本文關(guān)鍵詞：引入成熟投機(jī)者的股指期貨套保壓力效應(yīng)　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 股指期貨 套保壓力 成熟的投機(jī)者 投機(jī)者參與意愿

【摘要】：本文在經(jīng)典的套保壓力理論基礎(chǔ)上,對(duì)其進(jìn)行了拓展,并在SP500股指期貨市場(chǎng)進(jìn)行了檢驗(yàn)。不同于以往的套保壓力理論對(duì)投機(jī)者角色的簡(jiǎn)單化處理,本文在宋軍(2009)的二期不確定決策模型的基礎(chǔ)上,對(duì)經(jīng)典的套保壓力理論中的投機(jī)者的“幼稚”的角色進(jìn)行了重新解讀,提出根據(jù)前人的研究成果,投機(jī)者很可能有較優(yōu)的信息和較強(qiáng)的研究判斷能力,因此假設(shè)他們是“成熟”的是更可取的,并在這一假設(shè)下引入了“投機(jī)者參與意愿”這一變量,證明了該變量對(duì)套期保值者的成本(風(fēng)險(xiǎn)溢價(jià))會(huì)產(chǎn)生影響,進(jìn)而影響套期保值對(duì)期貨價(jià)格的壓力。在實(shí)證方面,文章受到前人對(duì)于投機(jī)者倉(cāng)位數(shù)據(jù)的特點(diǎn)以及信息含量的研究的啟發(fā),解釋了如何用投機(jī)者的倉(cāng)位數(shù)據(jù)構(gòu)造“投機(jī)者參與意愿”的代理變量。 實(shí)證結(jié)果顯示套期保值壓力(或稱(chēng)之為套期保值需求)對(duì)期貨價(jià)格有顯著影響,支持經(jīng)典的套保壓力理論。同時(shí),“投機(jī)者的參與意愿”對(duì)期貨價(jià)格也有顯著影響,支持本文提出的投機(jī)者是“成熟"而非“幼稚"的,他們的參與意愿會(huì)影響風(fēng)險(xiǎn)溢價(jià)的假設(shè)。因此本文的主要貢獻(xiàn)是對(duì)投機(jī)者在套保壓力理論框架中的角色進(jìn)行了新的解讀,提出投機(jī)者是“成熟”而非“幼稚”的的理論并進(jìn)行了驗(yàn)證,把前人關(guān)于“投機(jī)者有較優(yōu)的信息”的發(fā)現(xiàn)與經(jīng)典的套保壓力理論結(jié)合在了一起,對(duì)套保壓力理論進(jìn)行了拓展。此外,文中最后一章還指出了對(duì)國(guó)外股指期貨市場(chǎng)的研究成果對(duì)我國(guó)滬深300股指期貨市場(chǎng)的一些啟示。
[Abstract]:Based on the classical theory of hedging pressure, this paper extends it and tests it in the SP500 stock index futures market. It is different from the previous theory of hedging pressure in dealing with the role of speculators. On the basis of the second stage uncertain decision model of Song Junyong (2009), this paper reinterprets the "childish" role of speculators in the classical theory of hedging pressure, and puts forward the basis of the previous research results. Speculators are likely to have better information and better research judgment, so it is preferable to assume that they are "mature", under which the variable "willingness of speculators to participate" has been introduced. It is proved that this variable will have an impact on the hedger's cost (risk premium), and then affect the pressure of hedging on the futures price. Inspired by previous studies on the characteristics of speculators' position data and information content, this paper explains how to construct proxy variables of "speculators' willingness to participate" by using the data of speculators' positions. Empirical results show that hedging pressure (or called hedging demand) has a significant impact on futures prices, supporting the classic theory of hedging pressure. "the willingness of speculators to participate" also has a significant impact on futures prices, supporting the speculators proposed in this paper are "mature" rather than "naive". Their willingness to participate will affect the hypothesis of risk premium. Therefore, the main contribution of this paper is to interpret the role of speculators in the theoretical framework of hedging pressure. The theory that speculators are "mature" rather than "childish" is put forward and verified, which combines the previous findings of "speculators have better information" with the classical theory of hedging pressure. In addition, the last chapter of this paper also points out that the research results of foreign stock index futures market have some implications for China's Shanghai and Shenzhen 300 stock index futures market.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F830.9;F224

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 朱文忠;;ISO26000與中國(guó)CSR制度化建設(shè)研究——基于制度壓力理論視角[J];現(xiàn)代經(jīng)濟(jì)探討;2012年08期

2 ;[J];;年期

3 ;[J];;年期

4 ;[J];;年期

5 ;[J];;年期

6 ;[J];;年期

7 ;[J];;年期

8 ;[J];;年期

9 ;[J];;年期

10 ;[J];;年期

相關(guān)會(huì)議論文 前1條

1 魏群;;巖土科學(xué)研究中的數(shù)學(xué)化及三大數(shù)值方法[A];巖石力學(xué)與工程應(yīng)用——河北省巖石力學(xué)與工程學(xué)會(huì)學(xué)術(shù)研討會(huì)論文集[C];1990年

相關(guān)碩士學(xué)位論文 前1條

1 曾鴻;引入成熟投機(jī)者的股指期貨套保壓力效應(yīng)[D];復(fù)旦大學(xué);2013年

，

本文編號(hào)：1383603