我国股指期货对现货市场的价格波动性影响及其协整性检验研究
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摘要
2010年4月16日,我国的股指期货正式上市交易,标志着我国金融市场发展史上又一个新的里程碑。根据国外成熟市场经验可知:股指期货的价格发现功能对现货市场的影响是积极有效的,其不仅能够降低股市的价格波动,还可以在一定程度上减弱丛聚效应与杠杆效应,使市场效率提高,对价格信息的反应速度更加迅速。
在我国沪深300股指期货的仿真交易过程中,我国大量学者运用各种模型针对股指期货对现货市场的影响进行了大量的实证研究,并验证我国的股指期货对现货市场的影响是否符合理论依据,得到的结论基本认为股指期货的价格发现功能与规避风险的功能得到实现,期货价格的变动领先于现货价格,市场效率有所提高。
本文首先对股指期货的一些相关理论进行概述、分析其理论上对现货市场应有的积极与消极影响。然后对我国股指期货的发展历程及我国股指期货的市场指数特点和市场结构进行简述,为接下来的实证分析做好理论铺垫。
出于仿真交易数据在一定程度上会出现失真的现象,本文使用股指期货正式上市至今将近一年以来的实际交易数据,运用西方学者大多使用的经典模型:ARCH、GARCH、EGARCH、TGARCH对其进行波动性、丛聚效应、杠杆效应进行建模分析,最终得到如下结论:我国的股指期货对我国现货市场的价格确实存在降低波动率和波动持续性、减弱杠杆效应、缓解丛聚性现象的作用,对现货市场的影响积极有效。
为了进一步分析我国股指期货价格与现货价格的波动关系,本文继续使用经典模型对二者进行建模分析即:协整检验模型、误差修正模型(ECM)、Granger因果检验模型。得到的结论是:我国股指期货价格与现货价格之间确实存在着长期协整的关系,且这种关系可以通过短期动态调整来实现。然而根据Granger因果检验模型结果得出:虽然我国的股指期货价格与现货价格之间虽然存在着明显的互为因果关系,但是股指期货的价格发现功能在我国还没有实现。
根据检验结果分析可知,我国的股指期货市场经过长期的模拟交易演练,虽然已初具雏形,虽然在一定程度上可以实现股指期货的平抑现货市场风险的作用,但其全部功能在我国还未实现。由于我国金融市场还处于初级阶段,各项配套设施还有待完善,广大投资者的非理性投资现象严重,各种投机现象、市场操纵现象严重,影响我国的证券市场的健康持续发展。针对这种现状,我国应该规范现货市场,引导投资者理性投资,增加股指期货的合约品种,建立严密的法律与风险监管体系,建立严密的风险防范体系,保证市场的健康有序发展,为股指期货的发展创造更大的空间,更适合的环境,实现其价格发现的功能。
April 16, 2010, China's official stock index futures were up on the stage, one of the most important milestones in the whole history of China’s financial markets. According to successful foreign experience, we can see that in mature markets: price discovery function of stock index futures on the spot market impact is positive and effective, it can not only reduce the price of the stock market volatility, but also can relieve, in some extent, the clustering effect of leverage making the market more efficient and response to the price information more quickly. In the process of development of China's HS300 stock, amount of scholars of our country, applying different kinds of statistical models, made a large numbers of empirical researches about the impact which the stock index futures added on the spot market. They leaded to a conclusion that the stock index futures do have a positive effect in our country, which is consistent with the theoretical results.
This article firstly introduces the basic concepts about stock index futures and analyzes the relevant logic effects, positive or negative, that the stock index futures presents on the spot market of our country. Then the article describe the some distinct features and the development history of China's stock index futures, which can definitely put a strong groundwork for the next theoretical model analysis.
For the purpose of finding the exact interrelationship between the stock index futures price and the stock price, I use the official trading price of stock index futures from the start day of the stock index futures showing on the real market, considering the pre-simulated trading of HS300 may be distorted and cannot reflect the real relation between buyer and the seller. Then,I apply the classic model which most of the western scholars often used ( ARCH, GARCH, EGARCH, TGARCH), to analyze the changes of volatility rate before and after the introduce of the HS300 stock index futures and lead to a conclusion: HS300 stock index futures reduce the volatility rate, in some extent, and ease the clustering phenomenon and smaller the leverage effect in the stock market.
