摘要
经过10多年的发展,中国证券市场已形成了一定规模,市场在完善中逐步对外开放,证券市场在开始国民经济中发挥越来越重要的作用。但是,由于市场体系还不尽完善,越来越大的系统性风险无法释放,市场急需一种有效的避险与投资工具,以抵御金融风险和提高国际竞争力。这些正在催生我国以股指期货为代表的金融衍生产品市场的发展壮大。目前,沪深300股指期货的准备工作已完备,股指期货随时可能上市。
研究正是在这一背景下展开的。在沪深300股指期货即将推出的预期下,研究股指期货和股票现货市场间的互动关系,以期得到两市场运行的宏观和微观联系特征,给予市场管理者、中介机构、投资者参考价值。
论文以沪深300股指期货为研究对象,通过实证分析运用ADF检验、GARCH族模型、ARCH-LM检验模型等在宏观层面分析研究其标的指数和现货指数价格以及新华富时A50指数等在波动性方面的特征;通过实证分析运用协整检验、GRANGER因果检验模型等宏观层面分析研究期货价格和现货指数价格在价格发现关系(领先滞后关系)上的特征;微观层面分析研究期货合约的价量关系考察期货在流动性等方面的特征。
波动性研究结果发现期货标的指数沪深300的波动特性和我国A股大盘指数上证综指极其一致,和新华富时A50指数的波动性差别较大,不能排除我国股市一贯就有的追逐单边利好不顾风险的投资者习惯;领先滞后研究发现期货价格变化考虑在较长的时间段内要明显领先于现货指数价格变化,在短时内现货指数价格变化要领先于期货价格变化;对期货合约价量的关系研究发现,近月合约的交易和持仓量一直较远月合约活跃,各合约基差较大,存在无风险套利空间。
After 10 years of development, China's securities market has formed a certain scale and gradually opening up to international capital within market maturity. The stock market begins playing an increasingly important role of the national economy. However, as the market system is still imperfect, the market urgently needed an effective hedging and investment tools to ward off financial risks and improve their international competitiveness because of the increasing systemic risks can not be released. The birth of China's Stock Index Futures as the representative of the financial derivative products, will be accelerate the pace of development and expansion of the market. At present, HS300 Stock Index Futures's preparatory work has been completed, Stock Index Futures market has been ready to go ahead.
Study is under this context. Within the upcoming expection of HS300 Stock Index Futures, studying the interaction between the Stock Index Futures and stock market, discovery the run features of Stock Index Futures in macro and micro features to spot market is valuable for market managers, intermediaries, investors .
This study aimed HS300 Stock Index Futures, study the feature among the spot index, the price index of HS300 Stock Index Futures and FTSE Xinhua A50 Stock Index Futures through empirical analysis of operating ADF test, GARCH model, ARCH-LM test on the macro level in volatility;Through empirical analysis, operating cointegration test, GRANGER causality test models, analyse the price discovery relationship (leading lag relations) between Stock Index Futures prices and spot prices in the macro-level; In micro-level analysis, this paper studyed the characteristics of liquidity between price and turnover of futures contracts.
The results show that the feature of index volatility from HS300 Stock Index Futures is extremely consistent with China's A-share market index, and difference to the FTSE Xinhua A50, from this we concluded that the HS300 stock index have the same features which China's A-share market always been: chasing good news regardless of the risk; Lead-lag study found that changes in futures price in the long period of time leading to changes in spot price index significantly and the spot price index should lead to changes in the price of futures in the short-term; In contracts relations, study found that recent month contracts is active than further month contracts on the transactions and positions, there are relatively large basis between futures to sopt index, exist risk-free arbitrage space.
