本文關(guān)鍵詞：上證50期貨和ETF關(guān)系的實(shí)證研究　出處：《深圳大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 上證50期貨 上證50ETF 波動(dòng)溢出 價(jià)格發(fā)現(xiàn) 套保

【摘要】：上證50ETF于2005-02-23上市,上證50期貨于2015-4-16上市,這是繼滬深300之后.又一只同時(shí)擁有期貨和ETF的指數(shù)。研究同標(biāo)的衍生品價(jià)格發(fā)現(xiàn)、套保與波動(dòng)溢出,可以找出它們之間的信息流動(dòng)與作用機(jī)制、提升對(duì)于價(jià)格發(fā)現(xiàn)理論和套保理論的認(rèn)知水平、深化對(duì)于二者之間作用機(jī)制的理解,以幫助相關(guān)部門更有效地監(jiān)管市場(chǎng),以及宏觀調(diào)控,也能給市場(chǎng)投資者提供一定的幫助,研究?jī)r(jià)格發(fā)現(xiàn)、套保與波動(dòng)溢出,可以為套保、套利等決策提供指導(dǎo)。從市場(chǎng)參與者的角度看,市場(chǎng)聯(lián)動(dòng)的有效運(yùn)行、以及合適的套保策略選擇,對(duì)資產(chǎn)保值增值和有效的風(fēng)險(xiǎn)控制都極為重要。本文以2015-04-16至2016-05-17所有交易日、上證50期貨及上證50ETF的1min高頻價(jià)格序列為研究樣本。從波動(dòng)溢出、價(jià)格發(fā)現(xiàn)與套保三個(gè)方面,對(duì)上證50期貨及上證50ETF之間的關(guān)系進(jìn)行了研究,研究發(fā)現(xiàn):從波動(dòng)溢出來(lái)看,上證50期貨及上證50ETF之間存在雙向波動(dòng)溢出,說(shuō)明二者之間存在通暢的信息交流通道;從價(jià)格發(fā)現(xiàn)來(lái)看,期貨在價(jià)格發(fā)現(xiàn)方面的貢獻(xiàn)度能夠達(dá)到71.95%,而上證50ETF在價(jià)格發(fā)現(xiàn)方面的貢獻(xiàn)度僅能達(dá)到28.05%,上證50期貨在價(jià)格發(fā)現(xiàn)上具有相對(duì)優(yōu)勢(shì);從套期保值來(lái)看,無(wú)論采用哪種套保模型,效率總是維持在37%至38%之間,說(shuō)明借助上證50期貨可以規(guī)避掉上證50ETF風(fēng)險(xiǎn)的37%至38%,上證50期貨已經(jīng)具備了一定的套期保值作用。最后,論文從創(chuàng)新、法律、宣傳和技術(shù)等方面提出了相關(guān)政策建議。
[Abstract]:Shanghai 50 ETF listed in 2005-02-23, Shanghai 50 futures listed in 2015-4-16. This is another index with both futures and ETF after Shanghai and Shenzhen 300. By studying the price of derivatives with the same target, we find that hedging and volatility spillover can find out the mechanism of information flow and action between them. Improve the understanding of price discovery theory and hedging theory, deepen the understanding of the mechanism between the two, in order to help the relevant departments to monitor the market more effectively, as well as macro-control. It can also provide some help to market investors, research price discovery, arbitrage and volatility spillover, can provide guidance for arbitrage, arbitrage and other decisions. From the perspective of market participants, the effective operation of market linkage. As well as the appropriate hedging strategy choice is extremely important for asset maintenance and appreciation and effective risk control. This paper takes 2015-04-16 to 2016-05-17 all trading days. The 1min high frequency price sequence of Shanghai Stock Exchange 50 futures and Shanghai 50 ETF is the research sample from three aspects: volatility spillover, price discovery and hedging. The relationship between Shanghai 50 futures and Shanghai 50 ETF is studied. The results show that there is two-way volatility spillover between Shanghai 50 futures and Shanghai 50 ETF. It shows that there is an unobstructed channel of information exchange between them. From the perspective of price discovery, futures can contribute 71.95% to price discovery, while Shanghai 50 ETF can contribute only 28.05% to price discovery. Shanghai Stock Exchange 50 futures have a comparative advantage in price discovery; From the point of view of hedging, no matter what kind of hedging model, the efficiency is always between 37% and 38%, indicating that with the help of Shanghai Stock Exchange 50 futures can avoid the risk of Shanghai 50 ETF 37% to 38%. Finally, the paper puts forward some policy suggestions from the aspects of innovation, law, publicity and technology.
【學(xué)位授予單位】：深圳大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F724.5

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