In the next part of the empirical analysis the interrelationship between the stock price the futures price, I continue to use the model to do the statistical modeling analysis: Cointegration test, Error-Correction model (ECM), Granger causality test model, concept of Lead-Lag relation. The final result is: stock index futures of our country have a long-term stable relationship with the stock price and and this kind of long-term relation was realized by the short-term dynamic adjustment. Although, according to the results of Granger-causality test, we can see that the spot market and the futures market have a clear mutual causal relationship, the pivotal price discovery function was not appear in the whole process of trading in our country.
According to the test results, our financial market is not mature enough to fulfill the whole advantage of the stock index futures, and we should spare no effort to do our best to improve the market environment and the relevant supporting facilities, making sure the stock index futures have a promising future in our country.
在我国沪深300股指期货的仿真交易过程中,我国大量学者运用各种模型针对股指期货对现货市场的影响进行了大量的实证研究,并验证我国的股指期货对现货市场的影响是否符合理论依据,得到的结论基本认为股指期货的价格发现功能与规避风险的功能得到实现,期货价格的变动领先于现货价格,市场效率有所提高。
本文首先对股指期货的一些相关理论进行概述、分析其理论上对现货市场应有的积极与消极影响。然后对我国股指期货的发展历程及我国股指期货的市场指数特点和市场结构进行简述,为接下来的实证分析做好理论铺垫。
出于仿真交易数据在一定程度上会出现失真的现象,本文使用股指期货正式上市至今将近一年以来的实际交易数据,运用西方学者大多使用的经典模型:ARCH、GARCH、EGARCH、TGARCH对其进行波动性、丛聚效应、杠杆效应进行建模分析,最终得到如下结论:我国的股指期货对我国现货市场的价格确实存在降低波动率和波动持续性、减弱杠杆效应、缓解丛聚性现象的作用,对现货市场的影响积极有效。
为了进一步分析我国股指期货价格与现货价格的波动关系,本文继续使用经典模型对二者进行建模分析即:协整检验模型、误差修正模型(ECM)、Granger因果检验模型。得到的结论是:我国股指期货价格与现货价格之间确实存在着长期协整的关系,且这种关系可以通过短期动态调整来实现。然而根据Granger因果检验模型结果得出:虽然我国的股指期货价格与现货价格之间虽然存在着明显的互为因果关系,但是股指期货的价格发现功能在我国还没有实现。
根据检验结果分析可知,我国的股指期货市场经过长期的模拟交易演练,虽然已初具雏形,虽然在一定程度上可以实现股指期货的平抑现货市场风险的作用,但其全部功能在我国还未实现。由于我国金融市场还处于初级阶段,各项配套设施还有待完善,广大投资者的非理性投资现象严重,各种投机现象、市场操纵现象严重,影响我国的证券市场的健康持续发展。针对这种现状,我国应该规范现货市场,引导投资者理性投资,增加股指期货的合约品种,建立严密的法律与风险监管体系,建立严密的风险防范体系,保证市场的健康有序发展,为股指期货的发展创造更大的空间,更适合的环境,实现其价格发现的功能。
April 16, 2010, China's official stock index futures were up on the stage, one of the most important milestones in the whole history of China’s financial markets. According to successful foreign experience, we can see that in mature markets: price discovery function of stock index futures on the spot market impact is positive and effective, it can not only reduce the price of the stock market volatility, but also can relieve, in some extent, the clustering effect of leverage making the market more efficient and response to the price information more quickly. In the process of development of China's HS300 stock, amount of scholars of our country, applying different kinds of statistical models, made a large numbers of empirical researches about the impact which the stock index futures added on the spot market. They leaded to a conclusion that the stock index futures do have a positive effect in our country, which is consistent with the theoretical results.
This article firstly introduces the basic concepts about stock index futures and analyzes the relevant logic effects, positive or negative, that the stock index futures presents on the spot market of our country. Then the article describe the some distinct features and the development history of China's stock index futures, which can definitely put a strong groundwork for the next theoretical model analysis.
For the purpose of finding the exact interrelationship between the stock index futures price and the stock price, I use the official trading price of stock index futures from the start day of the stock index futures showing on the real market, considering the pre-simulated trading of HS300 may be distorted and cannot reflect the real relation between buyer and the seller. Then,I apply the classic model which most of the western scholars often used ( ARCH, GARCH, EGARCH, TGARCH), to analyze the changes of volatility rate before and after the introduce of the HS300 stock index futures and lead to a conclusion: HS300 stock index futures reduce the volatility rate, in some extent, and ease the clustering phenomenon and smaller the leverage effect in the stock market.