引文
2 杨朝峰.股指期货价格形成机制研究[D].博士学位论文,同济大学,2005
3 应展宇.我国股指期货的指数选择及其对现货市场的影响[J].经济导刊,2001
5 马灿伟.中国开展股指期货的埋论论证和设计,2006年3月6日,http://www.jjxj.com.cn/news_detai.jsp?keyno=9492
6 宋逢明,江婕.中国股票市场波动特性的实证研究[J].金融研究,2003(4):27-35
7 陈旭初.股指期货的国际比较模型、实证及中国课题.复旦大学博士论文,2003
8 Fama.The Behavior of Stock Market Prices.Journal of Business 1965(14):26-43
9 Engle R F.Auto regressive conditional hetero skedasticity with estimates of the variance of United Kingdom Inflation.Econometrica,1982(50):987-1006
10 Bollerslev T.Generalized Auto regressive conditional hetero skedasticity.Journal of Econometrics,1986(31):307-327
11 Patterson K.An Introduction to App lied Econometrics:A Time Series Approach.Hampshire:Macmillan Press LTD.2000
12 肖辉,吴冲锋.股指与股指期货日内互动关系研究[J].系统工程理论与实践,2004(5):15-21
13 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
14 周建,李子奈.Granger因果关系检验的适用性[J].清华大学学报,2004(3):358-361
15 庞皓.格兰杰因果性检验的有效性及其应用[J].统计研究,1999(11):42-44
[1]Alex Frino, Michael D. Mckenzie. The Pricing of Stock Index Futuress Spreads at Contract Expiration[J]. The Journal of Futures Markets, 2002: 451-469
[2]Antoniou A,Holmes P,Futures Trading, Information and Spot Price Volatility:Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH, Journal ofBanking & Finance, 1995(19): 117-129
[3]Bologna,P and L.Cavallo "Does the Introduction of Stock Index Futures Effectively Reduce Stock Market Volatility? Is the 'Futures Effect' Immediate?Evidence from the Italian stock exchange using GARCH" [J]. Applied Financial Economics,2002(12): 183-192
[4]Bollerslev, T. Generalized autoregressive conditional heteroscedasticity[J]. Journal of Econometrics, 1986(31): 307-327
[5]Chan and G.A. Karolyi, Intraday volatility in the stock index and stock index futures markets[J]. Review of Financial Studies, 1991(4)657-684
[7]Chan, K., A further analysis of the lead-lag relationship between the cash market and stock index futures market, Review of Financial Studies, 1992(5): 123-152
[8]Chris Brooks, Alistair G.Rew, Stuart Ritson. A trading strategy based on the lead-lag relationship between the spot index and futures contract for the FTSE 100[J]. International Journal of Forecasting, 2001:31-44
[9]Coving,v.,Ding,D.K.and Low,B.S., "Price discovery in informationally linked markets:A microstructure analysis of Nikkei 225 futures" ,2003,Working paper.
[10]De Jong,F.and T. Nijman, High frequency analysis of lead-lag relationships between financial markets, Journal of Empirical Finance, 1997 (4):259-277.
[11]Edwards,F,Does the futures trading increase stock market volatility? Financial Analysts Journal, 1988(44):63-69.
[12]Engle R.F, Auto regressive conditional hetero skedasticity with estimates of the variance of United Kingdom Inflation[J]. Econometrica, 1982(50): 987-1006
[13]Fama. The Behavior of Stock Market Prices[J]. Journal of Business 1965(14) :26-43
[14]Fleming, J., B. Ostdiek, and R. Whaley, 1996, Trading costs and the relative rates of price discovery in stock, futures, and option markets[J]. Journal of Futures Markets,1996(16):353-387.
[15]Hans R.Stoll,Robert E.Whaley.The Dynamics of Stock Index and Stock Index Futuress Retures[J].Journal of Financial and Quantitative Analysis,1990:441-466
[16]John Board,Charles Sutcliffe.The Realative Volatility of The Markets in Equities and Index Futures[J].Journal of Business Finance&Accounting,1995(22):201-223
[17]Kawaller,K.L,Koch,P.,and Koch,T.,The temporal price relationship between S&P S00 Futures and S&P 500 Index[J].Journal of Finance,1987(42):1309-1329.
