外部多空事件对股指现货与期货间价格关联性影响与实证研究
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摘要
近年来中国在全球经济发展中已扮演相当重要的火车头角色。不过,在世界衍生性商品市场发展上,成长步调仍相对的较慢,故具有相当大的成长潜力与空间。在衍生性金融市场中的期货商品,由于其具有投机、避险、套利及价格发现等重要的市场交易功能,故在衍生性金融商品发展过程中扮演了相当重要的角色。若从全球成熟市场期货商品发展的经验来看,金融期货的规模远远大于商品期货,通常金融期货和商品期货的比例应该在9比1。根据2012年美国期货业协会(FIA)的最新统计,商品类衍生品交易量占全球衍生品交易量的比重仅为14.4%,金融期货和期权交易量所占比重达到84.5%。综由上述,显见全球衍生性商品市场发展中,金融期货扮演着非常重要的角色,这也是中国衍生性商品市场中,最具成长潜力的商品。而其中属于金融期货商品的股指期货成交规模与成交额往往超过整体期货市场的一半以上。这也就是本文以股指期货作为本文研究主题的主要原因。
中国金融期货商品发展,自2010年4月16日推出第一支股指期货商品-沪深300股指期货以来。在2012年全球股指期货交易量排名中,沪深300股指期货已居于第5位。由此可见,中国股指期货的发展潜力与日俱增。对于市场投资人若要能灵活运用期货之投机、避险、套利及价格发现等重要功能。势必需要了解其基本的价格关系,因此本研究将从期货与现货的价格关系出发,了解期、现货间的价格发现功能,并进一步针对期、现货间套利交易进行分析研究。
不过,近年来从全球次贷风暴到后续各国政府释放货币宽松等利多,国际重大利空与利多事件发生频率日增。也由于金融全球化、自由化的发展和交易技术的提高,国内外金融市场间信息传递速度大大加快,传导渠道亦日渐增多。此外部市场因素部分对于期、现货间信息传递关系造成相当的冲击,亦对期、现货间价差关系、套利策略与绩效产生一定的影响。由近年的研究分析报告中,发现对此部分的相关研究着墨相对较少,也希望未来能带动更多研究者持续透过两岸三地的期货市场的研究分析,为中国期货市场健全发展提供更多参考与贡献。这是触发本论文撰写的主要研究动机。
综合上述,由于中国推出第一支股指期货商品的时间稍晚,并未经历上述全球重大利空与利多事件的洗礼与考验。但是台湾地区与香港地区的股指期货因成立时间较早,已经历过全球重大利空与利多事件的冲击与影响。故本研究以台湾地区、香港地区等市场为例,透过观察次级房贷金融海啸重大事件以及全球政府实施QE利多等时期。观察两区域的股指现货与期货间价格关联性(领先、落后、回馈、协整等关系)与相关套利策略应用是否受到影响。作为未来中国期货市场面对类似事件时,推估可能会造成的影响冲击,并提前拟定投资政策与策略因应。
本文研究期间乃自2004年1月1日至2012年7月31日止,涵盖了金融次贷利空前、中、后与美国QE利多期间等事件的交易日,选取各交易日内期货与现货每5分钟的资料作为观察值,并以其收益率作为主要变量。在研究方法部分,采用实证描述与规范分析相结合的研究方法,综合运用理论分析、实证说明和技术模型等手段。首先,综述前人的研究成果,对不同地区期货市场、期货与现货价格关联性的定义、形成机理、理论解释以及研究视角进行归纳和总结。基于市场整合理论着重从市场信息传递等角度分析两岸三地个别之股指期货、现货市场的价格关联性。
其次,以实际价格数据为依据,并按照市场多、空事件的不同时期进行区隔实证,应用关联性分析、格兰杰因果检验、误差修正模型、脉冲响应和方差分解,分析在市场多、空事件期间影响下,对台湾与香港地区股指期货与现货价格之间的信息、传递效应和引导关系的冲击。同时亦观察多、空事件对台湾地区股指期货与现货间,价差套利关系变化与交易策略的影响。在综合以上理论和实证分析的基础上,结合台、港地区期货市场发展的实际经验,对中国期货市场的发展战略和思路上提出相关的政策建议。
透过本研究得出以下之结论：
一、在ADF单根检定之下,发现在台湾地区、香港地区,不论在多、空事件的任何时段；亦或是2010年成立至今的中国股指期货市场；在取对数后之股指期货或现货,数列仍皆是呈现不稳定之型态。但经过取一次差分后(报酬率),期、现货数列均达稳定型态。故可知期货与现货为I(1)之数列,整合级次皆相同。此一结果与国内外之相关研究结果相符。
