本文選題：股指期貨 + 滬深300指數(shù)��； 參考：《西南財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：每一個(gè)完善、成熟的市場(chǎng)都是由眾多的投資主體、豐富的產(chǎn)品和嚴(yán)格的市場(chǎng)制度組成的,資本市場(chǎng)也不例外。一個(gè)成熟的資本市場(chǎng)要求其有眾多的充滿活力的投資主體、健康完善的金融產(chǎn)品體系和完整、細(xì)化、嚴(yán)格的市場(chǎng)制度。審視我國(guó)的資本市場(chǎng),雖然自改革開(kāi)放以來(lái)已經(jīng)實(shí)現(xiàn)了飛速的發(fā)展,具有比較豐富的金融產(chǎn)品,但是距離成為一個(gè)成熟、完善的資本市場(chǎng)還有不短的距離。我國(guó)的資本市場(chǎng)是一個(gè)單邊的市場(chǎng),我們的股票市場(chǎng)沒(méi)有做空機(jī)制,沒(méi)有一個(gè)行之有效的辦法來(lái)用來(lái)對(duì)付市場(chǎng)的系統(tǒng)風(fēng)險(xiǎn)。當(dāng)面臨著股票市場(chǎng)的大漲大跌的時(shí)候,所有投資者所能做的只是在現(xiàn)貨市場(chǎng)上進(jìn)行拋售或者買進(jìn),而這樣又進(jìn)一步惡性循環(huán)的造成了股市更大的波動(dòng)。針對(duì)這樣的市場(chǎng)現(xiàn)狀,推出股指期貨是必然的發(fā)展趨勢(shì)。 股指期貨,全稱為股票價(jià)格指數(shù)期貨,從名稱便可以看出是以股票價(jià)格指數(shù)為標(biāo)的資產(chǎn)的期貨,是一種金融衍生產(chǎn)品。股指期貨是資本市場(chǎng)發(fā)展到定階段股票市場(chǎng)與期貨市場(chǎng)結(jié)合而來(lái)的產(chǎn)物,是一種新型的金融衍生產(chǎn)品,自1982年世界上第一只股指期貨——價(jià)值線指數(shù)期貨在美國(guó)堪薩斯期貨交易所誕生以來(lái),不過(guò)短短三十年的發(fā)展歷程,可是它在資本市場(chǎng)上卻有著重要的地位。這是由于股指期貨本身的特點(diǎn)使其具有穩(wěn)定市場(chǎng)、防止市場(chǎng)大幅波動(dòng)的作用。隨著金融市場(chǎng)的發(fā)展、金融產(chǎn)品的豐富,影響市場(chǎng)的不確定因素也越來(lái)越多,這就使得股指期貨這樣可以充當(dāng)市場(chǎng)穩(wěn)定劑的金融產(chǎn)品成了現(xiàn)代金融市場(chǎng)不可或缺的重要組成部分。 具體來(lái)說(shuō),股指期貨交易是以標(biāo)準(zhǔn)的股指期貨合約為載體進(jìn)行的。股指期貨合約是由交易所指定的以某一種股票價(jià)格指數(shù)作為標(biāo)的物的標(biāo)準(zhǔn)化期貨合約。合約詳細(xì)的規(guī)定了標(biāo)的指數(shù)的種類、合約乘數(shù)、保證金比例、到期時(shí)問(wèn)、交割方式、結(jié)算方法等等一系列具體的交易規(guī)則。交易者根據(jù)期貨合約的規(guī)定,在約定的時(shí)間按照約定的價(jià)格對(duì)標(biāo)的物進(jìn)行買賣交割,而一般來(lái)說(shuō)由于其標(biāo)的物為股票指數(shù),無(wú)法實(shí)現(xiàn)實(shí)物交割,所以買賣雙方就以現(xiàn)金來(lái)補(bǔ)足買賣價(jià)差以完成交易。 股票市場(chǎng)的風(fēng)險(xiǎn)分為兩大類,即非系統(tǒng)風(fēng)險(xiǎn)和系統(tǒng)風(fēng)險(xiǎn)。非系統(tǒng)風(fēng)險(xiǎn)又稱為非市場(chǎng)風(fēng)險(xiǎn)或可分散風(fēng)險(xiǎn)。從其名稱便可以知道這種風(fēng)險(xiǎn)是可以分散的,具體做法是通過(guò)投資組合的方式來(lái)分散風(fēng)險(xiǎn),雖然不能完全消除但是通過(guò)精確的計(jì)算可以降到最低。與之相反的,系統(tǒng)風(fēng)險(xiǎn)又稱為市場(chǎng)風(fēng)險(xiǎn)或不可分散風(fēng)險(xiǎn)。這種風(fēng)險(xiǎn)是由于市場(chǎng)上某些因素的變化而導(dǎo)致整個(gè)股市所有的股票面臨的風(fēng)險(xiǎn)。導(dǎo)致系統(tǒng)風(fēng)險(xiǎn)的因素不在上市公司內(nèi)部,上市公司本身對(duì)其不具有控制性,因此系統(tǒng)風(fēng)險(xiǎn)是造成股市大幅波動(dòng)的元兇。 股指期貨具有穩(wěn)定股票現(xiàn)貨市場(chǎng)作用主要就體現(xiàn)在交易者通過(guò)在股指期貨市場(chǎng)上的交易行為可以將股票市場(chǎng)上原本不能夠消除的系統(tǒng)風(fēng)險(xiǎn)轉(zhuǎn)移。具體做法是那些持有股票現(xiàn)貨但卻厭惡風(fēng)險(xiǎn)的交易者可以通過(guò)做空股指期貨合約進(jìn)行套期保值；同樣那些在未來(lái)需要買入股票現(xiàn)貨卻厭惡風(fēng)險(xiǎn)的交易者可以做多股指期貨合約進(jìn)行套期保值。而股指期貨的價(jià)格發(fā)現(xiàn)功能是使股指期貨的套期保值、穩(wěn)定股票市場(chǎng)、合理配置資本等諸多作用能夠順利完成的基礎(chǔ)條件。股指期貨對(duì)于金融市場(chǎng)的所有積極作用都是依托于價(jià)格發(fā)現(xiàn)功能而完成的,所以說(shuō)價(jià)格發(fā)現(xiàn)功能是股指期貨最基本的功能。因此對(duì)于“股指期貨具有價(jià)格發(fā)現(xiàn)功能”這一命題的真?zhèn)尉途哂挟惓Ｖ匾囊饬x,自股指期貨誕生以來(lái)關(guān)于此問(wèn)題的爭(zhēng)論就沒(méi)有停止過(guò)。