本文選題：滬深300指數(shù) + 股指期貨�。� 參考：《山東大學(xué)》2013年碩士論文

【摘要】：2005年4月,上海證券交易所和深圳證券交易所聯(lián)合編制并發(fā)布了反映我國股票市場整體走勢的滬深300指數(shù),為我國的跨市場指數(shù)化投資和指數(shù)衍生品創(chuàng)新提供了萌芽的土壤。五年之后,證監(jiān)會批準(zhǔn)滬深300股指期貨合約在中國金融期貨交易所上市交易,這不權(quán)標(biāo)志著中國股指明貨市場的誕生,也意味著滬深300指數(shù)第一次擁有了自身的衍生品市場。七年之后,隨著華泰柏瑞滬深300ETF和嘉實(shí)滬深300ETF基金產(chǎn)品的募資完成,首批以滬深300指數(shù)為投資標(biāo)的的ETF基金正式宣告成立。至此,滬深300指數(shù)成為了我國金融市場上第一只同時(shí)擁有期貨和ETF基金兩個(gè)衍生品市場的指數(shù)。 多數(shù)研究者認(rèn)為,由于杠桿性、交易成本、交易限制條件等方而的差異,同一指數(shù)的不同市場往往具有不同的運(yùn)行效率�；诖�,本文從價(jià)格發(fā)現(xiàn)的角度,利用向量誤差修正模型(VECM)和Lien, Shrestha(2009)提出的修正信息份額模型(Modified Information Share Model, MIS),選取1分鐘高頻數(shù)據(jù)對我國滬深300指數(shù)現(xiàn)貨市場、期貨市場和ETF市場的價(jià)格發(fā)現(xiàn)能力進(jìn)行了比較研究,以判斷各個(gè)市場的運(yùn)行效率及其互動關(guān)系。 從實(shí)證結(jié)果來看,Johansen協(xié)整檢驗(yàn)表明滬深300指數(shù)現(xiàn)貨、期貨與ETF三個(gè)市場之間存在長期穩(wěn)定的均衡關(guān)系。向量誤差修正模型表明,短期內(nèi),期貨市場對現(xiàn)貨和ETF市場存在著單向價(jià)格引導(dǎo)關(guān)系,且對于ETF市場的引導(dǎo)力度更大、持續(xù)時(shí)間更長；現(xiàn)貨市場對于ETF市場也存在著單向引導(dǎo)關(guān)系,但無論是引導(dǎo)力度還是持續(xù)時(shí)間,都弱于期貨市場。長期來看,當(dāng)三個(gè)市場的均衡關(guān)系被打破后,期貨市場起到主要的定價(jià)功能,以引導(dǎo)其他兩個(gè)市場的價(jià)格調(diào)整并重新回到長期均衡狀態(tài)。接下來利用修正信息份額模型(MIS)定量分析各個(gè)市場在長期價(jià)格發(fā)現(xiàn)中的貢獻(xiàn)程度。測度結(jié)果顯示,期貨市場對于長期均衡價(jià)格的形成起到最重要的作用,貢獻(xiàn)度在80%左右；現(xiàn)貨市場的貢獻(xiàn)度較小,為20%左右；ETF市場對于價(jià)格的形成幾乎不起作用。最后,論文結(jié)合價(jià)格發(fā)現(xiàn)假說和實(shí)證研究結(jié)果對三個(gè)市場不同價(jià)格發(fā)現(xiàn)能力的原因進(jìn)行了比較分析,并指出了本研究對于投資決策的指導(dǎo)價(jià)值。
[Abstract]:In April 2005, Shanghai Stock Exchange and Shenzhen Stock Exchange jointly compiled and issued the CSI 300 Index, which reflects the overall trend of China's stock market, which provides a budding soil for cross-market indexed investment and index derivatives innovation in China.Five years later, the CSRC approved the listing of the CSI 300 stock index futures contract on the China Financial Futures Exchange, marking the birth of China's stock market and the first time that the CSI 300 index had its own derivatives market.Seven years later, with the completion of raising funds for Huatai Berui Shanghai and Shenzhen 300ETF and Castrol Shanghai and Shenzhen 300ETF funds, the first batch of ETF funds with the CSI 300 index as the investment target was officially established.So far, the CSI 300 index has become the first index in Chinese financial markets to have both futures and ETF derivatives markets.Most researchers believe that different markets in the same index often have different operating efficiency due to the differences in leverage, transaction costs and trading constraints.Based on this, from the point of view of price discovery, this paper uses vector error correction model (VECM) and modified information share model proposed by Lien, Shresthaer 2009) to modify Information Share Model, MISN, and selects 1-minute high frequency data to the spot market of CSI 300 index in China.The price discovery ability of futures market and ETF market is compared to judge the efficiency and interaction of each market.From the empirical results, the Johansen cointegration test shows that there is a long-term stable equilibrium relationship between the Shanghai and Shenzhen 300 index spot, futures and ETF markets.Vector error correction model shows that, in the short term, the futures market has a one-way price guidance relationship between spot market and ETF market, and the ETF market has a stronger guiding force and longer duration.The spot market also has the unidirectional guidance relation to the ETF market, but it is weaker than the futures market in both the guidance intensity and the duration.In the long run, when the equilibrium relationship of the three markets is broken, the futures market plays a major role in pricing to guide the price adjustment of the other two markets and return to the long-term equilibrium state.A revised information share model is then used to quantify the contribution of markets to long-term price discovery.The results show that the futures market plays the most important role in the formation of the long-term equilibrium price, the contribution is about 80%, and the contribution of the spot market is relatively small, about 20% of the ETF market has little effect on the formation of the price.Finally, combining the price discovery hypothesis and empirical research results, the paper makes a comparative analysis of the reasons for the different price discovery ability in the three markets, and points out the guiding value of this study for investment decision-making.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.5

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