基于杠杆和流动性冲击的股指期货保证金定价
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摘要
现有研究对股指期货保证金定价多仅围绕波动率因素来考虑,而忽视了流动性冲击、杠杆和交叉持股所导致的现货价格极端变化对期货保证金的影响,即在保证金定价中未能考虑现货市场的流动性风险和组合再平衡风险.鉴于此,本文首先分析了流动性冲击下杠杆对投资组合价值的影响机理,以及交叉持股对现货标的的正反馈效应;然后通过持有成本模型将这些因素引入到股指期货价格变化中,最终构建保证金定价模型.模拟分析发现:现货市场中的杠杆水平、流动性冲击水平均与股指期货保证金显著正相关;且与传统模型相比,本文提出的定价模型所计算的股指期货保证金要显著高于前者,这也意味着本模型的确能够有效解决流动性冲击严重或者杠杆过高情况下,股指期货保证金的合理调整问题.
The margin of stock index futures is often calculated simply based on the volatility of futures at present,while ignoring that margin of stock index futures is affected by the extreme changes of spot price resulting from leverage and cross-shareholding under the situation of liquidity shock.In other words,it ignores the liquidity risk and portfolio rebalancing risk when pricing the margin of stock index futures.Given that,the paper firstly analyzes how positive feedback effect of leverage and cross-shareholding affects the value of portfolio under the situation of liquidity shock.And then introduces these factors into the futures price changes through the cost of carry model.Finally determine margin of stock index futures.The significantly positive correlation between margin of stock index futures and the level of leverage or liquidity shock in stock spot market is found through Monte Carlo simulation.And the margin of stock index futures should be further raised when considering the negative impact in the financial market.
The margin of stock index futures is often calculated simply based on the volatility of futures at present,while ignoring that margin of stock index futures is affected by the extreme changes of spot price resulting from leverage and cross-shareholding under the situation of liquidity shock.In other words,it ignores the liquidity risk and portfolio rebalancing risk when pricing the margin of stock index futures.Given that,the paper firstly analyzes how positive feedback effect of leverage and cross-shareholding affects the value of portfolio under the situation of liquidity shock.And then introduces these factors into the futures price changes through the cost of carry model.Finally determine margin of stock index futures.The significantly positive correlation between margin of stock index futures and the level of leverage or liquidity shock in stock spot market is found through Monte Carlo simulation.And the margin of stock index futures should be further raised when considering the negative impact in the financial market.
引文
[1]Park Y H,Abruzzo N.An empirical analysis of futures margin changes:Determinants and policy implications[J].Journal of Financial Services Research,2016,13(1):1-36.
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[3]Alan N S,Karagozoglu A K,Korkmaz S.Growing pains:The evolution of new stock index futures in emerging markets[J].Research in International Business and Finance,2016,37:1-16.
[4]Yarovaya L,Brzeszczyski J,Lau C K.Intra-and inter-regional return and volatility spillovers across emerging and developed markets:Evidence from stock indices and stock index futures[J].International Review of Financial Analysis,2016,43:96-114.
[5]Tu A H,Hsieh W G,Wu W.Market uncertainty,expected volatility and the mispricing of SP 500 index futures[J].Journal of Empirical Finance,2016,35:78-98.
[6]Gao B,Yang C.Forecasting stock index futures returns with mixed-frequency sentiment[J].International Review of Economics&Finance,2017,49:69-83.
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[9]黄伟,刘海龙.期货市场备用保证金度量及实证研究[J]·系统管理学报,2010,19(4):451-455.Huang W,Liu H L.Measurement of reserve margin on futures markets:Some empirical evidence[J].Journal of Systems&Management,2010,19(4):451-455.
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[11]金琳.基于VaR-GARCH模型在极端行情下的我国股指期货风险度量比较研究[D].合肥:中国科学技术大学,2016.Jin L.The comparative research of China stock index futures risk measurement based on the VaR-GARCH model under extreme market[D].Hefei:University of Science and Technology of China,2016.
[12]Harris L E.Transaction data tests of the mixture of distributions hypothesis[J].Journal of Financial and Quantitative Analysis,1987,22:127-142.
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[14]Hasbrouck J.Assessing the quality of a security market:A new approach to transaction-cost measurement[J].The Review of Financial Studies,1993,6:191-212.
[15]Amihud Y.Illiquidity and stock returns:Cross-section and time series effects[J].Journal of Financial Markets,2002,5:31-56.
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[19]Obizhaeva A A.The study of price impact and effective spread[J/OL].http://dx.doi.org/10.2139/ssrn.1178722.
[20]Bershova N,Rakhlin D.The non-linear market impact of large trades:Evidence from buy-side order flow[J].Quantitative Finance,2013,13(11):1759-1778.