從上世紀(jì)八十年代股指期貨問(wèn)世以后眾多經(jīng)濟(jì)學(xué)家們就針對(duì)其價(jià)格發(fā)現(xiàn)功能做了大量的實(shí)證和理論分析,但是由于所選樣本的差別、市場(chǎng)所處宏觀經(jīng)濟(jì)環(huán)境迥異等等因素,造成論證結(jié)果也不盡相同。對(duì)于股指期貨是否具有價(jià)格發(fā)現(xiàn)功能的觀點(diǎn)大致分為三類：肯定、否定和無(wú)法確定。 其實(shí)對(duì)于股指期貨是否具有價(jià)格發(fā)現(xiàn)功能的論證即證明股指期貨的價(jià)格是否領(lǐng)先于價(jià)格發(fā)現(xiàn)功能,或者換種說(shuō)法便是股指期貨價(jià)格是否為指數(shù)現(xiàn)貨價(jià)格的原因。要驗(yàn)證哪種觀點(diǎn)是正確的需要選取合適的樣本數(shù)據(jù)來(lái)對(duì)其進(jìn)行實(shí)證分析,便會(huì)得到一個(gè)確定的結(jié)果來(lái)驗(yàn)證在所選樣本所在的股指期貨市場(chǎng)內(nèi)該股指期貨是或者不是具有價(jià)格發(fā)現(xiàn)功能的。本文便是選取我國(guó)的滬深300股指期貨價(jià)格和指數(shù)現(xiàn)貨價(jià)格作為樣本數(shù)據(jù)對(duì)股指期貨是否具有價(jià)格發(fā)現(xiàn)功能進(jìn)行實(shí)證分析。 我國(guó)滬深300指數(shù)是由中證指數(shù)有限公司編制和維護(hù)的,以滬深股市中規(guī)模大、流動(dòng)性好的300只A股作為成分股,基期為2004年12月31日,基點(diǎn)為1000點(diǎn),運(yùn)用派許加權(quán)綜合價(jià)格指數(shù)公式進(jìn)行計(jì)算。其選取的成分股覆蓋范圍廣、代表性強(qiáng),已經(jīng)成為衡量我國(guó)股市發(fā)展?fàn)顩r的風(fēng)向標(biāo),因此滬深300指數(shù)很適合作為股指期貨的標(biāo)的物。我國(guó)的滬深300股指期貨便是以滬深300指數(shù)為標(biāo)的的股指期貨,于2010年4月16日在中國(guó)金融期貨交易所掛牌上市,到今天已經(jīng)運(yùn)行了近兩年的時(shí)間,市場(chǎng)交易活躍、運(yùn)行情況穩(wěn)定。 本文選取我國(guó)的滬深300股指期貨作為研究對(duì)象具有特殊的意義。首先,滬深300股指期貨是我國(guó)內(nèi)地本土誕生的第一只股指期貨,從孕育到正式掛牌上市經(jīng)歷了近二十年的曲折歷程。滬深300股指期貨作為我國(guó)內(nèi)地首只股指期貨肩負(fù)著穩(wěn)定我國(guó)股票市場(chǎng)、為廣大投資者提供套期保值的平臺(tái)、完善資本市場(chǎng)等等重要職責(zé)。但是由于我國(guó)社會(huì)形態(tài)不同于西方國(guó)家、經(jīng)濟(jì)發(fā)展歷史具有自身特色,因此股指期貨在我國(guó)資本市場(chǎng)中是否能達(dá)到預(yù)期的積極作用和效果、是否能成為我國(guó)未來(lái)的資本市場(chǎng)定價(jià)中心有待驗(yàn)證,這就需要針對(duì)我國(guó)的滬深股指期貨數(shù)據(jù)進(jìn)行分析和研究。而股指期貨的眾多功能中最基礎(chǔ)的功能便是其價(jià)格發(fā)現(xiàn)功能,股指期貨所具有的套期保值、風(fēng)險(xiǎn)轉(zhuǎn)移、資產(chǎn)配置等一系列功能都是以價(jià)格發(fā)現(xiàn)功能為基礎(chǔ)的。因此在我國(guó)“股指期貨具有價(jià)格發(fā)現(xiàn)功能”這一命題的真?zhèn)尉途哂蟹欠驳囊饬x,需要以我國(guó)本土的股指期貨交易的真實(shí)數(shù)據(jù)進(jìn)行實(shí)證分析驗(yàn)證我國(guó)的股指期貨是否具有價(jià)格發(fā)現(xiàn)功能。 本文以我國(guó)滬深300股指期貨與指數(shù)現(xiàn)貨2010年4月16日到2010年11月30日和2010年12月1日到2011年12月30日價(jià)格的日數(shù)據(jù)、2011年6月8日到2011年12月30日價(jià)格的30分鐘頻率數(shù)據(jù)、2011年6月8日到2011年7月29日的5分鐘步長(zhǎng)的高頻數(shù)據(jù)四組樣本進(jìn)行實(shí)證分析。之所以選取這四組樣本數(shù)據(jù)的目的在于通過(guò)第一組和第二組不同時(shí)間區(qū)間數(shù)據(jù)分析結(jié)果的對(duì)比、第二、三、四組不同時(shí)間頻率數(shù)據(jù)的分析結(jié)果對(duì)比得到較為全面的結(jié)論。 本文的內(nèi)容結(jié)構(gòu)大致分為：首先對(duì)相關(guān)名詞進(jìn)行解釋,如期貨市場(chǎng)、股票指數(shù)、股指期貨等定義的介紹；然后針對(duì)股指期貨介紹世界股指期貨的發(fā)展歷史與我國(guó)的滬深300股指期貨的現(xiàn)狀介紹；第三對(duì)本文進(jìn)行實(shí)證分析將要用到的檢驗(yàn)方法和計(jì)量模型進(jìn)行簡(jiǎn)單介紹；然后是本文最重要的部分——實(shí)證部分。