發(fā)布時(shí)間：2017-12-31 05:33

  本文關(guān)鍵詞：中國股指期貨與現(xiàn)貨間信息傳導(dǎo)與交互作用的研究　出處：《哈爾濱工業(yè)大學(xué)》2016年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股指期貨 信息傳遞 波動(dòng)性結(jié)構(gòu) 基差 價(jià)格穩(wěn)定因素 漲跌停制度

【摘要】：股指期貨是以股票價(jià)格指數(shù)為交易標(biāo)的的一種金融衍生產(chǎn)品。自20世紀(jì)80年代在美國誕生以來,股指期貨在全世界范圍得到了快速發(fā)展,已發(fā)展成為交易量最大的期貨品種。2010年4月16日,中國也推出了以滬深300指數(shù)為標(biāo)的的股指期貨。股指期貨的推出不僅可以為投資者增加新的避險(xiǎn)工具、提高資金的使用率,而且有助于進(jìn)一步完善我國資本市場(chǎng)的結(jié)構(gòu)、推動(dòng)金融創(chuàng)新,對(duì)我國金融市場(chǎng)的健康發(fā)展有著重要意義。然而,股指期貨作為一種新興的衍生品,在中國自上市的五年多來經(jīng)歷了曲折的發(fā)展過程。其剛誕生時(shí),股市正處于熊市階段。一經(jīng)推出,股指期貨即面臨著加劇現(xiàn)貨市場(chǎng)的波動(dòng)性,導(dǎo)致市場(chǎng)下跌的指責(zé)。在接后的幾年,隨著市場(chǎng)的穩(wěn)步發(fā)展,股指期貨避險(xiǎn)和投機(jī)的功能越來越受到投資者的重視,股指期貨的成交量快速上升,到2015年初已成為全球最大的市場(chǎng)。但是2015年6月突如其來的股災(zāi)給股指期貨的發(fā)展帶來了沉重的打擊。眾多的中小投資者指責(zé)股指期貨是做空市場(chǎng)的罪魁禍?zhǔn)�。監(jiān)管機(jī)構(gòu)收緊了股指期貨交易,市場(chǎng)急劇萎縮,成交量下降了99%。如今,由于流動(dòng)性的缺乏,股指期貨已經(jīng)基本上失去了投機(jī)和避險(xiǎn)的功能。中國股指期貨在短短幾年時(shí)間里,經(jīng)歷從稚嫩到成熟再到幾乎突然死亡的發(fā)展過程。由于股指期貨對(duì)股市發(fā)展的重要性,對(duì)中國股指期貨市場(chǎng)進(jìn)行深入研究,為恢復(fù)其正常交易提供有效的政策支持是非常重要和急迫的。本研究以中國股指期貨和股市現(xiàn)貨市場(chǎng)的互相影響和信息傳遞為研究?jī)?nèi)容,深入地探索了兩市場(chǎng)間互相影響的模式和效果。本研究對(duì)股指期貨市場(chǎng)進(jìn)行分階段分析,揭示了股指期貨在其發(fā)展過程中與現(xiàn)貨市場(chǎng)之間關(guān)系的逐步變化過程。通過格蘭杰檢驗(yàn)和多元GARCH模型考察了兩者之間的引導(dǎo)關(guān)系和波動(dòng)性溢出關(guān)系。結(jié)果顯示股指期貨在其較成熟的階段已經(jīng)能夠有效地發(fā)揮價(jià)格發(fā)現(xiàn)的作用,對(duì)現(xiàn)貨價(jià)格有引導(dǎo)作用。本研究對(duì)股指期貨和現(xiàn)貨指數(shù)的波動(dòng)性結(jié)構(gòu)進(jìn)行了分析,揭示了兩市場(chǎng)內(nèi)部結(jié)構(gòu)的差異。本文創(chuàng)新地將提出新的波動(dòng)性解析模型,同時(shí)考察了跳躍性,短時(shí)波動(dòng)性和長時(shí)波動(dòng)性等多種動(dòng)態(tài)特征。模型的實(shí)證結(jié)果發(fā)現(xiàn)期貨市場(chǎng)存在更多的跳躍因素,而現(xiàn)貨市場(chǎng)存在更多的短時(shí)波動(dòng)性。將該結(jié)果與中國市場(chǎng)的漲跌停制度結(jié)合分析發(fā)現(xiàn),漲跌停制度對(duì)現(xiàn)貨和期貨市場(chǎng)有著不同程度的價(jià)格穩(wěn)定作用,是造成這種現(xiàn)象的主要原因。本研究對(duì)期現(xiàn)基差動(dòng)態(tài)過程和市場(chǎng)價(jià)格穩(wěn)定因素之間的關(guān)系進(jìn)行了分析,揭示了期貨市場(chǎng)在現(xiàn)貨市場(chǎng)受到價(jià)格穩(wěn)定因素影響時(shí)的表現(xiàn)情況。本文從基差的獨(dú)特視角來考察期現(xiàn)之間的動(dòng)態(tài)關(guān)系,并提出了衡量期現(xiàn)價(jià)格整合程度和價(jià)格穩(wěn)定因素的指標(biāo)。通過新的指標(biāo)為代理變量,進(jìn)行了相關(guān)性檢驗(yàn)?zāi)Ｐ偷慕��?gòu)。實(shí)證的結(jié)果顯示價(jià)格穩(wěn)定因素的三個(gè)變量越大時(shí),期現(xiàn)基差的波動(dòng)性會(huì)明顯降低。實(shí)證結(jié)果揭示了期貨價(jià)格在現(xiàn)貨價(jià)格波動(dòng)受限時(shí)依然能按照其受影響的程度進(jìn)行自我的調(diào)整,期貨價(jià)格的波動(dòng)更為自由,價(jià)格發(fā)現(xiàn)能力也更強(qiáng)。該研究證明了中國的股指期貨市場(chǎng)已經(jīng)較為成熟,具有較強(qiáng)的價(jià)格發(fā)現(xiàn)能力。說明股災(zāi)前股指期貨的市場(chǎng)環(huán)境,監(jiān)管政策總體來說都已較為完善。該研究對(duì)期現(xiàn)市場(chǎng)的波動(dòng)性結(jié)構(gòu)和基差的分析也發(fā)現(xiàn),兩市場(chǎng)監(jiān)管政策的不一致性也存在潛藏的風(fēng)險(xiǎn),而兩市場(chǎng)不同的準(zhǔn)入門檻也使不同類型的投資者面對(duì)著不公平的風(fēng)險(xiǎn)環(huán)境。本研究的內(nèi)容可以為市場(chǎng)監(jiān)管政策的改進(jìn)提供一定的參考,以期能盡快恢復(fù)股指期貨的正常交易,同時(shí)也可以為套利交易者的模型改進(jìn)提供新的思路,為投機(jī)交易者提供衡量風(fēng)險(xiǎn)的指標(biāo)。
[Abstract]:Stock index futures is the stock price index is the subject of the transaction is a kind of financial derivative products. Since 1980s in the United States since the birth of stock index futures has been developing rapidly in the world, has become the largest trading volume of the futures of.2010 in April 16th, Chinese also pushed out in Shanghai and Shenzhen 300 index as the underlying stock index futures at the launch of stock index futures can not only increase the new hedging tool for investors, improve the utilization rate of funds, but also help to further improve the structure of China's capital market, promote financial innovation, is of great significance for the healthy development of China's financial market. However, the stock index futures as a new derivatives, in China since the listing of more than five years has experienced a tortuous development process. Its birth, the stock market is in a bear market. By the introduction of stock index futures, which faces the volatility of the spot market, The market dropped the accusations. In a few years later, with the steady development of the market, the stock index futures hedging and speculation of the function is more and more valued by the investors, stock index futures trading volume