二、根据协整的检定结果,发现无论市场处于利多时期与利空前、后或发生时期,台湾地区与香港地区,亦或是2010年成立至今的中国股指期货市场,其股指期货与现货间皆维持一长期均衡关系。两个数列报酬率的走势上具有同步移动(move together)的情形。也就是说两岸三地个别的股指期货与现货间存在一协整关系,表示两者可能在短期会受到不同市场供需或因素之影响,而导致价格偏离的情况,但长期而言,期货与现货的价格走势仍是维持相同的方向,且处于一个长期的均衡关系。
三、在因果关系部分,台湾地区,在利空(次贷)与利多(QE)事件发生的期间,期、现货间出现明显双向回馈的关系,显示当市场出现利空或利多事件时,期货亦会出现明显价格发现功能,而且期货领先与因果关系的统计检定值较现货领先期货的部分更为显着。然而,在次贷风暴前与结束后,台湾股指现货转为领先股指期货。可能是台湾的交易市场中乃以现货市场最为活络,期货市场由于仍处于发展阶段中,交易程度相对仍弱于现货市场。
而香港地区,期货市场由于成立时间较早,市场机制架构成熟度高,交易活络且参与资金国际化与多元化,市场交易效率较高。故可以发现无论利空(次贷风暴)前、后与发生时期,亦或是利多(QE)事件发生时期,香港股指现货与股指期货间皆出现彼此具有双向因果关系,亦即具有双向回馈的关系。且当市场处在利空时期,指数处于下降趋势时,期货领先现货的效果明显较利多时期来得高。
2010年成立至今的中国股指期货市场,由于为首档发行之金融期货,受到政府与市场普遍重视,沪深300股指现货与股指期货间皆出现彼此具有双向因果关系,亦即具有双向回馈的关系。
另外,在”领先一落后”关系上,由于香港期货市场交易与资金较具效率性,故无论在多、空事件各种不同时期的影响下,香港股指期货与现货出现彼此落后时间短。主要皆为落后1期的模型最为恰当,也就是大约落后5分钟左右。相较于台湾地区与中国的股指期货与现货间之落后期数约2-3期为短。
四、在脉冲响应分析与方差分解方面,不论在台湾、香港地区,按照外部利空与利多时期来观察,当外部利空发生的前、后时期,基本上,无论期货亦或是现货,可以解释自身的预测误差方差皆很高,表示大部分的波动来源,仍是来自于自身的变异程度。但相对上,尤其是在利空(次贷)与利多(QE)事件发生的期间,期货对现货预测误差方差的解释程度会明显高于现货对期货预测误差方差的解释程度。也就是说期货影响现货解释程度明显增加。
五、此外,有关在外部多、空因素下,对台湾地区股指期、现货价差与套利交易关系分析,可以发现在利空发生时期,因为市场可能出现预期过度反应现象,期货价格发现效果明显。不仅出现逆价差的频率较高,若进行套利的报酬率也明显优于一般时期。而在利多时期,此时出现正价差套利机会增加,期货价格发现效果明显,进行正价差套利的报酬率也明显优于逆价差套利。
在政策建议部分,由本文实证分析结果可知,期货市场的主导地位在多、空事件发生时期获得明显提升,显示事件因素与期货价格发现的功能存在正向关系。在全球利空与利多事件频率日增,而中国期货市场仍在持续发展之际,市场一旦发生利空与利多事件,市场投资者或政府相关机构,可适时透过期货显着的价格发现特性,运用其所衍生出投资、避险与套利的功能,达成投资目标与遂行相关政策运作之目的,同时亦可增加期货市场的运用效率。
最后,本文尝试从商品多元化与创新、业务模式发展与创新、市场参与者的结构改善、交易制度与系统的升级、加强与全球金融交易所的合作、完善的法令制度规范以及因应外部重大利空事件对策等不同视角,以台湾地区与香港地区为例,提供中国期货市场未来发展上相关的建议,期使中国期货市场能够稳健的成长与茁壮,逐步迈向衍生性商品成熟市场之林。
After a long-time preparation, CSI300index futures had made a milestone in the financial market in China in the16of April,2010. In order to know what kind of impact or effect would bring to spot and index futures of stock market in China after the negative&positive market event, this paper discusses the impact&effect of price relationship&arbitrage trading between spot and futures in Taiwan&Hong Kong market separately by global external events.