[21]Kyle A S,Obizhaeva A A.Market microstructure invariants:Empirical evidence from portfolio transitions[J/OL].http://dx.doi.org/10.2139/ssrn.1978943.
[22]Adrian T,Shin H S.Liquidity and leverage[J].Journal of Financial Intermediation,2010,19(3):418-437.
[23]Adrian T,Etula E,Muir T.Financial intermediaries and the cross-section of asset returns[J].Journal of Finance,2015,69(6):2557-2596.
[24]Corsi F,Marmi S,Lillo F.When micro prudence increases macro risk:The destabilizing effects of financial innovation,leverage,and diversification[J/OL].https://doi.org/10.2139/ssrn.2278298.
[25]Duarte F,Eisenbach T M.Fire-sale spillovers and systemic risk[J/OL].https://doi.org/10.2139/ssrn.2340669.
[26]Caccioli F,Shrestha M,Moore C.Stability analysis of financial contagion due to overlapping portfolios[J].Journal of Banking&Finance,2014,46(3):233-245.
[27]Caccioli F,Farmer J D,Foti N.Overlapping portfolios,contagion,and financial stability[J].Journal of Economic Dynamics&Control,2014,51:50-63.
[28]韦立坚,张维,熊熊.股市流动性踩踏危机的形成机理与应对机制[J].管理科学学报,2017,20(3):1-20.Wei L J,Zhang W,Xiong X.The mechanism and solution for the liquidity stampede crisis in stock markets[J].Journal of Management Sciences in China,2017,20(3):1-20.
[29]Almgren R,Chriss N.Optimal execution of portfolio transactions[J].Journal of Risk,2001,3:5-40.
[30]刘杰.开放式基金资产配置问题研究[D].杭州:浙江大学,2006.Liu J.The study on assets allocation of open fund[D].Hangzhou:Zhejiang University,2006.
[31]饶育蕾,彭叠峰,贾文静.交叉持股是否导致收益的可预测性?——基于有限注意的视角[J].系统工程理论与实践,2013,33(7):1753-1761.Rao Y L,Peng D F,Jia W J.Does cross-shareholding cause return predictability?—Based on limited attention perspective[J].Systems Engineering-Theory&Practice,2013,33(7):1753-1761.
[32]Cornell B,French K R.The pricing of stock index futures[J].Journal of Futures Markets,1983,3(1):1-14.
[33]Cox J C,Ingersoll J E,Ross S A.The relation between forward prices and futures prices[J].Journal of Financial Economics,1981,9(4):321-346.
[34]French K R.A comparison of futures and forward prices[J].Journal of Financial Economics,1983,12(3):311-342.
[35]Lillo F,Pirino D.The impact of systemic and illiquidity risk on financing with risky collateral[J].Journal of Economic Dynamics Control,2015,50:180-202.
[2]Sun B Q,Guo H,Karimi H R,et al.Prediction of stock index futures prices based on fuzzy sets and multivariate fuzzy time series[J].Neurocomputing,2015,151(3):1528-1536.
[3]Alan N S,Karagozoglu A K,Korkmaz S.Growing pains:The evolution of new stock index futures in emerging markets[J].Research in International Business and Finance,2016,37:1-16.
[4]Yarovaya L,Brzeszczyski J,Lau C K.Intra-and inter-regional return and volatility spillovers across emerging and developed markets:Evidence from stock indices and stock index futures[J].International Review of Financial Analysis,2016,43:96-114.
[5]Tu A H,Hsieh W G,Wu W.Market uncertainty,expected volatility and the mispricing of SP 500 index futures[J].Journal of Empirical Finance,2016,35:78-98.
[6]Gao B,Yang C.Forecasting stock index futures returns with mixed-frequency sentiment[J].International Review of Economics&Finance,2017,49:69-83.
[7]杨海珍,鄢宏亮.股指期货跨期套利交易保证金设置方法的比较[J].系统工程理论与实践,2008,28(8):132-138.Yang H Z,Yan H L.Comparative empirical study on the margin setting of stock index futures calendar spread trading[J].Systems Engineering—Theory&Practice,2008,28(8):132-138.
[8]黄伟,刘海龙.基于回望期权考虑备用保证金的期货定价模型[J].上海交通大学学报,2009(4):550-554.Huang W,Liu H L.Pricing futures contract considering reserve margin based on lookback option model[J].Journal of Shanghai Jiao Tong University,2009(4):550-554.
[9]黄伟,刘海龙.期货市场备用保证金度量及实证研究[J]·系统管理学报,2010,19(4):451-455.Huang W,Liu H L.Measurement of reserve margin on futures markets:Some empirical evidence[J].Journal of Systems&Management,2010,19(4):451-455.