increased rapidly at the beginning of 2015 has become the largest market in the world. But in June 2015 the sudden crash brought a heavy blow to the development the stock index futures. Many small investors blamed the stock index futures is short of the market. Arch-criminal regulators tightened stock index futures trading market rapidly shrinking, turnover fell by 99%. today, due to the lack of liquidity, stock index futures has basically lost speculation and hedging function. Chinese stock index futures in just a few years experience, the development process from immature to mature to almost sudden death. Due to the importance of stock index futures on stock market development, the China stock index futures market in Shenzhen In the study, to provide effective policy support is very important and urgent to restore its normal trading. Based on the mutual influence China stock index futures and stock markets and the information transmission as the research content, in-depth exploration of the mode and effect of the mutual influence between the two markets. The research on stock index futures market phase analysis and reveals the gradual changes in the relationship between the stock index futures in the process of its development and spot market. Through the Grainger test and multivariate GARCH model to investigate the relationship between lead and volatility spillovers between the two. The results show that the stock index futures in the mature stage has been able to effectively play the role of price discovery, leading role on the spot price volatility. The structure of the stock index futures and stock index were analyzed to reveal the difference of the internal structure of the two markets. This paper The proposed analytical model of new wave, the jump, short-term volatility and long-term volatility and other dynamic characteristics. The empirical results show that the model exists jump factors more futures market, and has short term volatility more spot market. The results with the China market price limit system analysis found that the price limit system has a different effect on the stable price of spot and futures market, is the main reason for this phenomenon. This study analyzes the relationship between the basis of dynamic process and the stability of market price factors, reveals the performance of futures market is affected by the factors of price stability in the spot market. This paper examines the dynamic relationship between the current period from the unique perspective of the basis, and puts forward the measure of the degree of integration is the price and price stability factors through the new index index. As the proxy variables to construct correlation test model. The empirical results show that the three variables of price stability factor is large, the volatility of the basis will be significantly reduced. The empirical results reveal the futures price for self adjustment according to the influence degree is still limited in spot price, futures price the volatility is more free, the price discovery ability. The study has proved that the stock index futures market China has been more mature, with strong price discovery ability. The market environment of the stock index futures before the stock market crash, regulatory policies generally have been relatively perfect. The research on the analysis of the current market volatility structure and basis also found that the inconsistency of regulatory policies in two markets also exist potential risks, and two different market access threshold also make different types of investors face the risk of unfair Environment, the contents of this study can provide some references for the improvement of market regulation policy, hoping to restore the normal trading of stock index futures as soon as possible, and also provide new ideas for the improvement of arbitrage traders, and provide indicators for speculators to measure risks.

【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2016
【分類號(hào)】：F832.51;F724.5

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