年代第一張股指期貨合約在美國誕生以來,股指期貨在世界范圍得到了快速發(fā)展,目前已成為世界上交易量最大的期貨品種。2010年4月16日,我國正式推出了標的為滬深300指數(shù)的股指期貨。股指期貨的推出不僅可以為投資者增加新的避險工具,提高資金使用效率,而且有助于進一步完善我國的資本市場結(jié)構(gòu),豐富金融衍生產(chǎn)品種類,對我國金融市場的發(fā)展具有重要的意義。 然而,股指期貨作為一個金融衍生品市場,在我國的發(fā)展尚處于起步階段,將經(jīng)歷一個較長的發(fā)展、完善并逐步成熟的過程。在這個過程中,加強對股指期貨市場的跟蹤分析,及時發(fā)現(xiàn)市場運行當中存在的問題,不斷修正和完善相關制度,就顯得尤為必要。 在此背景下,本文以股指期貨三大市場功能的實證研究為主線——價格發(fā)現(xiàn)功能、穩(wěn)定市場功能、套期保值功能,深入考察我國股指期貨市場的運行狀況,并結(jié)合研究結(jié)論所反映出的問題,就完善我國股指期貨市場的各項制度提出相關建議。 本論文分為七章。第一章導論部分主要包括研究背景和研究意義、相關文獻綜述、論文的研究內(nèi)容和方法、論文的結(jié)構(gòu)安排、以及論文可能的創(chuàng)新點；第二章是股指期貨概述,主要介紹了股指期貨的相關概念、滬深300指數(shù)的編制原則和方法、滬深300股指期貨合約的特點等；第三章是股指期貨價格發(fā)現(xiàn)功能研究,主要對我國股指期貨價格發(fā)現(xiàn)功能的靜態(tài)和動態(tài)表現(xiàn)展開實證研究；第四章是股指期貨對現(xiàn)貨市場波動性影響研究,主要包括股指期貨推出對于現(xiàn)貨市場長期波動性影響研究和短期到期日效應研究；第五章是股指期貨套期保值策略研究,主要包括套期保值理論和模型的介紹及不同套期保值模型的績效評價與比較；第六章是股指期貨套期保值效應研究,主要是對我國股指期貨的套期保值效應進行實證分析；第七章是研究總結(jié)、建議和展望,主要是對論文研究結(jié)論進行總結(jié),并就結(jié)論所反映的問題提出相關建議。 本文的主要研究成果簡述如下： 第一,考察了我國滬深300股指期貨市場價格發(fā)現(xiàn)功能的靜態(tài)和動態(tài)表現(xiàn)。 首先,采用協(xié)整檢驗、Granger因果檢驗、VEC模型、脈沖響應函數(shù)分析、方差分解及多元回歸模型等傳統(tǒng)計量方法對價格發(fā)現(xiàn)功能靜態(tài)表現(xiàn)進行了實證研究,結(jié)果一致表明,股指期貨與現(xiàn)貨市場價格相互引導,期貨價格領先現(xiàn)貨價格5分鐘,而現(xiàn)貨價格領先期貨價格也為5分鐘。然后基于5分鐘高頻數(shù)據(jù),利用遞歸協(xié)整和公共因子模型深入研究了滬深300股指期貨價格發(fā)現(xiàn)功能的動態(tài)變化,結(jié)果表明,大約2010年6月3日之前,股指期貨與現(xiàn)貨的聯(lián)系并不緊密,兩者并不具有穩(wěn)定的協(xié)整關系,這表明在股指期貨運行之初并不具有價格發(fā)現(xiàn)功能。隨著期貨市場的不斷完善,股指期貨與現(xiàn)貨價格開始具有穩(wěn)定的協(xié)整關系,即開始具有價格發(fā)現(xiàn)功能,且價格發(fā)現(xiàn)功能不斷增強。但從截止到2012年9月17日的高頻數(shù)據(jù)來看,滬深300股指期貨在價格發(fā)現(xiàn)中的貢獻度一直低于現(xiàn)貨市場,這表明在價格發(fā)現(xiàn)過程中起主導作用的并非期貨市場,而是現(xiàn)貨市場。最后,本文從較高的準入門檻、不合理的投資者結(jié)構(gòu)、不完善的現(xiàn)貨市場交易制度等幾方面進行了解釋。 第二,考察了我國滬深300股指期貨對于現(xiàn)貨市場波動性的影響。包括股指期貨推出對于現(xiàn)貨市場長期波動性影響和短期到期日效應影響。 首先,分別采用帶有虛擬變量的GARCH模型和Markov-switching-GARCH模型研究了滬深300股指期貨推出對于現(xiàn)貨市場波動性的影響,結(jié)果一致表明股指期貨的推出后,現(xiàn)貨市場的波動性水平有所降低,滬深300股指期貨具有穩(wěn)定市場的功能。然后,本文從市場信息傳播效率的角度對此進行了解釋,研究發(fā)現(xiàn),股指期貨推出后,現(xiàn)貨市場信息傳播效率沒有提高,反而略微有降低,這可能與股指期貨價格發(fā)現(xiàn)功能表現(xiàn)并不理想有關。最后,對股指期貨的到期日效應進行了實證研究,結(jié)果表明,滬深300股指期貨到期日時,現(xiàn)貨市場并沒有像歐美其他國家一樣出現(xiàn)交易量異常放大的現(xiàn)象,且現(xiàn)貨市場的波動率也沒有出現(xiàn)異常變大的現(xiàn)象,不具有到期日效應。也就是說合約到期日時,股指期貨并沒有加劇現(xiàn)貨市場的波動。這可能與我國設計合理的結(jié)算價確定方式、較小期貨交易規(guī)模及不完善的投資者結(jié)構(gòu)有關。 