本文選題：滬深300指數(shù)期貨 + 價格發(fā)現(xiàn)　； 參考：《西南交通大學》2013年博士論文

【摘要】：2010年4月16日,滬深300指數(shù)期貨正式上市交易,中國資本市場跨過了一個具有歷史意義的里程碑。作為一種投資避險工具,滬深300指數(shù)期貨的推出,不僅填補了國內(nèi)證券市場做空機制的空白,同時對完善我國資本市場結(jié)構(gòu),解決社會財富的二次分配有著重要意義。指數(shù)期貨具有價格發(fā)現(xiàn)、套期保值和投機三大基本功能,本文利用滬深300指數(shù)期貨兩年多來的真實交易數(shù)據(jù),全面實證分析我國指數(shù)期貨這三大基本功能的發(fā)揮情況。 為了檢驗滬深300指數(shù)期貨與現(xiàn)貨間的價格發(fā)現(xiàn)功能及波動性外溢現(xiàn)象,利用向量誤差修正模型判斷兩個市場間價格發(fā)現(xiàn)能力的強弱,并以EC-DCC-(BV) GARCH模型對波動性外溢現(xiàn)象加以探討。針對2010年4月16日至2012年8月15日之間的日交易數(shù)據(jù)和日內(nèi)15分鐘交易數(shù)據(jù)進行分析,得到以下結(jié)論,長期來看,滬深300指數(shù)現(xiàn)貨是整個系統(tǒng)中價格變動的領(lǐng)先指標,而短期來看,滬深300指數(shù)期貨是整個系統(tǒng)中價格變動的領(lǐng)先指標,滬深300指數(shù)現(xiàn)貨具有長期的價格發(fā)現(xiàn)功能,滬深300指數(shù)期貨則具有短期的價格發(fā)現(xiàn)功能；滬深300指數(shù)現(xiàn)貨與滬深300指數(shù)期貨價格間存在著雙向的波動溢出效果,滬深300指數(shù)期貨價格的沖擊和條件波動加大了滬深300指數(shù)現(xiàn)貨價格的條件波動,而滬深300指數(shù)現(xiàn)貨價格的沖擊和條件波動減少了滬深300指數(shù)期貨價格的條件波動；在日線級別上,現(xiàn)貨對期貨的波動溢出效果強于期貨對現(xiàn)貨的波動溢出效果,而在日內(nèi)15分鐘線級別上,期貨對現(xiàn)貨的波動溢出效果強于現(xiàn)貨對期貨的波動溢出效果。我國指數(shù)期貨市場的價格發(fā)現(xiàn)功能并不強,主要原因可能在于滬深300指數(shù)期貨投機性較強,短期對新信息常過渡反映,但長期來看最終要回到均衡價格水平。 股價指數(shù)期貨套期保值比率的估計是股票投資者從事套保策略時的一個關(guān)鍵,本文使用傳統(tǒng)的天真套保模型、OLS模型、單元GARCH模型、VAR模型和ECM模型等靜態(tài)模型以及CCC模型、VARMA-AGARCH模型、DCC模型和BEKK模型等動態(tài)模型,構(gòu)建在同步交易時段和非同步交易時段進行的擇時套期保值策略,針對滬深300指數(shù)期貨和現(xiàn)貨的日交易數(shù)據(jù)加以實證。結(jié)果顯示,在同步交易時段進行套保,其套�？冃П仍诜峭浇灰讜r段進行套保的績效要好,套保績效平均高出約3至4個多百分點；動態(tài)套保模型的績效整體優(yōu)于靜態(tài)套保模型的績效；靜態(tài)模型中OLS模型的套�？冃ё詈�,動態(tài)模型中BEKK模型、VARMA-AGARCH模型等的套�？冃Ц饔星�。這些結(jié)論與交易時段期現(xiàn)貨的相關(guān)性更高及動態(tài)模型更貼近價格序列特征等因素有關(guān)。 盡管投機操作在股指期貨的其他功能是否能夠正常發(fā)揮中起著重要的作用,但對滬深300指數(shù)期貨投機功能的研究,國內(nèi)外均缺乏相關(guān)的實證分析。本文提出市場異象是進行投機的理論依據(jù)之一,并實證考查了我國股指期貨的四個日歷異象：日內(nèi)效應(yīng)、周內(nèi)效應(yīng)、隔夜效應(yīng)和月內(nèi)效應(yīng)。緊接著構(gòu)建日內(nèi)程式化交易系統(tǒng),并應(yīng)用先前研究結(jié)論之周內(nèi)效應(yīng)作為過濾器,對滬深300指數(shù)期貨的投機功能進行了檢測。結(jié)果表明,滬深300指數(shù)期貨在樣本期內(nèi)存在周一負收益效應(yīng)；價格波動突破系統(tǒng)和動力系統(tǒng)在扣除掉手續(xù)費和滑點后,仍能獲得超過50%的年化收益；而加入周內(nèi)效應(yīng)過濾器后,顯著改善了投機績效。滬深300指數(shù)期貨在推出初期的這兩年具備良好的投機功能。 文章最后部分基于前面的實證研究結(jié)果進行總結(jié),得出結(jié)論,并對我國股指期貨功能發(fā)揮的實際情況進行評價和闡述,在此基礎(chǔ)上,提出了未來的研究方向和建議。
[Abstract]:In April 16, 2010, Shanghai and Shenzhen 300 index futures were formally listed, and China's capital market has crossed a historic milestone. As an investment avoidance tool, the introduction of Shanghai and Shenzhen 300 index futures has not only filled the blank of the domestic stock market, but also improved our capital market structure and solved social wealth. The two distribution is of great significance. The index futures have three basic functions: price discovery, hedging and speculation. This paper uses the real transaction data of Shanghai and Shenzhen 300 index futures for more than two years to fully demonstrate the three basic functions of China's index futures.
