發(fā)布時(shí)間：2018-03-18 06:21

  本文選題：股指期貨　切入點(diǎn)：價(jià)格發(fā)現(xiàn)　出處：《安徽財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：股指期貨是重要的金融衍生品和規(guī)避風(fēng)險(xiǎn)的手段。價(jià)格發(fā)現(xiàn)功能是期貨市場(chǎng)的重要功能之一,它反映了期貨市場(chǎng)的有效性,故為眾多投資者、監(jiān)管者和研究者所關(guān)注。我國(guó)在2010年4月推出了滬深300股指期貨合約,立即吸引了大批投資者和眾多的資金。研究我國(guó)滬深300股指期貨市場(chǎng)的價(jià)格發(fā)現(xiàn)功能,能為我國(guó)投資者提供借鑒和為設(shè)計(jì)者提供改進(jìn)的政策建議。 本文首先闡釋了期貨市場(chǎng)的特點(diǎn)和其價(jià)格發(fā)現(xiàn)功能,再在股指期貨市場(chǎng)的特殊環(huán)境下討論其價(jià)格發(fā)現(xiàn)功能的形成原因和影響因素,并以滬深300股指期貨日收益率數(shù)據(jù)作為樣本進(jìn)行實(shí)證分析。在實(shí)證分析過程中,比較并擇優(yōu)選擇t-Copula函數(shù)建立了Copula-EGARCH-t模型,用來檢驗(yàn)期貨市場(chǎng)的波動(dòng)性溢出效應(yīng)以及現(xiàn)期兩市場(chǎng)間的各種相關(guān)關(guān)系特別是尾部相關(guān)性。實(shí)證結(jié)果表明,現(xiàn)貨收益率和期貨收益率之間有長(zhǎng)期的均衡關(guān)系,兩者的變化方向有很高的相關(guān)性并存在期貨市場(chǎng)向現(xiàn)貨市場(chǎng)的波動(dòng)性溢出,期貨市場(chǎng)收益率受到新信息沖擊后會(huì)很快地帶動(dòng)現(xiàn)貨市場(chǎng)收益率的變動(dòng)。通過對(duì)尾部相關(guān)性的分析,發(fā)現(xiàn)在股票市場(chǎng)發(fā)生較大波動(dòng)的情況下,兩者的相關(guān)關(guān)系會(huì)更大,期貨市場(chǎng)的波動(dòng)會(huì)更加容易蔓延到現(xiàn)貨市場(chǎng),此時(shí)期貨市場(chǎng)有更強(qiáng)的價(jià)格發(fā)現(xiàn)功能。 從實(shí)證結(jié)果可以看出,我國(guó)滬深300股指期貨對(duì)現(xiàn)貨指數(shù)有領(lǐng)漲領(lǐng)跌的作用,并且變動(dòng)趨勢(shì)更加明顯、波動(dòng)持續(xù)時(shí)間更長(zhǎng),較好地體現(xiàn)了價(jià)格發(fā)現(xiàn)功能。這是由于期貨交易的特點(diǎn)和股指期貨市場(chǎng)獨(dú)特的交易機(jī)制(如賣空和對(duì)沖機(jī)制)的設(shè)計(jì)而形成的。但現(xiàn)貨市場(chǎng)的真正價(jià)格依然不能得到有效地反映。因此在文章的最后,結(jié)合我國(guó)的國(guó)情和股指期貨發(fā)展實(shí)際,從完善法律、監(jiān)管體系和發(fā)展現(xiàn)貨市場(chǎng)等方面提出了一系列的建議。
[Abstract]:Stock index futures are important financial derivatives and means of avoiding risks. Price discovery is one of the important functions of futures market, which reflects the effectiveness of futures market, so it is for many investors. In April 2010, China launched the CSI 300 Stock Index Futures contract, which immediately attracted a large number of investors and a large number of funds. The price discovery function of China's CSI 300 Stock Index Futures Market was studied. For our investors to provide reference and designers to provide policy recommendations for improvement. This paper first explains the characteristics of the futures market and its price discovery function, and then discusses the forming reasons and influencing factors of the price discovery function in the special environment of the stock index futures market. In the process of empirical analysis, Copula-EGARCH-t model is established by comparing and selecting t-Copula function. It is used to test the volatility spillover effect of futures market and all kinds of correlation between the current market and the futures market, especially the tail correlation. The empirical results show that there is a long-term equilibrium relationship between spot yield and futures yield. There is a high correlation between the direction of the two changes and the volatility spillover from the futures market to the spot market. After the rate of return of the futures market is impacted by the new information, it will quickly lead to the change of the return rate of the spot market. It is found that when the stock market fluctuates greatly, the correlation between the two will be greater, and the volatility of the futures market will spread to the spot market more easily. At this time, the futures market has a stronger price discovery function. From the empirical results, we can see that the Shanghai and Shenzhen 300 stock index futures have a leading role in leading the rise and fall of the spot index, and the trend of change is more obvious, and the volatility lasts longer. This is due to the characteristics of futures trading and the design of unique trading mechanisms (such as short selling and hedging) in the stock index futures market. However, the real price in the spot market is still not available. Is effectively reflected. So at the end of the article, Based on the situation of our country and the development of stock index futures, this paper puts forward a series of suggestions from the aspects of perfecting the law, supervising system and developing spot market.
【學(xué)位授予單位】：安徽財(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)】：F832.51;F224

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