本文關(guān)鍵詞：PTA期貨市場(chǎng)有效性及交易策略實(shí)證研究　出處：《山東大學(xué)》2017年碩士論文　論文類(lèi)型：學(xué)位論文

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【摘要】：經(jīng)過(guò)多年發(fā)展,現(xiàn)在國(guó)內(nèi)期貨市場(chǎng)交易品種繁多交易規(guī)模龐大,尤其是就商品期貨而言。各個(gè)期貨品種的價(jià)格會(huì)受到來(lái)自國(guó)內(nèi)和國(guó)際上政治變動(dòng)、經(jīng)濟(jì)變化和自然災(zāi)害突發(fā)等諸多方面的影響。在這種形勢(shì)下,期貨類(lèi)產(chǎn)品的管理過(guò)程中,決定是否交易某一品種和選擇合適理性的交易策略都是值得關(guān)注的問(wèn)題。本論文嘗試在驗(yàn)證PTA期貨市場(chǎng)的半強(qiáng)式有效性的基礎(chǔ)上,利用宏觀(guān)指標(biāo)和行業(yè)指標(biāo)等公開(kāi)信息預(yù)測(cè)PTA期貨價(jià)格未來(lái)市場(chǎng)行情,為投資者們選擇交易品種和制定交易策略提供一些參考。首先,本論文探討PTA期貨市場(chǎng)流動(dòng)性特點(diǎn),依據(jù)主力合約生成連續(xù)價(jià)格序列以供后續(xù)分析。實(shí)證結(jié)果表明PTA(精對(duì)苯二甲酸)期貨主力合約對(duì)應(yīng)的月份主要是一月、五月和九月,而且它們持續(xù)作為主力合約的時(shí)間長(zhǎng)度并不固定,時(shí)多時(shí)少,沒(méi)有規(guī)律。但是三個(gè)月份合約成為主力合約后平均持續(xù)時(shí)間都在80個(gè)交易日,也就是4個(gè)月左右。然后,選取單位根檢驗(yàn)法驗(yàn)證PTA期貨市場(chǎng)是否已經(jīng)是弱勢(shì)有效的。結(jié)果顯示:ADF統(tǒng)計(jì)量的數(shù)值是-0.776812,明顯大于1%置信度下的臨界值-2.566325。從而說(shuō)明PTA期貨合約對(duì)數(shù)價(jià)格序列是一個(gè)單位根過(guò)程,服從隨機(jī)游走假設(shè),PTA(精對(duì)苯二甲酸)期貨市場(chǎng)已經(jīng)是弱勢(shì)有效的。接下來(lái),運(yùn)用事件研究法驗(yàn)證PTA期貨市場(chǎng)是否達(dá)到了半強(qiáng)式有效。本論文選取"英國(guó)脫歐"作為目標(biāo)事件,估計(jì)期間包括122個(gè)交易日,事件期間包括13個(gè)交易日。在此基礎(chǔ)上,計(jì)算出正常收益率和異常收益率,再檢驗(yàn)累積異常收益率與0之間的差異性。檢驗(yàn)結(jié)果顯示:在事件日2016年6月24日以后的T統(tǒng)計(jì)量數(shù)值都明顯大于1%置信度下的臨界值。這說(shuō)明累計(jì)收益率均值與0有顯著差別,"英國(guó)脫歐"事件對(duì)PTA期貨價(jià)格走勢(shì)有顯著影響。從而證明PTA(精對(duì)苯二甲酸)期貨市場(chǎng)不具備半強(qiáng)式有效性,理論上來(lái)講可以利用事件研究策略獲利。最后,利用二元邏輯回歸模型預(yù)測(cè)PTA期貨未來(lái)市場(chǎng)行情。根據(jù)PTA產(chǎn)業(yè)鏈情況,選取貨幣供應(yīng)量實(shí)際值和預(yù)測(cè)值、生產(chǎn)物價(jià)指數(shù)預(yù)測(cè)值和全部工業(yè)品當(dāng)月同比4個(gè)宏觀(guān)指標(biāo),PPIRM化工原料類(lèi)當(dāng)月同比、PPIRM紡織原料類(lèi)當(dāng)月同比、布倫特原油價(jià)格變化率和聚酯切片市場(chǎng)均價(jià)變化率4個(gè)行業(yè)指標(biāo)作為自變量,運(yùn)用二元邏輯回歸模型預(yù)測(cè)PTA期貨市場(chǎng)的未來(lái)行情。實(shí)證結(jié)果顯示:引入了交互效應(yīng)之后的模型在擬合優(yōu)度上優(yōu)于原始模型。引入了交互效應(yīng)之后的邏輯回歸模型整體的伴隨概率是0.00(小于顯著性水平5%),預(yù)測(cè)正確率是86.9%。由此得出結(jié)論:在PTA期貨市場(chǎng)可以依賴(lài)邏輯回歸模型預(yù)測(cè)PTA期貨未來(lái)市場(chǎng)行情,并據(jù)此制定相應(yīng)交易策略。
[Abstract]:After years of development, there are a wide variety of transactions in the domestic futures market, especially for commodity futures. The prices of various futures varieties will be affected by many aspects, such as political changes at home and abroad, economic changes and natural disasters. In this situation, it is a matter of concern to decide whether to deal with a certain variety and choose a reasonable and rational trading strategy in the process of the management of futures products. This paper attempts to verify the semi strong efficiency of PTA futures market, and predict future price of PTA futures market based on public information such as macro indicators and industry indicators, so as to provide some references for investors to choose trading varieties and formulate trading strategies. First, this paper discusses the liquidity characteristics of the PTA futures market, and generates a continuous price sequence based