[10]庞素琳,吴曼琪.股指期货保证金水平设置比较研究[J].管理科学学报,2014,17(6):84-96.Pang S L,Wu M Q.Margin level setting of stock index futures based on hill estimation and VaR-x estimation[J].Journal of Management Sciences in China,2014,17(6):84-96.
[11]金琳.基于VaR-GARCH模型在极端行情下的我国股指期货风险度量比较研究[D].合肥:中国科学技术大学,2016.Jin L.The comparative research of China stock index futures risk measurement based on the VaR-GARCH model under extreme market[D].Hefei:University of Science and Technology of China,2016.
[12]Harris L E.Transaction data tests of the mixture of distributions hypothesis[J].Journal of Financial and Quantitative Analysis,1987,22:127-142.
[13]刘向丽,汪寿阳.中国期货市场日内流动性及影响因素分析[J].系统工程理论与实践,2013,33(6):1395-1401.Liu X L,Wang S Y.The intraday trend and impact factor analysis on liquidity of Chinese futures markets[J].Systems Engineering—Theory&Practice,2013,33(6):1395-1401.
[14]Hasbrouck J.Assessing the quality of a security market:A new approach to transaction-cost measurement[J].The Review of Financial Studies,1993,6:191-212.
[15]Amihud Y.Illiquidity and stock returns:Cross-section and time series effects[J].Journal of Financial Markets,2002,5:31-56.
[16]Corwin S A,Schultz P.A simple way to estimate bid-ask spreads from daily high and low prices[J].The Journal of Finance,2012,67(2):719-760.
[17]Engle R,Lange J.Predicting VENT:A model of the dynamics of market depth[J].Journal of Financial Markets,2001,4(2):113-142.
[18]Kyle A S.Continuous auctions and insider trading[J].Econometrica:Journal of the Econometric Society,1985:1315-1335.
[19]Obizhaeva A A.The study of price impact and effective spread[J/OL].http://dx.doi.org/10.2139/ssrn.1178722.
[20]Bershova N,Rakhlin D.The non-linear market impact of large trades:Evidence from buy-side order flow[J].Quantitative Finance,2013,13(11):1759-1778.
[21]Kyle A S,Obizhaeva A A.Market microstructure invariants:Empirical evidence from portfolio transitions[J/OL].http://dx.doi.org/10.2139/ssrn.1978943.
[22]Adrian T,Shin H S.Liquidity and leverage[J].Journal of Financial Intermediation,2010,19(3):418-437.
[23]Adrian T,Etula E,Muir T.Financial intermediaries and the cross-section of asset returns[J].Journal of Finance,2015,69(6):2557-2596.
[24]Corsi F,Marmi S,Lillo F.When micro prudence increases macro risk:The destabilizing effects of financial innovation,leverage,and diversification[J/OL].https://doi.org/10.2139/ssrn.2278298.
[25]Duarte F,Eisenbach T M.Fire-sale spillovers and systemic risk[J/OL].https://doi.org/10.2139/ssrn.2340669.
[26]Caccioli F,Shrestha M,Moore C.Stability analysis of financial contagion due to overlapping portfolios[J].Journal of Banking&Finance,2014,46(3):233-245.
[27]Caccioli F,Farmer J D,Foti N.Overlapping portfolios,contagion,and financial stability[J].Journal of Economic Dynamics&Control,2014,51:50-63.
[28]韦立坚,张维,熊熊.股市流动性踩踏危机的形成机理与应对机制[J].管理科学学报,2017,20(3):1-20.Wei L J,Zhang W,Xiong X.The mechanism and solution for the liquidity stampede crisis in stock markets[J].Journal of Management Sciences in China,2017,20(3):1-20.
[29]Almgren R,Chriss N.Optimal execution of portfolio transactions[J].Journal of Risk,2001,3:5-40.
[30]刘杰.开放式基金资产配置问题研究[D].杭州:浙江大学,2006.Liu J.The study on assets allocation of open fund[D].Hangzhou:Zhejiang University,2006.
[31]饶育蕾,彭叠峰,贾文静.交叉持股是否导致收益的可预测性?——基于有限注意的视角[J].系统工程理论与实践,2013,33(7):1753-1761.Rao Y L,Peng D F,Jia W J.Does cross-shareholding cause return predictability?—Based on limited attention perspective[J].Systems Engineering-Theory&Practice,2013,33(7):1753-1761.
[32]Cornell B,French K R.The pricing of stock index futures[J].Journal of Futures Markets,1983,3(1):1-14.
[33]Cox J C,Ingersoll J E,Ross S A.The relation between forward prices and futures prices[J].Journal of Financial Economics,1981,9(4):321-346.
[34]French K R.A comparison of futures and forward prices[J].Journal of Financial Economics,1983,12(3):311-342.
[35]Lillo F,Pirino D.The impact of systemic and illiquidity risk on financing with risky collateral[J].Journal of Economic Dynamics Control,2015,50:180-202.