本文的實(shí)證分析部分的主要步驟為：(1)對(duì)收集到的原始數(shù)據(jù)進(jìn)行初步的描述性分析,使我們對(duì)數(shù)據(jù)有認(rèn)知性的了解,再對(duì)其進(jìn)行進(jìn)一步的檢驗(yàn)分析；(2)對(duì)經(jīng)初步處理得到的樣本數(shù)據(jù)進(jìn)行檢驗(yàn)分析,最先的檢驗(yàn)分析是單位根檢驗(yàn),通過(guò)檢驗(yàn)結(jié)果來(lái)確定時(shí)間序列是否具有平穩(wěn)性,如果序列數(shù)據(jù)是不平穩(wěn)的則對(duì)其進(jìn)行差分處理直到其具有平穩(wěn)性為止；(3)再對(duì)兩組時(shí)間序列進(jìn)行協(xié)整檢驗(yàn)來(lái)判斷二者之間是否存在長(zhǎng)期的穩(wěn)定狀態(tài)(即協(xié)整關(guān)系),若存在協(xié)整關(guān)系,則再在協(xié)整檢驗(yàn)的基礎(chǔ)上建立誤差修正模型來(lái)準(zhǔn)確描述在短期內(nèi)兩組時(shí)間序列是如何相互影響以達(dá)到長(zhǎng)期穩(wěn)定關(guān)系的；(4)對(duì)平穩(wěn)的兩組時(shí)間序列或其平穩(wěn)的差分序列進(jìn)行Granger因果檢驗(yàn)得到它們誰(shuí)是原因誰(shuí)是結(jié)果的結(jié)論。在完成了實(shí)證分析部分之后是本文的第五部分,也就是最后一部分,對(duì)實(shí)證分析的結(jié)果進(jìn)行分析,結(jié)合我國(guó)金融市場(chǎng)實(shí)際情況探究造成此實(shí)證分析結(jié)果的原因。
[Abstract]:Every perfect and mature market is made up of a large number of investors, rich products and a strict market system, and the capital market is no exception. A mature capital market requires a large number of energetic investment bodies, a healthy and perfect financial product system and a complete, detailed and strict market system. Although the capital market has achieved rapid development since the reform and opening up, it has a relatively rich financial product, but it has no short distance to become a mature and perfect capital market. The capital market of our country is a unilateral market. Our stock market has no short mechanism, and there is no effective method. To deal with the systemic risk of the market. When the stock market is in a big drop, all the investors can do just to sell or buy in the spot market, and the further vicious cycle has caused a greater volatility in the stock market.
Stock index futures, all known as stock price index futures, can be seen from the name of the stock price index as the underlying asset futures, is a financial derivative product. Stock index futures is the product of the development of the capital market to the fixed phase of the stock market and the futures market, is a new type of financial derivatives, from the 1982 World. The first stock index futures, since the birth of the value line index futures in the Kansas futures exchange of the United States, is only thirty years of development, but it has an important position in the capital market. This is due to the characteristics of the stock index futures itself, which has the effect of stabilizing the market and preventing the large fluctuation of the market. The development, the wealth of financial products, and more and more uncertainties affecting the market, which makes the stock index futures as a market stabilizer, has become an indispensable part of the modern financial market.