on the main contract for the follow-up analysis. The empirical results show that the corresponding month of PTA main contract is mainly in January, May and September, and their duration as main contract is not fixed. But the average duration of the three month contract as the main contract is on 80 trading days, that is, about 4 months. Then, it selects the unit root test to verify whether the PTA futures market is weak and effective. The results show that the value of ADF statistics is -0.776812, which is obviously greater than the critical value of the 1% confidence level of -2.566325. It shows that the logarithmic price sequence of PTA futures contract is a unit root process. It obeys the hypothesis of random walk, and the PTA (PTA) futures market is already weak and effective. Next, we use the event study method to verify whether the PTA futures market has reached a semi strong effect. This paper selects "Britain to take off Europe" as the target event, which is estimated to include 122 trading days, and the event includes 13 trading days. On this basis, the normal rate of return and the abnormal return are calculated, and then the difference between the cumulative abnormal return and 0 is tested. The test results show that the value of the T statistics after the June 24, 2016 event is obviously larger than the critical value under the 1% confidence level. This shows that the mean value of cumulative return is significantly different from that of 0. The "British deeurope" event has a significant impact on the price trend of PTA futures. It is proved that the futures market of PTA (fine terephthalic acid) does not have a semi strong validity. In theory, it can make profit by using the event research strategy. Finally, the two yuan logical regression model is used to predict the future market market of PTA futures. According to the PTA industry chain, choose money supply actual value and predictive value, production price index forecast value and the total industrial products month up 4 macroeconomic indicators, PPIRM chemical raw materials, textile raw materials PPIRM month year month year, Brent crude oil price change rate and market price change rate of polyester slice 4 industry index as the use of two independent variables, binary logistic regression model to predict the PTA futures market in the future market. The empirical results show that the model introduced after the interaction effect is superior to the original model in the goodness of fit. The overall adjoint probability of the logistic regression model after the introduction of the interaction effect is 0 (less than the level of saliency 5%), and the prediction accuracy is 86.9%. It comes to the conclusion that the PTA futures market can rely on the logistic regression model to predict the future market market of PTA futures and formulate corresponding trading strategies accordingly.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F767;F724.5

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