股指期货的推出对我国股市波动性和流动性的变动影响及对策研究
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摘要
2010年4月16日,我国金融期货交易所正式推出了以沪深300股票指数作为标的物的标准化股指期货合约。股指期货的推出使得我国股票投资者有了抵御市场风险的金融衍生工具,也为我国股票市场进一步发展、走向成熟奠定了很好的基础。目前国内尚缺少针对沪深300股指期货推出后对股票市场波动性、流动性和市场效率影响的系统性研究,因此沪深300股指期货的推出对我国股票市场影响这一课题具有很强的现实意义。本文对沪深300股指期货推出后对我国股票市场的波动影响、流动影响以及利用沪深300股指期货进行套期保值进行实证研究,讨论股指期货推出前后市场效率的变化,为投资者、政策制定者和市场监管者进一步了解市场机制、制定相关政策和市场监管提供了一定的建议。
本文分为六章,第一章主要介绍研究背景和意义、文献综述、研究方法和创新点等；第二章主要介绍股指期货相关实务和理论,包括股指期货的定义、特点、国内外股指期货的对比以及沪深300股票指数的编制等；第三章研究沪深300股指期货的推出对我国股票市场波动性的影响；第四章研究沪深300股指期货的推出对我国股票市场流动性的影响；第五部分研究如何利用沪深300股指期货进行套期保值的策略；第六章是论文的总结。
本文研究的结论主要有以下几点：
1.在沪深300股指期货推出对股票市场波动影响的研究中,发现沪深300股指期货的推出导致我国股票市场信息对收益率方差的直接和间接影响变得很显著,而在股指期货推出前,并没有这种显著的影响,沪深300股指期货的推出改善了市场对信息的反应速度和反应力度,使得市场更有效率。此外,我国市场在沪深300股指期货推出后对好、坏消息的反应要比股指期货推出前更加对称,我国股票市场的效率在沪深300股指期货推出后得到了很好的改善。
2.提出了衡量市场流动性的EPLS指标和流动弹性指标,发现由于沪深300股指期货推出后,市场的资金进行了分流,因此在股指期货推出后我国股票市场流动性在短期内下降,但是从长期来看,沪深300股指期货的推出会提高我国股票市场的流动性。通过EPLS指标与其他流动性指标相比,发现EPLS指标对市场流动性的反应更加敏感,克服了Martin、Amihud等指标的缺陷。
3.在套期保值的策略方面,发现不同模型的套期保值效果不同,并且发现了套期保值下资产的风险仅为没有套期保值时的10.98%。在我国市场上,向量误差修正模型的套期保值效率表现并没有比简单误差修正模型和向量自回归好；基于OLS的套期保值效果不仅没有比向量自回归、误差修正模型的表现要差,相反还是在样本期内套期保值效果最好的,这说明复杂计量模型并不一定会带来很好的效果,而在实务中采用OLS套保策略进行投资效果也不会很差。
On April16,2010, the standard stock index futures of Hushen300price index formally launched by China Financial Futures Exchange give the investors of our country a financial derivative to hedge the system risk of the stock market, providing a basis for further development and maturity of China's security market. However, there is not a systemic research on the influence which is mainly the volatility and liquidity and efficiency of the stock index futures, so the subject of the influence of Hushen300stock index future is practical and significant. In this thesis, most attentions paid are focus on the volatility and liquidity of stock market influenced by Hushen300stock index future and its function of hedging. The different effectiveness of market before and after the introduction of stock index futures is discussed, trying to give some advice and recommendations for the investors, policy-makers and market regulators.
The thesis is composed by six chapters. Chapter one is the introduction, including the background of the research, related literature, research methods, and possible innovations; related practice of the stock index futures is introduced in Chapter two, including the concept, features of the stock index futures, the comparison between domestic and abroad, and the design of Hushen300price index. The volatility and liquidity of the stock market influenced by Hushen300stock index future is studied in Chapter three and four respectively. Chapter five gives the analysis of hedging using the Hushen300stock index futures, and the summary is given in Chapter six.
The main results of the thesis are shown in below:
1.In the studies of volatility effectiveness influenced by Hushen300stock index futures, it's found that after the introduction of the future, the direct and indirect effect of the information in stock market is significant. However, the situation is not found before the introduction of the future, which shows that the introduction of the future makes the market more effectively. Furthermore, the reaction of the market to the good information and bad information is more symmetric after the introduction of the Hushen300stock index futures.
2. Two new indicators of market liquidity, EPLS and elasticity of liquidity, are proposed. And using the indicators it is found that after the future launched, the liquidity slows down in the short run due to the split-flow of the market capital. But in the long run, the liquidity is faster. It's also found that the new indicator EPLS is more sensitive to the change of liquidity compared with other indicators, which improve the robustness of the method to measure the liquidity.
