發(fā)布時(shí)間：2018-01-03 18:45

  本文關(guān)鍵詞：商品期貨與股指期貨價(jià)格發(fā)現(xiàn)功能的統(tǒng)計(jì)研究　出處：《山東大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 商品期貨 股指期貨 價(jià)格發(fā)現(xiàn)功能 協(xié)整性分析 Granger因果關(guān)系

【摘要】：期貨交易作為金融市場(chǎng)的重要交易模式,對(duì)經(jīng)濟(jì)發(fā)展、市場(chǎng)穩(wěn)定的貢獻(xiàn)不言而喻。首先興起的是以各類(lèi)農(nóng)牧產(chǎn)品,以及后來(lái)的金屬、橡膠、原油等工業(yè)用品為標(biāo)的物的商品期貨交易。它們主要起到了穩(wěn)定價(jià)格、規(guī)避風(fēng)險(xiǎn)、提升市場(chǎng)流動(dòng)性等積極作用。 進(jìn)入20世紀(jì)70年代,資本市場(chǎng)的蓬勃發(fā)展使得期貨交易的標(biāo)的物開(kāi)始向資本市場(chǎng)邁進(jìn),這帶來(lái)了股指期貨的誕生。股指期貨是以股票指數(shù)為標(biāo)的物的期貨產(chǎn)品,它具有期貨所具有的常規(guī)作用；同時(shí)與商品期貨不同的是,它也具有自己的特點(diǎn),包括采用現(xiàn)金差價(jià)結(jié)算的交割方式、受資本市場(chǎng)信息影響更大、風(fēng)險(xiǎn)來(lái)源更加多樣等。 無(wú)論是商品期貨還是股指期貨,它們的交易價(jià)格與各自標(biāo)的物的現(xiàn)貨交易價(jià)格之間的關(guān)系一直頗為引人關(guān)注。從期貨定價(jià)的無(wú)套利理論上來(lái)說(shuō),期貨價(jià)格會(huì)收斂于現(xiàn)貨價(jià)格。但在現(xiàn)實(shí)交易中,人們往往更關(guān)注的是期貨價(jià)格對(duì)于現(xiàn)貨價(jià)格是否具有影響意義。尤其是現(xiàn)在業(yè)界普遍認(rèn)為：期貨價(jià)格對(duì)相應(yīng)現(xiàn)貨價(jià)格具有價(jià)格發(fā)現(xiàn)功能,即期貨價(jià)格能夠?qū)ΜF(xiàn)貨價(jià)格產(chǎn)生因果效應(yīng)。針對(duì)這一觀點(diǎn),我希望在本文中能通過(guò)分別對(duì)商品期貨和股指期貨這兩大類(lèi)期貨的交易價(jià)格進(jìn)行統(tǒng)計(jì)實(shí)證分析來(lái)檢驗(yàn)這一觀點(diǎn)的準(zhǔn)確度和合理性。 本文共分為五個(gè)部分,核心思想是理論與實(shí)證結(jié)合,用理論指導(dǎo)實(shí)證分析,用實(shí)證分析支持理論。 第一部分,首先介紹了商品期貨與股指期貨的起源、發(fā)展、交易特點(diǎn)、區(qū)別等相關(guān)知識(shí)背景,并對(duì)指出了論文的研究方向——兩種期貨價(jià)格與相應(yīng)現(xiàn)貨價(jià)格之間關(guān)系的比較及分析。第二部分,簡(jiǎn)要介紹了過(guò)往相關(guān)領(lǐng)域一些文獻(xiàn)的研究成果,從側(cè)面對(duì)本文的研究意義進(jìn)行了說(shuō)明,并且也進(jìn)一步點(diǎn)出了本文的研究創(chuàng)新點(diǎn)所在——同時(shí)關(guān)注兩種重要期貨與對(duì)應(yīng)現(xiàn)貨價(jià)格之間的關(guān)系,并結(jié)合商品市場(chǎng)與資本市場(chǎng)的不同點(diǎn)來(lái)總結(jié)原因。第三部分,簡(jiǎn)要介紹論文所需要的相關(guān)方法理論,包括ADF單位根檢驗(yàn)、協(xié)整性分析、誤差修正模型以及Granger因果關(guān)系檢驗(yàn)等。第四部分,進(jìn)行實(shí)證分析。通過(guò)收集、整理相應(yīng)數(shù)據(jù),包括鄭州期貨交易所棉花期貨價(jià)格數(shù)據(jù)、中國(guó)棉花價(jià)格指數(shù)、滬深300股指期貨價(jià)格、滬深300價(jià)格指數(shù)等,運(yùn)用上述方法進(jìn)行分析后,得出兩種期貨價(jià)格與各自的現(xiàn)貨價(jià)格均具有協(xié)整性的結(jié)論,并給出了誤差修正模型。進(jìn)一步分析發(fā)現(xiàn)：鄭棉期貨對(duì)棉花現(xiàn)貨存在因果關(guān)系,而股指期貨對(duì)股指現(xiàn)貨不具有因果關(guān)系。第五部分,根據(jù)上文所得出的結(jié)論,并結(jié)合我國(guó)商品市場(chǎng)與資本市場(chǎng)的特點(diǎn),進(jìn)行結(jié)論分析和論文總結(jié),并對(duì)資本市場(chǎng)的相關(guān)參與者進(jìn)行更為理性的投資提供了一定的指導(dǎo)意見(jiàn)。
[Abstract]:Futures trading as an important trading model of financial markets, the contribution to economic development, market stability is self-evident. The first rise is a variety of agricultural and animal husbandry products, as well as later metal, rubber. Commodity futures trading in which crude oil and other industrial supplies are the subject matter. They mainly play a positive role in stabilizing prices, avoiding risks and enhancing market liquidity. In 1970s, with the vigorous development of capital market, the subject matter of futures trading began to move towards the capital market. This brings the birth of stock index futures. Stock index futures are futures products with stock index as the subject