發(fā)布時間：2018-05-25 16:36

  本文選題：國債期貨 + 弱式信息有效��； 參考：《青島大學(xué)》2017年碩士論文

【摘要】：中國國債期貨市場在關(guān)閉18年后于2013年重新開啟,國債期貨市場作為重要的利率風(fēng)險規(guī)避途徑,市場的有效性如何越來越受到人們的關(guān)注,因此本文將針對我國國債期貨市場的有效性進(jìn)行全面研究。本文的研究將分為以下幾個部分:首先,對以往期貨市場有效性研究的相關(guān)文獻(xiàn)進(jìn)行梳理和歸納;其次,針對中國國債期貨市場進(jìn)行有效性的界定,并選定實證檢驗中的方法;第三,對中國國債期貨市場的信息有效性和功能有效性進(jìn)行實證檢驗;第四,根據(jù)實證檢驗的結(jié)果,分析導(dǎo)致有效性不足的原因,并提出相應(yīng)的改進(jìn)建議。關(guān)于國債期貨市場的有效性檢驗,本研究主要分為兩個方向:國債期貨市場的信息有效性和功能有效性。信息有效性的理論依據(jù)是有效市場假說,根據(jù)這一理論,信息有效的程度主要體現(xiàn)在期貨價格對于信息的反應(yīng)能力上,當(dāng)期貨價格反映了所有歷史信息,市場就達(dá)到了弱式信息有效。對于期貨市場的功能有效性來說,主要分為以下三大功能:價格發(fā)現(xiàn)、投機(jī)套利和套期保值。這三種功能發(fā)揮的效果反映了國債期貨市場是否達(dá)到功能有效。在此基礎(chǔ)上,本文分別對中國的國債期貨市場進(jìn)行信息有效性檢驗和功能有效性檢驗。在信息有效性檢驗中,通過ADF單位根檢驗、序列自相關(guān)檢驗和游程檢驗等方法,驗證了 5年期國債期貨日對數(shù)收益率序列平穩(wěn)、服從隨機(jī)游走,說明市場已達(dá)到弱式信息有效,但10年期國債期貨市場未通過檢驗,認(rèn)為其尚未完全達(dá)到弱式信息有效。在功能有效性的檢驗中,本文分別使用了 Granger因果關(guān)系檢驗、誤差修正模型和OLS回歸等方法,發(fā)現(xiàn)中國5年期國債期貨市場可以發(fā)揮價格發(fā)現(xiàn)功能,但投機(jī)套利和套期保值功能發(fā)揮較差,10年期國債期貨市場功能發(fā)揮稍好,但綜合考慮認(rèn)為功能有效性仍然不足。根據(jù)檢驗結(jié)果和國債期貨市場的實際狀況,本研究認(rèn)為目前國債期貨市場存在與現(xiàn)貨市場割裂、投資者比例不合理、流動性不足、期貨產(chǎn)品種類較少、利率市場化緩慢等問題,并針對這些問題提出了政策建議。
[Abstract]:China's treasury bond futures market reopened in 2013 after it was closed for 18 years. As an important way to avoid interest rate risks, the effectiveness of China's treasury bond futures market has attracted more and more attention. Therefore, this paper will conduct a comprehensive study on the effectiveness of China's treasury bond futures market. The research of this paper will be divided into the following parts: firstly, combing and summing up the relevant literatures of the former research on the effectiveness of futures market; secondly, defining the validity of the futures market of China's treasury bonds, and selecting the methods in the empirical test; Third, the information effectiveness and functional effectiveness of the Chinese treasury bond futures market are tested empirically. Fourthly, according to the results of empirical test, the causes of the lack of effectiveness are analyzed, and the corresponding suggestions for improvement are put forward. As to the validity test of the treasury bond futures market, this research mainly divides into two directions: the information validity and the function validity of the treasury bond futures market. The theoretical basis of information effectiveness is the efficient market hypothesis. According to this theory, the degree of information effectiveness is mainly reflected in the ability of futures prices to react to information, when futures prices reflect all historical information. The market has achieved weak information efficiency. For the functional effectiveness of the futures market, it is divided into the following three main functions: price discovery, speculative arbitrage and hedging. The effect of these three functions reflects whether the treasury bond futures market is functional or not. On this basis, this paper carries on the information validity test and the function validity test to the Chinese treasury bond futures market. In the information validity test, through the methods of ADF unit root test, sequence autocorrelation test and run line test, it is verified that the daily logarithmic yield sequence of 5-year Treasury bond futures is stable, and the daily logarithmic yield sequence of 5-year Treasury bond futures is stable. It shows that the market has reached the weak information efficiency, but the 10-year Treasury bond futures market has not passed the test, and considers that it has not completely reached the weak information efficiency. In the functional validity test, this paper uses Granger causality test, error correction model and OLS regression, respectively, to find that the futures market of 5-year Treasury bonds in China can play the role of price discovery. However, the function of speculative arbitrage and hedging is poor, the function of 10-year Treasury bond futures market is better, but the comprehensive consideration is that the function effectiveness is still insufficient. According to the test results and the actual situation of the treasury bond futures market, this study considers that the current treasury bond futures market is separated from the spot market, the proportion of investors is unreasonable, the liquidity is insufficient, the types of futures products are fewer, and the interest rate marketization is slow, and so on. Some policy suggestions are put forward to solve these problems.
【學(xué)位授予單位】：青島大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F224;F724.5

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本文編號：1933909