第三,考察了套期保值理論和模型的發(fā)展,并對相關套期保值模型的績效進行了評價。 在“風險最小化原則”和“效用最大化原則”條件下分別比較了OLS、VAR、 VECM靜態(tài)套期保值模型及GARCH類和條件OLS動態(tài)套期保值模型套期保值績效,結(jié)果表明,動態(tài)套期保值模型的套期保值績效一般都優(yōu)于靜態(tài)套期保值模型,但具有更高的操作成本。因此,在套期保值模型的實際選擇中,需綜合評價套期保值模型的績效與成本。 第四,考察了我國滬深300股指期貨的套期保值績效。 運用EGARCH模型分別考察了滬深300指數(shù)期貨與股票現(xiàn)貨市場上10大基金重倉股和10只隨機選取的深圳證券交易所中小企業(yè)板上市的股票之間進行套期保值的效果,發(fā)現(xiàn)前者的套期保值效果并不理想,后者的效果更差。造成這種情況的原因是我國股指期貨品種過于單一,為給投資者提供更多的、實用的套期保值工具,本文建議應該借鑒海外市場的經(jīng)驗,推出中小市值股票指數(shù)期貨和其它典型行業(yè)股票指數(shù)期貨等期貨品種。 第五,提出完善期貨市場的相關建議。 最后根據(jù)以上研究結(jié)論所反映的問題,論文從交易門檻、投資者結(jié)構(gòu)、現(xiàn)貨市場交易規(guī)則及股指期貨交易品種這幾個方面提出了相關建議。
[Abstract]:Stock index futures is the stock price index as a subject of financial derivatives, since 1980s the first stock index futures contracts in the United States since the birth of stock index futures has been developing rapidly in the world, has become the world's largest trading volume of the futures of.2010 in April 16th, China officially launched the Shanghai and Shenzhen 300 index the stock index futures. Stock index futures can not only increase the new hedging tool for investors, improve capital efficiency, but also help to further improve the structure of China's capital market, abundant financial derivative products, has important significance to the development of China's financial market.
However, the stock index futures as a financial derivatives market development in China is still in the initial stage, will experience a long development, perfect and gradually mature process. In this process, strengthen the analysis of the stock index futures market tracking, discover the existing problems in the operation of the market, constantly revise and improve relevant the system is particularly necessary.
Under this background, this paper takes an empirical study on the function of stock index futures market three as the main line, the price discovery function, the function to stabilize the market, hedging function, in-depth study of operation status of China's stock index futures market, combined with the conclusion of the study reflects the problems, on how to perfect the system of China's stock index futures market put forward advice.