The study investigates the futures markets of Taiwan and HK for study of negative&positive market factor (sub-prime crisis&QE policies) in the Taiwan&HK stock index futures based on intraday returns date (5min). In addition, it also investigates the impact&effect on arbitrage trading of Taiwan market by global external events. The study period is from January1,2004to July31,2012.
This research uses unit root test, cointegration test, VECM and Granger causality to examined relationship between spot and futures for Taiwan, HK and China stock index. In addition, the methodology of Arbitrage trading in Taiwan futures market also is used.
The empirical results indicated that (1) there was a long term cointegration existing between spot and futures in Taiwan, HK and China during all period.(2) The results of the Granger causality indicate the only unidirectional causal relationship between Taiwan stock index and index futures both pre-sub-prime crisis period and post-sub-prime crisis period. We found that spot markets lead futures markets and futures markets lead spot markets at other times. In addition, the results of the Granger causality indicate the directional causal relationship between stock index and index futures in HK market during all period. Last, the directional causal relationship between stock index and index futures of China since its launch in2010.(3) The results of the Granger causality indicate bidirectional causality between Taiwan stock index and index futures during the period of Sub-prime and QE event. We found that futures markets lead spot markets. Therefore the futures markets have price discovery function. The results of the Granger causality indicate bidirectional causality between HK stock index and index futures during all period. We found that futures markets lead spot markets in HK. The results indicate bidirectional causality between China index futures and stock index since its index future launch in2010. We also found the futures markets have price discovery function in China.
Next, the impact and effect of basis arbitrage performance in Taiwan by global external events. We found the more volatile and expanded of spread between spot&futures during the period of Sub-prime and QE event. It indicated the better of arbitrage performance during the period of Sub-prime and QE event.
The sub-prime crisis&QE policies are important factor to impact and affect the price relationship between stock index and stock index futures in Taiwan&HK. It also influenced the performance of arbitrage in Taiwan.
For these empirical results, it implied the market participator could reach the objects of investment strategy by futures investment and the government also could accomplish the purpose of public policy by futures investment during the period of external events. Finally, the study offers some suggestion for the China government about putting more effort for futures market development in the years ahead.
中国金融期货商品发展,自2010年4月16日推出第一支股指期货商品-沪深300股指期货以来。在2012年全球股指期货交易量排名中,沪深300股指期货已居于第5位。由此可见,中国股指期货的发展潜力与日俱增。对于市场投资人若要能灵活运用期货之投机、避险、套利及价格发现等重要功能。势必需要了解其基本的价格关系,因此本研究将从期货与现货的价格关系出发,了解期、现货间的价格发现功能,并进一步针对期、现货间套利交易进行分析研究。