In order to test the price discovery function and volatility spillover between the Shanghai and Shenzhen 300 index futures and the spot, the vector error correction model is used to determine the strength of the price discovery ability between the two markets, and the EC-DCC- (BV) GARCH model is used to discuss the volatility spillover phenomenon. In the long run, the Shanghai and Shenzhen 300 index is the leading index of the price change in the whole system, and in the short term, the Shanghai and Shenzhen 300 index futures are the leading index of the price change in the whole system, and the Shanghai and Shenzhen 300 index spot has a long-term price discovery function and the Shanghai and Shenzhen 300 index in the short term. Futures have a short-term price discovery function; there is a two-way volatility spillover effect between the Shanghai and Shenzhen 300 index spot and the Shanghai and Shenzhen 300 index futures prices. The impact of the Shanghai and Shenzhen 300 index futures price and the condition fluctuation increase the condition fluctuation of the spot price of the Shanghai and Shenzhen 300 index, while the impact of the spot price of the Shanghai and Shenzhen 300 index and the fluctuation of the conditions are reduced. In the daily line level, the effect of spot volatility spillover on futures is stronger than the volatility spillover effect on spot. At the 15 minute line level in the day, the effect of futures to spot volatility is stronger than the effect of spot volatility on futures. The price of China's index futures market is found. The function is not strong, the main reason may be that the Shanghai and Shenzhen 300 index futures are highly speculative, and the short-term response to the new information is often reflected, but in the long run, it is necessary to return to the equilibrium price level.
The estimation of the hedging ratio of stock index futures is a key point for stock investors to engage in hedging strategy. This paper uses traditional naive hedging model, OLS model, unit GARCH model, VAR model and ECM model as well as CCC model, VARMA-AGARCH model, DCC model and BEKK model and other dynamic models, which are constructed in synchronous transaction. The timing hedging strategy of time and non synchronous trading period is used to demonstrate the daily transaction data of the futures and spot of the Shanghai and Shenzhen 300 index. The results show that the hedging performance is better than that in the non synchronous trading period. The performance of hedging is about 3 to 4 hundred points higher than that in the non synchronous trading period. The performance of the dynamic hedging model is better than that of the static hedging model. In the static model, the hedging performance of the OLS model is the best, the BEKK model and the VARMA-AGARCH model in the dynamic model have different hedging performance. These conclusions have higher correlation with the trading time spot and the dynamic model is closer to the price sequence characteristics. Close.
Although the speculative operation plays an important role in whether the other functions of stock index futures can be used normally, the research on the futures speculative function of the Shanghai and Shenzhen 300 index futures is lack of relevant empirical analysis at home and abroad. This paper proposes that the market anomalies are one of the theoretical bases for speculation, and the four calendars of China's stock index futures are examined. The intraday effect, the intraday effect, the overnight effect and the intraday effect. Then the intra day stylized trading system was constructed, and the Intraday Effect of the previous research conclusions was used as a filter to detect the speculative function of the Shanghai and Shenzhen 300 index futures. The results showed that the Shanghai and Shenzhen 300 fingers futures had a negative return effect on Monday in the sample period. Price fluctuations break through the system and power system after deducting fees and slippery points, and still get more than 50% of the annual income, and after joining the intraday effect filter, it significantly improves the speculative performance. The Shanghai and Shenzhen 300 index futures have good speculative function in the initial two years.
The last part of the article is based on the conclusion of the previous empirical research, draws the conclusion, and evaluates and expounds the actual situation of the function of the stock index futures in China. On this basis, it puts forward the future research direction and suggestions.
【學位授予單位】：西南交通大學
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F724.5

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本文編號：1967059