[18]Lawrence Harris.S&P500 Cash Stock Price Volatilities[J].The Journal of Finance,1989(5):1155-1175
[19]Lee,S.B.,Ohk,K,Y Stock index futures listing and Structural change in time-varying volatility[J].Journal of Futures Markets,1992(5):493-509.
[20]Mayhew,Sarin,Shastri.The allocation of informed trading across related markets:an analysis of the impact of changes in equity-option margin requirements[J].The Journal of Finance,1995(1):1635-1653
[21]Patterson K.An Introduction to App lied Econometrics:A Time Series Approach[J].Hampshire:Macmillan Press LTD,2000
[22]Raymond W.So,Yiuman Tse.Price Discovery in the Hang Seng Index Markets:index,Futures,And The Tracker Fund[J].The Journal of Futures Markets,2004:887-907
[23]Travis Jones,Robert Brooks.An analysis of single-stock futures trading in the U.S[J].Financial Services Review 2005:85-95
[24]Wen Liang,Gideon Hsieh.Regulatory Changes And Information Competition:The Case of Taiwan Index Futures[J].The Journal of Futures Markets,2004:399-412
[25]Yiuman Tse,Ju Xiang,Joseph K.W.Fung.Price Discovery in the Foreign Exchange Futures Market[J].The Journal of Futures Markets,2006:1131-1143
[26]曹永福.格兰杰因果性检验评述[J].数量经济技术经济研究,2006(1):155-160
[27]程婧,刘志奇.恒生股指期货与股票现货协整关系研究[J].金融经济,2003(11):33-36
[28]戴晓凤,朱海燕.股指期货与股票市场定价效率问题[J].财经理论与实践,2005(5):48-53
[29]方丰,王红亮.GARCH模型在研究股市交易量与股价关系中的应用[J].金融与经济,2005(12):33-35
[30]郭洪钧.股票指数:期货价格与现货价格的领先-滞后关系[J].经济理论与经济管理.2007:48-52
[31]季冬生,魏建华等.股指期货[M].中国时代经济出版社,2002(1)
[32]李亚静,朱宏泉,彭育威.基于GARCH模型族的中国股市波动性预测[J].数字的实践与认识,2003(11):65-71
[33]刘玲,谢赤,曾志坚.股票价格指数与宏观经济变量关系的实证研究[J].湖南师范大学学报,2006(5):82-87
[34]刘炜.证券投资基金德系统性风险和股指期货德发展[J].科技进步与对策,2005(9):79-81
[35]卢万青,沈培喜.格兰杰因果检验在我国经济周期研究中的应用[J].统计研究,2002(2):47-50
[36]毛寒松,赵泉.国外股指期货交易取得成功的原因[J].改革与理论,2000(1):42-43
[37]庞皓,陈述云.格兰杰因果检验的有效性及其应用[J].统计研究,1999(11):42-44
[38]邱晓明.股指期货推出对我国证券市场投资者投资策略影响分析[N].商场现代化,2006(11):293-294
[39]任燕燕,李学.股指期货与现货之间超前滞后关系的研究[J].山东大学学报,2006(5):86-89
[40]深圳证券交易所股指期货小组.股指期货交易场所选择分析[N].证券市场导报,2005(9):4-6
[41]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
[42]宋逢明,江婕.中国股票市场波动特性的实证研究[J].金融研究,2003(4):27-35
[43]田晓军.海外中国股指期货的发展及其影响[N].证券市场导报,2005(9):4-6
[44]汪力.上证综指GARCH类模型探讨[J].统计与决策,2005(1):23-24
[45]王沛英,王学军.对香港股指期货市场的考察与分析[J].亚太经济,2004(3):88-90
[46]王沛英.香港股指期货市场的发展及其启示[J].决策参考,2004(1):29-30
[47]王勇,张小南.股指期货交易运作模式的比较及启示[J].财经科学,2002(6):81-83
[48]王振全,徐山鹰.协整模型与预测[J].国际贸易,2000(1):23-26
[49]魏全球.从信息的市场效率看股指期货对股票市场的定价影响[D].兰州大学硕士学位论文,2006
[50]肖辉,吴冲锋.股指与股指期货日内互动关系研究[J].系统工程理论与实践,2004(5):15-21
[51]徐枫.股票价格预测德GARCH模型[J].统计与决策,2006(7):107-109
[52]徐旭初.股指期货的国际比较研究-模型、实证及中国课题[D].博士学位论文,复旦大学,2003
[53]杨朝峰.股指期货价格形成机制研究[D].博士学位论文,同济大学,2005
[54]杨峰.海外股指期货市场比较研究[J].金融研究,2002(7):36-43
[55]杨胜刚,汪琛德.全球股指期货与期权市场德发展动向及启示[J].国际金融研究,2006(11):36-41
[56]叶德磊.我国开设股票股指期货交易德理论论证与运作设计[J].华东师范大学学报,2001(5):86-128
[57]应展宇.我国股指期货的指数选择及其对现货市场的影响[J].经济导刊,2001
[58]虞立戎.股指期货交易手册[M].东航期货研发部,2007:1-42
[59]喻小军.开设本土股指期货对我国金融市场秩序的影响[J].特区经济,2005(9):79-80
[60]应望江.从台湾实践看股指期货对现货市场的影响[J].证券市场导报,2001/07
[61]王勇.股指期货交易运作模式的比较及启示[J].财经科学,2002(6)
[62]赵丹丹.股指期货和股票现货市场关系研究[D].硕士学位论文,对外经济贸易大学,2006
[63]赵亮.股指期货标的指数选择的研究[J].山西财经大学学报,2006(2):104-108
[64]周蓓,齐中英.对我国期货市场波动性的分阶段实证研究[J].数理统计与管理,2007:518-527
[65]周建,李子奈.Granger因果关系检验的适用性[J].清华大学学报,2004(3):358-361
[66]左浩苗.韩国股指期货市场的发展经验及启示[J].商场现代化,2006(8):327-328
[67]刘庆富,王海民.期货市场与现货市场之间的价格研究[J].财经问题研究,2006(4):44-51
[68]何丽君等.股指期货对A股市场的影响及券商对策[J].经济理论与经济管理,2002(3):42-44
[69]赵沂蒙.中国股指期货标的指数的实证分析[J].上海财经大学学报,2003(4):24-28
[70]彭蕾等.股指期货推出对股市波动性影响研究--来自日本的实证分析[J].云南财贸学院学报,2004(5):34-36
[71]陈健.ARCH类模型研究及其在沪市A股中德应用[J].数理统计与管理,2003(3):10-26
[72]田华,曹家和.中国股票市场报酬与波动的GARCH-M模型[J].系统工程理论与实践,2003(8):81-86