不过,近年来从全球次贷风暴到后续各国政府释放货币宽松等利多,国际重大利空与利多事件发生频率日增。也由于金融全球化、自由化的发展和交易技术的提高,国内外金融市场间信息传递速度大大加快,传导渠道亦日渐增多。此外部市场因素部分对于期、现货间信息传递关系造成相当的冲击,亦对期、现货间价差关系、套利策略与绩效产生一定的影响。由近年的研究分析报告中,发现对此部分的相关研究着墨相对较少,也希望未来能带动更多研究者持续透过两岸三地的期货市场的研究分析,为中国期货市场健全发展提供更多参考与贡献。这是触发本论文撰写的主要研究动机。
综合上述,由于中国推出第一支股指期货商品的时间稍晚,并未经历上述全球重大利空与利多事件的洗礼与考验。但是台湾地区与香港地区的股指期货因成立时间较早,已经历过全球重大利空与利多事件的冲击与影响。故本研究以台湾地区、香港地区等市场为例,透过观察次级房贷金融海啸重大事件以及全球政府实施QE利多等时期。观察两区域的股指现货与期货间价格关联性(领先、落后、回馈、协整等关系)与相关套利策略应用是否受到影响。作为未来中国期货市场面对类似事件时,推估可能会造成的影响冲击,并提前拟定投资政策与策略因应。
本文研究期间乃自2004年1月1日至2012年7月31日止,涵盖了金融次贷利空前、中、后与美国QE利多期间等事件的交易日,选取各交易日内期货与现货每5分钟的资料作为观察值,并以其收益率作为主要变量。在研究方法部分,采用实证描述与规范分析相结合的研究方法,综合运用理论分析、实证说明和技术模型等手段。首先,综述前人的研究成果,对不同地区期货市场、期货与现货价格关联性的定义、形成机理、理论解释以及研究视角进行归纳和总结。基于市场整合理论着重从市场信息传递等角度分析两岸三地个别之股指期货、现货市场的价格关联性。
其次,以实际价格数据为依据,并按照市场多、空事件的不同时期进行区隔实证,应用关联性分析、格兰杰因果检验、误差修正模型、脉冲响应和方差分解,分析在市场多、空事件期间影响下,对台湾与香港地区股指期货与现货价格之间的信息、传递效应和引导关系的冲击。同时亦观察多、空事件对台湾地区股指期货与现货间,价差套利关系变化与交易策略的影响。在综合以上理论和实证分析的基础上,结合台、港地区期货市场发展的实际经验,对中国期货市场的发展战略和思路上提出相关的政策建议。
透过本研究得出以下之结论：
一、在ADF单根检定之下,发现在台湾地区、香港地区,不论在多、空事件的任何时段；亦或是2010年成立至今的中国股指期货市场；在取对数后之股指期货或现货,数列仍皆是呈现不稳定之型态。但经过取一次差分后(报酬率),期、现货数列均达稳定型态。故可知期货与现货为I(1)之数列,整合级次皆相同。此一结果与国内外之相关研究结果相符。
二、根据协整的检定结果,发现无论市场处于利多时期与利空前、后或发生时期,台湾地区与香港地区,亦或是2010年成立至今的中国股指期货市场,其股指期货与现货间皆维持一长期均衡关系。两个数列报酬率的走势上具有同步移动(move together)的情形。也就是说两岸三地个别的股指期货与现货间存在一协整关系,表示两者可能在短期会受到不同市场供需或因素之影响,而导致价格偏离的情况,但长期而言,期货与现货的价格走势仍是维持相同的方向,且处于一个长期的均衡关系。
三、在因果关系部分,台湾地区,在利空(次贷)与利多(QE)事件发生的期间,期、现货间出现明显双向回馈的关系,显示当市场出现利空或利多事件时,期货亦会出现明显价格发现功能,而且期货领先与因果关系的统计检定值较现货领先期货的部分更为显着。然而,在次贷风暴前与结束后,台湾股指现货转为领先股指期货。可能是台湾的交易市场中乃以现货市场最为活络,期货市场由于仍处于发展阶段中,交易程度相对仍弱于现货市场。
而香港地区,期货市场由于成立时间较早,市场机制架构成熟度高,交易活络且参与资金国际化与多元化,市场交易效率较高。故可以发现无论利空(次贷风暴)前、后与发生时期,亦或是利多(QE)事件发生时期,香港股指现货与股指期货间皆出现彼此具有双向因果关系,亦即具有双向回馈的关系。且当市场处在利空时期,指数处于下降趋势时,期货领先现货的效果明显较利多时期来得高。
2010年成立至今的中国股指期货市场,由于为首档发行之金融期货,受到政府与市场普遍重视,沪深300股指现货与股指期货间皆出现彼此具有双向因果关系,亦即具有双向回馈的关系。
另外,在”领先一落后”关系上,由于香港期货市场交易与资金较具效率性,故无论在多、空事件各种不同时期的影响下,香港股指期货与现货出现彼此落后时间短。主要皆为落后1期的模型最为恰当,也就是大约落后5分钟左右。相较于台湾地区与中国的股指期货与现货间之落后期数约2-3期为短。
四、在脉冲响应分析与方差分解方面,不论在台湾、香港地区,按照外部利空与利多时期来观察,当外部利空发生的前、后时期,基本上,无论期货亦或是现货,可以解释自身的预测误差方差皆很高,表示大部分的波动来源,仍是来自于自身的变异程度。但相对上,尤其是在利空(次贷)与利多(QE)事件发生的期间,期货对现货预测误差方差的解释程度会明显高于现货对期货预测误差方差的解释程度。也就是说期货影响现货解释程度明显增加。
五、此外,有关在外部多、空因素下,对台湾地区股指期、现货价差与套利交易关系分析,可以发现在利空发生时期,因为市场可能出现预期过度反应现象,期货价格发现效果明显。不仅出现逆价差的频率较高,若进行套利的报酬率也明显优于一般时期。而在利多时期,此时出现正价差套利机会增加,期货价格发现效果明显,进行正价差套利的报酬率也明显优于逆价差套利。
在政策建议部分,由本文实证分析结果可知,期货市场的主导地位在多、空事件发生时期获得明显提升,显示事件因素与期货价格发现的功能存在正向关系。在全球利空与利多事件频率日增,而中国期货市场仍在持续发展之际,市场一旦发生利空与利多事件,市场投资者或政府相关机构,可适时透过期货显着的价格发现特性,运用其所衍生出投资、避险与套利的功能,达成投资目标与遂行相关政策运作之目的,同时亦可增加期货市场的运用效率。
最后,本文尝试从商品多元化与创新、业务模式发展与创新、市场参与者的结构改善、交易制度与系统的升级、加强与全球金融交易所的合作、完善的法令制度规范以及因应外部重大利空事件对策等不同视角,以台湾地区与香港地区为例,提供中国期货市场未来发展上相关的建议,期使中国期货市场能够稳健的成长与茁壮,逐步迈向衍生性商品成熟市场之林。
After a long-time preparation, CSI300index futures had made a milestone in the financial market in China in the16of April,2010. In order to know what kind of impact or effect would bring to spot and index futures of stock market in China after the negative&positive market event, this paper discusses the impact&effect of price relationship&arbitrage trading between spot and futures in Taiwan&Hong Kong market separately by global external events.