Specifically, the stock index futures transaction is carried out by the standard stock index futures contract. The stock index futures contract is a standardized futures contract designated by the exchange with a stock price index as the target. The contract specifies the categories of the index, the number of contracts, the margin ratio, the expiration time, the way of delivery, and the conclusion of the contract. A series of specific rules of transaction, such as the method of calculation, and so on. According to the stipulations of the futures contract, the trader is able to deliver the sale at the agreed time to the subject matter at the agreed price, and generally, because its target is the stock index, it can not achieve the physical delivery, so the buyer and seller will make up the sale spread by cash to complete the transaction.
The risk of the stock market is divided into two categories, namely, non system risk and system risk. Non system risk is also known as non market risk or dispersible risk. From its name, it can be known that the risk can be dispersed, and the concrete practice is to disperse the risk through the way of portfolio, although it can not be completely eliminated but through accurate calculation. In contrast, the system risk is also known as the market risk or the non dispersive risk. This risk is due to the changes in the market factors that lead to the risk of all stocks in the stock market. The factors that cause the system risk are not within the listed company, and the listed company itself is not controlled by the listed company itself, so the system is not in its own control. Risk is the culprit in the stock market.
Stock index futures have the effect of stabilizing stock spot market, which is mainly reflected in the system risk transfer that can not be eliminated in the stock market by trading behavior in stock index futures market. Hedging; the same traders who need to buy stock in the future but disgust risk can make multiple stock index futures contracts for hedging. The price discovery function of stock index futures is the basic condition that can make the stock index futures hedging, the stock market, the rational allocation of capital and so on. All the positive effects of futures on the financial market are based on the price discovery function. Therefore, the price discovery function is the most basic function of the stock index futures. Therefore, the authenticity of the proposition of "the price discovery function" of "stock index futures" is of great significance. Since the stock index futures came out in 80s of last century, many economists have done a lot of empirical and theoretical analysis on its price discovery function, but the results are not the same because of the difference in the selected samples and the macro economic environment in the market. Whether the goods have the function of price discovery can be roughly divided into three categories: affirmation, negation and uncertainty.