matter, which has the regular function of futures. At the same time, different from commodity futures, it also has its own characteristics, including the cash difference settlement method, more affected by the capital market information, more diverse sources of risk, and so on. Whether commodity futures or stock index futures, the relationship between their trading prices and the spot trading prices of their respective subject matter has attracted considerable attention. Futures prices converge to spot prices. But in real trading. People often pay more attention to whether futures price has influence on spot price, especially now the industry generally thinks that futures price has price discovery function to the corresponding spot price. That is, futures prices can have a causal effect on spot prices. In this paper, I hope to test the accuracy and reasonableness of this view by the statistical and empirical analysis of the trading prices of commodity futures and stock index futures. This paper is divided into five parts, the core idea is the combination of theory and practice, using theory to guide empirical analysis, empirical analysis to support the theory. The first part introduces the origin of commodity futures and stock index futures, development, trading characteristics, differences and other related knowledge background. And pointed out the research direction of the thesis-the relationship between the two futures prices and the corresponding spot prices. From the side of the significance of this study is explained, and further points out the innovative point of this study-at the same time concerned about the relationship between the two important futures and the corresponding spot price. Combined with the differences between the commodity market and the capital market to summarize the reasons. The third part briefly introduces the relevant method theory of the paper including ADF unit root test cointegration analysis. Error correction model and Granger causality test. Part 4th, empirical analysis. Through collection, collate the corresponding data, including Zhengzhou Futures Exchange cotton futures price data. China cotton price index, Shanghai and Shenzhen 300 stock index futures price, Shanghai and Shenzhen 300 price index, using the above methods to analyze the two futures prices and their spot prices are cointegrated conclusion. And gives the error correction model. Further analysis found: Zheng cotton futures have causality to cotton spot, but stock index futures have no causality to stock index spot. Part 5th, according to the conclusion reached above. Combined with the characteristics of China's commodity market and capital market, this paper makes a conclusion analysis and a summary, and provides some guidance for the relevant participants in the capital market to invest more rationally.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F724.5;F724.5

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本文編號(hào)：1375144