The study investigates the futures markets of Taiwan and HK for study of negative&positive market factor (sub-prime crisis&QE policies) in the Taiwan&HK stock index futures based on intraday returns date (5min). In addition, it also investigates the impact&effect on arbitrage trading of Taiwan market by global external events. The study period is from January1,2004to July31,2012.
This research uses unit root test, cointegration test, VECM and Granger causality to examined relationship between spot and futures for Taiwan, HK and China stock index. In addition, the methodology of Arbitrage trading in Taiwan futures market also is used.
The empirical results indicated that (1) there was a long term cointegration existing between spot and futures in Taiwan, HK and China during all period.(2) The results of the Granger causality indicate the only unidirectional causal relationship between Taiwan stock index and index futures both pre-sub-prime crisis period and post-sub-prime crisis period. We found that spot markets lead futures markets and futures markets lead spot markets at other times. In addition, the results of the Granger causality indicate the directional causal relationship between stock index and index futures in HK market during all period. Last, the directional causal relationship between stock index and index futures of China since its launch in2010.(3) The results of the Granger causality indicate bidirectional causality between Taiwan stock index and index futures during the period of Sub-prime and QE event. We found that futures markets lead spot markets. Therefore the futures markets have price discovery function. The results of the Granger causality indicate bidirectional causality between HK stock index and index futures during all period. We found that futures markets lead spot markets in HK. The results indicate bidirectional causality between China index futures and stock index since its index future launch in2010. We also found the futures markets have price discovery function in China.
Next, the impact and effect of basis arbitrage performance in Taiwan by global external events. We found the more volatile and expanded of spread between spot&futures during the period of Sub-prime and QE event. It indicated the better of arbitrage performance during the period of Sub-prime and QE event.
The sub-prime crisis&QE policies are important factor to impact and affect the price relationship between stock index and stock index futures in Taiwan&HK. It also influenced the performance of arbitrage in Taiwan.
For these empirical results, it implied the market participator could reach the objects of investment strategy by futures investment and the government also could accomplish the purpose of public policy by futures investment during the period of external events. Finally, the study offers some suggestion for the China government about putting more effort for futures market development in the years ahead.
引文
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