本文關(guān)鍵詞： 股指期貨 股票現(xiàn)貨 風(fēng)險(xiǎn)預(yù)警 風(fēng)險(xiǎn)傳遞　出處：《哈爾濱工業(yè)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：股指期貨是成熟的金融資本市場必不可少的組成部分。在中國股指期貨已經(jīng)正式推出，并平穩(wěn)運(yùn)行的背景下，對(duì)股指期貨市場與股票現(xiàn)貨市場間的風(fēng)險(xiǎn)進(jìn)行聯(lián)動(dòng)研究，能夠?yàn)槠胀ㄍ顿Y者的謹(jǐn)慎投資提供有益參考，并能夠指導(dǎo)監(jiān)管部門制定良性的風(fēng)險(xiǎn)管控機(jī)制，促進(jìn)金融資本市場的規(guī)范運(yùn)行。 首先，以滬深300股票市場和滬深300股指期貨市場為目標(biāo)市場，，選取2008年至2013年的股票價(jià)格數(shù)據(jù)及2010年后運(yùn)行較為完整的4支股指期貨合約為樣本，對(duì)數(shù)據(jù)進(jìn)行基本分析，結(jié)果表明，兩市場收益率序列均存在非正態(tài)、尾厚、峰尖的特點(diǎn)；兩市場的收益波動(dòng)具有同步性和集群性。 其次，運(yùn)用VECM模型和SVAR模型研究了兩個(gè)市場之間的跨市場價(jià)量關(guān)系。結(jié)果表明，股票現(xiàn)貨市場在向長期均衡的調(diào)整中占主導(dǎo)地位；兩市場之間存在雙向價(jià)格發(fā)現(xiàn)功能，但股指期貨市場的價(jià)格發(fā)現(xiàn)能力高于現(xiàn)貨市場；存在著期貨價(jià)格引導(dǎo)現(xiàn)貨價(jià)格的關(guān)系，領(lǐng)先時(shí)長為2天。 再次，以股票現(xiàn)貨市場自身收益在股指期貨推出前后的變化為角度，分別運(yùn)用均值分析、面板模型分析和EGARCH模型，分析了股指期貨推出前后股票市場的收益波動(dòng)變化情況。結(jié)果表明，股指期貨的推出降低了現(xiàn)貨市場的收益波動(dòng)性，且隨著期貨市場逐步發(fā)展成熟，波動(dòng)性的降低作用愈發(fā)明顯。 隨后，以兩市場的風(fēng)險(xiǎn)傳遞關(guān)系為角度，分別運(yùn)用GARCH模型、EGARCH模型和PARCH模型研究了兩市場的風(fēng)險(xiǎn)波動(dòng)外溢性、利好及利壞關(guān)系對(duì)風(fēng)險(xiǎn)的傳遞性及日間信息與隔夜信息對(duì)風(fēng)險(xiǎn)的傳遞關(guān)系。結(jié)果顯示，兩市場存在著顯著的雙向風(fēng)險(xiǎn)波動(dòng)溢出效果且風(fēng)險(xiǎn)信息的傳遞首先從股指期貨市場向股票現(xiàn)貨市場進(jìn)行；股指期貨市場向股票現(xiàn)貨市場的好消息和壞消息的傳遞均具有瀑布效應(yīng)和反向杠桿效應(yīng)；兩市場的日間收益和隔夜收益對(duì)對(duì)應(yīng)市場日間收益具有顯著影響，且現(xiàn)貨市場對(duì)該信息的傳遞效率顯著高于期貨市場。 最后，構(gòu)建基于ARCH系列模型的CVaR方法風(fēng)險(xiǎn)預(yù)警體系，對(duì)兩市場的自身風(fēng)險(xiǎn)及加入對(duì)應(yīng)市場相關(guān)變量后的風(fēng)險(xiǎn)進(jìn)行全面度量。研究發(fā)現(xiàn)，在推出股指期貨后，股票現(xiàn)貨市場的自身風(fēng)險(xiǎn)大幅下降；引入對(duì)應(yīng)市場的風(fēng)險(xiǎn)相關(guān)變量后，兩市場的VaR及CVaR數(shù)值均顯著下降，說明充分利用兩市場的風(fēng)險(xiǎn)信息，對(duì)平抑和規(guī)避市場風(fēng)險(xiǎn)作用巨大。
[Abstract]:Stock index futures is an indispensable part of mature financial capital market. Under the background of the formal introduction and smooth operation of stock index futures in China, the risk linkage between stock index futures market and spot stock market is studied. It can provide a useful reference for the prudent investment of ordinary investors, and can guide the regulatory authorities to formulate a sound risk control mechanism, and promote the standardized operation of financial capital market. First of all, taking CSI 300 stock market and CSI 300 stock index futures market as the target market, we select the stock price data from 2008 to 2013 and four complete stock index futures contracts running after 2010 as samples to analyze the data. The results show that the return series of the two markets have the characteristics of non-normal, tail thickness and peak tip, and the volatility of returns in the two markets is synchronous and clustered. Secondly, we use VECM model and SVAR model to study the cross-market price-volume relationship between the two markets. The results show that the stock spot market plays a leading role in the adjustment to the long-term equilibrium, and there is a two-way price discovery function between the two markets. But the price discovery ability of the stock index futures market is higher than that of the spot market, and there is a relationship between the futures price leading the spot price and the leading time is 2 days. Thirdly, from the point of view of the change of stock spot market self-income before and after the launch of stock index futures, using the mean analysis, panel model analysis and EGARCH model, respectively, The results show that the introduction of stock index futures reduces the return volatility of the spot market, and with the development of the futures market, the stock index futures market matures gradually. The reduction in volatility is becoming more pronounced. Then, based on the risk transfer relationship between the two markets, the risk volatility spillover of the two markets is studied by using GARCH model and PARCH model, respectively. The transmission of risk between good and bad and between daytime information and overnight information. The results show that, The two markets have significant two-way risk volatility spillover effect and the transmission of risk information from the stock index futures market to the stock spot market; Both good news and bad news transmission from stock index futures market to spot stock market have waterfall effect and reverse leverage effect. Moreover, the delivery efficiency of the information in the spot market is significantly higher than that in the futures market. Finally, the risk warning system of CVaR method based on ARCH series model is constructed to measure the risk of the two markets and the risk after the corresponding market variables are added. The results show that, after the introduction of stock index futures, The value of VaR and CVaR of the two markets are significantly decreased after introducing the relevant risk variables of the corresponding market, which indicates that the full use of the risk information of the two markets plays a great role in stabilizing and evading the market risks.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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