In fact, whether the stock index futures have the price discovery function proves whether the price of the stock index futures is ahead of the price discovery function, or whether the stock index futures price is the reason for the index spot price. We will get a definite result to verify that the stock index futures in the stock index futures market where the selected samples are located is or does not have the function of price discovery. This article is to choose our country's Shanghai and Shenzhen 300 stock index futures price and the index spot price as sample data to make an empirical analysis of the price discovery function of the stock index period goods. Analysis.
The Shanghai and Shenzhen 300 index is compiled and maintained by the China Securities Index Co. The 300 A shares in the Shanghai and Shenzhen stock market are large in scale and good in liquidity. The base period is December 31, 2004 and the base point is 1000. In order to measure the vane of the development of China's stock market, the Shanghai and Shenzhen 300 index is very suitable as the target of the stock index futures. The Shanghai and Shenzhen 300 stock index futures are the stock index futures with the Shanghai and Shenzhen 300 index as the standard. In April 16, 2010, the Shanghai and Shenzhen stock index futures were listed on the Chinese financial futures exchange, and the market has been running for nearly two years. The transaction is active and the operation is stable.
This paper selects the Shanghai and Shenzhen 300 stock index futures as the research object. First, the Shanghai and Shenzhen 300 stock index futures are the first stock index futures in the mainland of our country. The stock index futures of Shanghai and Shenzhen stock index futures have undergone a zigzag course for nearly twenty years. The Shanghai and Shenzhen 300 stock index futures are the first stock index futures in the mainland of China. The stock market of our country provides the platform of hedging for the majority of investors and consummate the important responsibilities of the capital market. However, because the social form is different from the western countries, the history of economic development has its own characteristics, so whether the stock index futures can achieve the expected positive effect and effect in the capital market of our country and whether it can be made or not. China's future capital market pricing center needs to be verified, which requires analysis and Research on the Shanghai and Shenzhen stock index futures data in China. The most basic function of the stock index futures is its price discovery function, the hedging of the stock index futures, the risk transfer, the asset allocation and so on is the price of the stock index futures. The authenticity of the proposition that the stock index futures have the price discovery function is of great significance. It is necessary to make an empirical analysis of the real data of the stock index futures trading in our country to verify whether the stock index futures of our country have the function of price occurrence.
In this paper, we take the daily data of the Shanghai and Shenzhen 300 stock index futures and the index spot from April 16, 2010 to November 30, 2010 and December 1, 2010 to December 30, 2011, the 30 minute frequency data of June 8, 2011 to December 30, 2011, four groups of high-frequency data from June 8, 2011 to 5 minutes. The purpose of the four sets of sample data is to compare the results of data analysis between the first and second groups of different time intervals, and to compare the results of the second, third, four groups of different time frequency data to get a more comprehensive conclusion.
The content structure of this article is divided into the following: first, explain the relevant nouns, such as the introduction of futures market, stock index, stock index futures and so on; then, introduce the development history of the stock index futures and the present situation of China's Shanghai and Shenzhen 300 stock index futures for stock index futures; third the empirical analysis will be used in this paper. The main part of this paper is the most important part of this paper. The main steps of the empirical analysis are: (1) a preliminary descriptive analysis of the collected raw data so that we have a cognitive understanding of the data and further analysis of the data; (2) to the classics The initial analysis of the sample data is tested and analyzed. The first test analysis is the unit root test. The test results are used to determine whether the time series is stable. If the sequence data is unstable, the difference processing is carried out until it has the stability. (3) then the two sets of time series are cointegration test. Whether there is a long-term stable state (i.e. cointegration) between the two broken ones, if there is cointegration relationship, then the error correction model is established on the basis of cointegration test to accurately describe how the two groups of time series are affected to achieve long-term stability in the short term. (4) the stationary two groups of time series or the stationary difference of their difference. The sequence carries on the Granger causality test to get them who is the reason who is the conclusion of the result. After the completion of the empirical analysis part, the fifth part of this paper is the last part, the results of the empirical analysis are analyzed, and the reasons for the results of the empirical analysis are explored in combination with the actual situation of the financial market in China.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.5;F224

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