股指期货和股票现货互动关系实证研究
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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.
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
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11 Patterson K.An Introduction to App lied Econometrics:A Time Series Approach.Hampshire:Macmillan Press LTD.2000
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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
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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.
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