In the next part of the empirical analysis the interrelationship between the stock price the futures price, I continue to use the model to do the statistical modeling analysis: Cointegration test, Error-Correction model (ECM), Granger causality test model, concept of Lead-Lag relation. The final result is: stock index futures of our country have a long-term stable relationship with the stock price and and this kind of long-term relation was realized by the short-term dynamic adjustment. Although, according to the results of Granger-causality test, we can see that the spot market and the futures market have a clear mutual causal relationship, the pivotal price discovery function was not appear in the whole process of trading in our country.
According to the test results, our financial market is not mature enough to fulfill the whole advantage of the stock index futures, and we should spare no effort to do our best to improve the market environment and the relevant supporting facilities, making sure the stock index futures have a promising future in our country.
引文
1:《我国沪深300股指期货仿真交易的价格发现分析》作者:熊熊等出处:《天津大学学报:社会科学版》2008
2 Charles M.S. Sutcliffe, Stock Index Futures,2008 P159‐180
3 Charles M.S. Sutcliffe, Stock Index Futures,2008 P159‐180
4 Charles M.S. Sutcliffe, Stock Index Futures,2008 P159‐180
5陶佶,沪深300股指期货理论与实务,2008,P148
6聂皖生,股指期货,2007,第十六章
7沈怡,股指期货和股票现货互动关系实证研究,[D],2007, 12
8陶佶,沪深300股指期货理论与实务,[M]2008,P224
9聂皖生《股指期货》上海交通大学出版社2008
10 Pagan(1996)和Bollerslev(1994)
11 William H. Greene, Econometric Analysis, Fifth Edition
12 William H. Greene, Econometric Analysis, Fifth Edition
13孙莉,股指期货推出对股票现货市场的影响‐以台湾市场为例[D],复旦大学,2008
14 William H. Greene, Econometric Analysis, Fifth Edition
15 William H. Greene, Econometric Analysis, Fifth Edition
16沈怡,股指期货和股票现货互动关系实证研究[D],浙江工业大学,2007
17史代敏.沪深股市股指波动的协整性研究[J].数量经济技术经济研究,2002(9):103‐105
18 William H. Greene, Econometric Analysis, Fifth Edition
19 William H. Greene, Econometric Analysis, Fifth Edition
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2 Charles M.S. Sutcliffe, Stock Index Futures,2008 P159‐180
3 Charles M.S. Sutcliffe, Stock Index Futures,2008 P159‐180
4 Charles M.S. Sutcliffe, Stock Index Futures,2008 P159‐180
5陶佶,沪深300股指期货理论与实务,2008,P148
6聂皖生,股指期货,2007,第十六章
7沈怡,股指期货和股票现货互动关系实证研究,[D],2007, 12
8陶佶,沪深300股指期货理论与实务,[M]2008,P224
9聂皖生《股指期货》上海交通大学出版社2008
10 Pagan(1996)和Bollerslev(1994)
11 William H. Greene, Econometric Analysis, Fifth Edition
12 William H. Greene, Econometric Analysis, Fifth Edition
13孙莉,股指期货推出对股票现货市场的影响‐以台湾市场为例[D],复旦大学,2008
14 William H. Greene, Econometric Analysis, Fifth Edition
15 William H. Greene, Econometric Analysis, Fifth Edition
16沈怡,股指期货和股票现货互动关系实证研究[D],浙江工业大学,2007
17史代敏.沪深股市股指波动的协整性研究[J].数量经济技术经济研究,2002(9):103‐105
18 William H. Greene, Econometric Analysis, Fifth Edition
19 William H. Greene, Econometric Analysis, Fifth Edition
[1]周建,李子奈.Granger因果检验的适用性[J].清华大学学报,2004(3):358-361
[2]聂皖生.股指期货[M].上海:上海交通大学出版社,2007年6月第一版.
[3]刘庆富,王海民.期货市场与现货市场之间的价格研究[J].商场现代化,2006(4):44-51.
[4]Charles M.S. Sutcliffe.[M].股指期货.李飞,黄栋译,北京:中国青年出版社,2008年5月第一版.
[5]陶佶.沪深300股指期货-理论与实务.[M].北京:中国发展出版社,2008年5月第一版.
[6]巴曙松.中国金融大未来[M].北京:华文出版社,2010年5月第一版.
[7]Helmut Lutkepohl, Markus Kratzig.[M].应用时间序列计量经济学.易行健,邓可斌译,北京:机械工业出版社,2008年12月第一版.
[8]徐胜军,杨云波.证券期货-投资技术解析[M].深圳:海天出版社,2009年1月第一版.
[9]陈健.ARCH类模型研究及其在沪市A股中的应用[J].数理统计于管理,2003(3),10-26.
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