本文選題：股指期貨　切入點(diǎn)：交易成本　出處：《西南交通大學(xué)》2013年碩士論文

【摘要】：隨著全球期貨市場蓬勃發(fā)展,投資者通過市場間的信息不對稱在期貨市場上進(jìn)行無風(fēng)險套利已經(jīng)越來越困難,在交易中發(fā)生的各種交易成本將是投資者重點(diǎn)關(guān)注的內(nèi)容。本論文將主要針對不確定性交易成本進(jìn)行研究,重點(diǎn)考察不確定性成本中的沖擊成本,在國際上通常用沖擊成本來衡量市場的流動性。沖擊成本與股指期貨機(jī)構(gòu)投資者的交易執(zhí)行策略緊密相關(guān),會對投資者的收益產(chǎn)生直接影響。準(zhǔn)確的度量沖擊成本將有助于股指期貨大額交易者制定大額指令執(zhí)行策略,減少在交易過程中的沖擊成本；對于期貨市場交易規(guī)則制定者或市場監(jiān)管者來說,了解期貨市場沖擊成本的大小對改進(jìn)交易制度并制定有效的交易制度來提高期貨市場效率具有重要的意義。 本文提出了期貨市場沖擊成本的度量公式,構(gòu)建沖擊成本影響因素線性回歸模型,并對滬深300股指期貨交易的高頻數(shù)據(jù)加以實(shí)證。實(shí)證部分測算了滬深300股指期貨市場實(shí)現(xiàn)沖擊、永久沖擊、瞬時沖和隱含沖擊,并在沖擊成本度量結(jié)果的基礎(chǔ)上考察了其日內(nèi)模式。通過引入指令規(guī)模、日價格變動、日結(jié)算價、日成交量、日持倉量五個解釋變量建立沖擊成本多元回歸模型,并考察這幾個變量對市場沖擊成本產(chǎn)生的影響。 論文的實(shí)證研究結(jié)論表明,滬深300股指期貨市場大額交易存在顯著的沖擊成本,股指期貨市場沖擊成本隨著指令規(guī)模擴(kuò)大而增加,滬深300股指期貨市場買賣之間不存在顯著的差異性；滬深300股指期貨市場的各類沖擊成本明顯小于中國股票市場,滬深300股指期貨市場的沖擊成本大于國外股指期貨市場；股指期貨合約有明顯的日內(nèi)走勢規(guī)律：上午偏高,下午偏低,開盤時沖擊成本相對較高,收盤時沖擊成本相對較低；沖擊成本影響因素分析顯示指令規(guī)模和價格變動對沖擊成本影響較大。買指令對應(yīng)的沖擊成本與指令規(guī)模和價格變動成正比,與日結(jié)算價、日成交量、日持倉量成反比。指令規(guī)模越大,沖擊成本越大；日價格變動越大,沖擊成本越大；日結(jié)算價格水平越高,沖擊成本越小；日持倉量越大,沖擊成本越小
[Abstract]:As global futures markets flourish, it has become increasingly difficult for investors to carry out risk-free arbitrage in futures markets through information asymmetries between markets. All kinds of transaction costs will be the focus of investors' attention. This paper will focus on the uncertainty of transaction costs, focusing on the impact costs of uncertain costs. Internationally, the impact cost is commonly used to measure the liquidity of the market. The impact cost is closely related to the trading execution strategy of institutional investors in stock index futures. Accurate measurement of impact cost will help large stock index futures traders to formulate large order execution strategy and reduce the impact cost in the course of trading. For the futures market, it is of great significance to understand the impact cost of the futures market to improve the trading system and establish an effective trading system to improve the efficiency of the futures market. In this paper, a formula for measuring the impact cost of futures market is proposed, and a linear regression model of the impact factors of the impact cost is constructed. The empirical part measures the impact of Shanghai and Shenzhen 300 stock index futures market, the permanent impact, the instantaneous impact and the implicit impact. Based on the results of impact cost measurement, the paper investigates its intraday model. By introducing five explanatory variables, order scale, daily price change, daily settlement price, daily turnover and daily position, a multiple regression model of impact cost is established. And examine the impact of these variables on the impact of market costs. The empirical research results show that there is a significant impact cost in the Shanghai and Shenzhen 300 stock index futures market, and the impact cost of the stock index futures market increases with the expansion of the order scale. There is no significant difference between the trading of Shanghai and Shenzhen 300 stock index futures market, the impact cost of Shanghai and Shenzhen 300 stock index futures market is obviously lower than that of Chinese stock market, and the impact cost of Shanghai and Shenzhen 300 stock index futures market is higher than that of foreign stock index futures market. Stock index futures contracts have obvious intraday trend: high in the morning, low in the afternoon, relatively high impact costs at the opening, and relatively low at the close; The analysis of the factors influencing the impact cost shows that the order size and the price change have a great impact on the impact cost. The impact cost corresponding to the purchase order is directly proportional to the order size and price change, and it is proportional to the daily settlement price and daily trading volume. The larger the order size, the greater the impact cost; the greater the daily price change, the greater the impact cost; the higher the daily settlement price level, the smaller the impact cost; the larger the daily position, the smaller the impact cost
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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