非参数估计下的股指期货升贴水波动研究
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摘要
文章选取了2016—2017年沪深300指数和其股指期货主力合约的日收盘价数据,建立了股指期货升贴水的非参数估计模型,通过研究得出股指期货的升贴水服从正态分布,并和股指收益率一样有着明显的"厚尾"现象。随着时间的推进,股指期货的上市的确起到了稳定市场的作用,股指期货升贴水套利的理论年化收益率显著高于同期市场"无风险收益率"金融产品的收益。在市场突发情况引起的股指剧烈波动时,择机合理地利用股指期货进行对冲、套利还是有利于降低资产波动风险的。
This paper mainly studies the fluctuations of China's Shanghai and Shenzhen 300 Index and its futures since 2016-2017.From the analysis results,the stock index futures' premiums and discounts are subject to a normal distribution,and have the same "thick tail" as the stock index returns.As time goes on,the listing of stock index futures has indeed played a role in stabilizing the financial market.The theoretical annualized rate of return on the arbitrage of stock index futures is significantly higher than that of the market's"risk-free yield"financial products.For the stock market index caused by sudden market volatility,the reasonable use of stock index futures for hedging and arbitrage is still conducive to reducing the risk of asset fluctuations.
This paper mainly studies the fluctuations of China's Shanghai and Shenzhen 300 Index and its futures since 2016-2017.From the analysis results,the stock index futures' premiums and discounts are subject to a normal distribution,and have the same "thick tail" as the stock index returns.As time goes on,the listing of stock index futures has indeed played a role in stabilizing the financial market.The theoretical annualized rate of return on the arbitrage of stock index futures is significantly higher than that of the market's"risk-free yield"financial products.For the stock market index caused by sudden market volatility,the reasonable use of stock index futures for hedging and arbitrage is still conducive to reducing the risk of asset fluctuations.
引文
[1]郑淅予.股指期货升贴水变化的四大原因[N].证券时报,2017-07-28(A04).
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[3]李洋,乔高秀.沪深300股指期货市场连续波动与跳跃波动——基于已实现波动率的实证研究[J].中国管理科学,2012,20(S1):451-458.
[4] MANDELLBROT B B.New Method in Statistical Economics[J].Journal of Political Economy,1963(71):421-440.
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[6] BECKMANN J.CZUDAJ R.Volatility transmission in agricultural futures markets.Economic Modelling,2014(36):541-546.
[7]李道叶.线性框架下中国股票市场价格收益率特征分析[D].广州:暨南大学,2007.
[8]吕美锦.基于上证综指的GARCH族模型实证分析[J].金融经济,2010(22):64-67.
[9]MACKINLAY A C,RAMASWAMY K.Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices[J].Review of Financial Studies,1988,1(2):137-158.
[2]吕联盟.用非参数方法对资本资产定价模型的非线性检验——以深市A股为例[J].绿色财会,2009(8):29-30.
[3]李洋,乔高秀.沪深300股指期货市场连续波动与跳跃波动——基于已实现波动率的实证研究[J].中国管理科学,2012,20(S1):451-458.
[4] MANDELLBROT B B.New Method in Statistical Economics[J].Journal of Political Economy,1963(71):421-440.
[5]AKGIRAYV.Conditional heteroscedasticity in times series of stock returns:Evidence and forecasts.[J]Journal of business,1989:55-80.
[6] BECKMANN J.CZUDAJ R.Volatility transmission in agricultural futures markets.Economic Modelling,2014(36):541-546.
[7]李道叶.线性框架下中国股票市场价格收益率特征分析[D].广州:暨南大学,2007.
[8]吕美锦.基于上证综指的GARCH族模型实证分析[J].金融经济,2010(22):64-67.
[9]MACKINLAY A C,RAMASWAMY K.Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices[J].Review of Financial Studies,1988,1(2):137-158.