本文選題：股指期貨　切入點：價格發(fā)現(xiàn)　出處：《浙江工商大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：從國外成熟股指期貨市場的運行情況來看,期貨市場的開設(shè)可以在價格和資金流向等多個方面影響股票市場。由于我國滬深300股指期貨是在2010年推出的,時間不長,期貨市場和現(xiàn)貨市場之間的信息傳遞關(guān)系還不是很明確,所以本論文從價格引導(dǎo)和波動溢出效應(yīng)兩個方面作了實證研究。 從國外已有的研究成果可以看出,對于國外成熟的股指期貨市場,絕大部分的研究結(jié)果表明期貨市場是價格發(fā)現(xiàn)的主要力量,期現(xiàn)貨市場間存在相互的波動溢出效應(yīng)。滬深300股指期貨推出以前,我國不少學(xué)者采用了仿真交易數(shù)據(jù)進(jìn)行研究,結(jié)果發(fā)現(xiàn)現(xiàn)貨市場在價格發(fā)現(xiàn)中居于主導(dǎo)地位。在滬深300股指期貨推出以后,雖然國內(nèi)學(xué)者也作了一些研究,但是這些研究主要集中在價格的引導(dǎo)關(guān)系上。在總結(jié)國內(nèi)和國外文獻(xiàn)的基礎(chǔ)上,本論文使用五分鐘的高頻數(shù)據(jù)研究了滬深300股指期貨市場和現(xiàn)貨市場間的價格引導(dǎo)關(guān)系和波動溢出效應(yīng),同時也檢驗了股指期貨市場的價格發(fā)現(xiàn)能力。對于價格引導(dǎo)關(guān)系,在定性方面采用協(xié)整分析、向量誤差修正模型、脈沖響應(yīng)函數(shù)和方差分解分析；在定量方面則采用信息份額模型和公共因子模型；在波動溢出方面,由于DCC-MGARCH模型僅能得到波動率間的相關(guān)系數(shù),不能具體分析市場間的波動溢出效應(yīng),因此采用基于t分布的BEKK-MGARCH模型來研究股指期現(xiàn)貨市場間的波動溢出效應(yīng)。 研究結(jié)果表明現(xiàn)階段我國的股指期貨市場具備良好的價格發(fā)現(xiàn)能力,期貨市場對新信息的反應(yīng)速度要快于現(xiàn)貨市場而且期現(xiàn)貨市場間存在相互的波動溢出效應(yīng)。本論文在對研究結(jié)論進(jìn)行總結(jié)之后,又具體分析了期貨價格領(lǐng)先現(xiàn)貨價格的原因,從產(chǎn)品設(shè)計差異、交易機(jī)制的不同和投資者結(jié)構(gòu)的差異三個方面做了分析。
[Abstract]:Judging from the operation of the mature stock index futures market abroad, the opening of the futures market can affect the stock market in many aspects, such as the price and the capital flow. The information transfer relationship between futures market and spot market is not clear, so this paper makes an empirical study from two aspects: price guidance and volatility spillover effect. As can be seen from the existing research results abroad, for the mature stock index futures market abroad, most of the research results show that the futures market is the main force of price discovery. There are mutual volatility spillover effects between futures market. Before the introduction of CSI 300 stock index futures, many Chinese scholars used simulated trading data to study it. The results show that the spot market plays a leading role in price discovery. After the launch of the Shanghai and Shenzhen 300 stock index futures, although domestic scholars have also done some research, However, these studies mainly focus on the leading relationship of price. On the basis of summing up domestic and foreign literature, This paper studies the price-leading relationship and volatility spillover effect between CSI 300 stock index futures market and spot market using five-minute high frequency data, and also tests the price discovery ability of stock index futures market. In qualitative aspect, cointegration analysis, vector error correction model, impulse response function and variance decomposition analysis are used. In quantitative aspect, information share model and common factor model are used. Because the DCC-MGARCH model can only get the correlation coefficient between volatility and can not analyze the volatility spillover effect among markets, the BEKK-MGARCH model based on t distribution is used to study the volatility spillover effect in the spot market of stock index period. The results show that China's stock index futures market has a good price discovery ability. The reaction speed of futures market to new information is faster than that of spot market and there are mutual volatility spillover effects between futures market and spot market. The differences of product design, trading mechanism and investor structure are analyzed.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51

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本文編號：1592861