This paper is divided into seven chapters. The first chapter includes the research background and research significance, literature review, research contents and methods of this paper, the structure of this paper, and the possible innovation of this paper; the second chapter is an overview of the stock index futures, mainly introduced the concept of stock index futures, the principle and method for the preparation of Shanghai and Shenzhen 300 index, CSI 300 stock index futures contracts etc.; the third chapter is the function of price discovery of stock index futures, mainly to our country stock index futures price discovery function of the static and dynamic performance of empirical research; the fourth chapter is to study the influence of stock index futures on the volatility of the stock market, including the introduction of stock index futures for the long-term fluctuations in the spot market the influence of day effect research and short maturity; the fifth chapter is the research on stock index futures hedging hedging strategies, including hedging theory and model introduction The performance evaluation and comparison of different hedging model; the sixth chapter is the research on stock index futures hedging effect is mainly an empirical analysis on the effect of hedging of stock index futures in China; the seventh chapter is the research summary, suggestions and prospects, mainly on the research conclusion of this thesis is to summarize and put forward relevant suggestions and conclusions reflected the problem.
The main research results of this paper are as follows:
First, it examines the static and dynamic performance of the price discovery function of the Shanghai and Shenzhen 300 stock index futures market.
First of all, using cointegration test, Granger causality test, VEC model, impulse response function analysis, the price discovery function of static performance makes an empirical research on the variance decomposition and multiple regression model of the traditional measurement methods. The results show that the stock index futures and spot market prices to guide each other, leading the spot price futures price and spot for 5 minutes. The price of the leading futures prices for 5 minutes. Then based on the high frequency data of 5 minutes, the use of recursive cointegration and common factor model was applied to study the dynamic changes of the Shanghai and Shenzhen 300 stock index futures price discovery function, the results show that, until about June 3, 2010, stock index futures and spot are not closely linked, there is no cointegration relationship between. This shows that the stock index futures at the beginning of the operation does not have the function of price discovery. With the futures market continues to improve, the stock index futures and spot prices began with a steady The cointegration relationship, began to have the function of price discovery and price discovery function is growing. But by the end of the high frequency data in September 17, 2012, the Shanghai and Shenzhen 300 stock index futures in price discovery contribution has been lower than the spot market, which shows that is not the futures market plays a leading role in the process of the price, but the spot market finally, this article from the high barriers to entry, the unreasonable structure of investors, imperfect cash market trading system and other aspects are explained.
Second, we examine the impact of Shanghai and Shenzhen 300 stock index futures on the volatility of spot market, including the impact of stock index futures on the long-term volatility and short term maturity effect of spot market.
First, the GARCH model with dummy variable and Markov-switching-GARCH model of the CSI 300 stock index futures on the volatility of the spot market respectively. The results show that the introduction of stock index futures, spot market volatility level has been reduced, the Shanghai and Shenzhen 300 stock index futures have the function of stabilizing the market. Then, based on the market information transmission efficiency the explanations, the study found that after the introduction of stock index futures, spot market information transmission efficiency is not improved, but slightly decreased, which may be related to the stock index futures price discovery performance is not satisfactory. Finally, the effect of stock index futures expiration date for the empirical research, the results show that the Shanghai and Shenzhen 300 stock index futures expiration on the spot market, trading volume did not appear abnormal amplification phenomenon like Europe and other countries, and the stock market volatility No abnormal change phenomenon, does not have the maturity effect. That is to say, when the contract expires, the stock index futures did not exacerbate the volatility of the spot market. This may be a reasonable settlement price and the design of our country to determine the way, small scale and imperfect futures investors structure.
Third, the development of hedging theory and model is investigated, and the performance of the related hedging model is evaluated.
In the "risk minimization principle" and "utility maximization principle" conditions were compared respectively OLS, VAR, VECM and GARCH type static hedging model and OLS dynamic hedging model of hedging performance, the results show that the hedging performance of dynamic hedging model generally outperforms the static hedging model, but better the cost of operation. Therefore, in the actual selection of hedging model, performance and cost evaluation of the hedging model.
Fourth, it examines the hedging performance of China's Shanghai and Shenzhen 300 stock index futures.
Using EGARCH model to analyze the hedging stock between Shanghai and Shenzhen 300 index futures and stock market 10 fund awkwardness and 10 randomly selected from the Shenzhen stock exchange SME board listed the results, found the hedging effect of the former is not ideal, the latter effect is worse. The reason for this situation is China stock index futures is too single, as to provide investors with more hedging tools, practical, the article suggests that we should learn the experiences of overseas markets, small and medium-sized market launch of stock index futures and other typical industry stock index futures futures.
Fifth, put forward some suggestions to improve the futures market.
Finally, according to the problems reflected in the above conclusions, the paper puts forward relevant suggestions from the aspects of trading threshold, investor structure, spot market trading rules and stock index futures trading.

【學位授予單位】：華東師范大學
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F724.5

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