3. In hedging strategy analysis, the result shows that hedging effectiveness is different from different models, and on average, the risk with hedging capital is only10.98%of the risk capital without hedging. In China's stock market, the hedging effectiveness of Vector Error Correction Model (VECM) is not good as simple Error Correction Model (ECM) or Vector Auto-regression Model (VARM), which is not the same as the mature market showed by other scholars. However, the hedging effectiveness of OLS is not as bad as VARM or VECM, but better, showing that the complex econometrics model does not necessarily have the good results. Maybe in practice, it's better to use the simple model to decide your invest strategy.
本文分为六章,第一章主要介绍研究背景和意义、文献综述、研究方法和创新点等；第二章主要介绍股指期货相关实务和理论,包括股指期货的定义、特点、国内外股指期货的对比以及沪深300股票指数的编制等；第三章研究沪深300股指期货的推出对我国股票市场波动性的影响；第四章研究沪深300股指期货的推出对我国股票市场流动性的影响；第五部分研究如何利用沪深300股指期货进行套期保值的策略；第六章是论文的总结。
本文研究的结论主要有以下几点：
1.在沪深300股指期货推出对股票市场波动影响的研究中,发现沪深300股指期货的推出导致我国股票市场信息对收益率方差的直接和间接影响变得很显著,而在股指期货推出前,并没有这种显著的影响,沪深300股指期货的推出改善了市场对信息的反应速度和反应力度,使得市场更有效率。此外,我国市场在沪深300股指期货推出后对好、坏消息的反应要比股指期货推出前更加对称,我国股票市场的效率在沪深300股指期货推出后得到了很好的改善。
2.提出了衡量市场流动性的EPLS指标和流动弹性指标,发现由于沪深300股指期货推出后,市场的资金进行了分流,因此在股指期货推出后我国股票市场流动性在短期内下降,但是从长期来看,沪深300股指期货的推出会提高我国股票市场的流动性。通过EPLS指标与其他流动性指标相比,发现EPLS指标对市场流动性的反应更加敏感,克服了Martin、Amihud等指标的缺陷。
3.在套期保值的策略方面,发现不同模型的套期保值效果不同,并且发现了套期保值下资产的风险仅为没有套期保值时的10.98%。在我国市场上,向量误差修正模型的套期保值效率表现并没有比简单误差修正模型和向量自回归好；基于OLS的套期保值效果不仅没有比向量自回归、误差修正模型的表现要差,相反还是在样本期内套期保值效果最好的,这说明复杂计量模型并不一定会带来很好的效果,而在实务中采用OLS套保策略进行投资效果也不会很差。
On April16,2010, the standard stock index futures of Hushen300price index formally launched by China Financial Futures Exchange give the investors of our country a financial derivative to hedge the system risk of the stock market, providing a basis for further development and maturity of China's security market. However, there is not a systemic research on the influence which is mainly the volatility and liquidity and efficiency of the stock index futures, so the subject of the influence of Hushen300stock index future is practical and significant. In this thesis, most attentions paid are focus on the volatility and liquidity of stock market influenced by Hushen300stock index future and its function of hedging. The different effectiveness of market before and after the introduction of stock index futures is discussed, trying to give some advice and recommendations for the investors, policy-makers and market regulators.
The thesis is composed by six chapters. Chapter one is the introduction, including the background of the research, related literature, research methods, and possible innovations; related practice of the stock index futures is introduced in Chapter two, including the concept, features of the stock index futures, the comparison between domestic and abroad, and the design of Hushen300price index. The volatility and liquidity of the stock market influenced by Hushen300stock index future is studied in Chapter three and four respectively. Chapter five gives the analysis of hedging using the Hushen300stock index futures, and the summary is given in Chapter six.
The main results of the thesis are shown in below:
1.In the studies of volatility effectiveness influenced by Hushen300stock index futures, it's found that after the introduction of the future, the direct and indirect effect of the information in stock market is significant. However, the situation is not found before the introduction of the future, which shows that the introduction of the future makes the market more effectively. Furthermore, the reaction of the market to the good information and bad information is more symmetric after the introduction of the Hushen300stock index futures.
2. Two new indicators of market liquidity, EPLS and elasticity of liquidity, are proposed. And using the indicators it is found that after the future launched, the liquidity slows down in the short run due to the split-flow of the market capital. But in the long run, the liquidity is faster. It's also found that the new indicator EPLS is more sensitive to the change of liquidity compared with other indicators, which improve the robustness of the method to measure the liquidity.
3. In hedging strategy analysis, the result shows that hedging effectiveness is different from different models, and on average, the risk with hedging capital is only10.98%of the risk capital without hedging. In China's stock market, the hedging effectiveness of Vector Error Correction Model (VECM) is not good as simple Error Correction Model (ECM) or Vector Auto-regression Model (VARM), which is not the same as the mature market showed by other scholars. However, the hedging effectiveness of OLS is not as bad as VARM or VECM, but better, showing that the complex econometrics model does not necessarily have the good results. Maybe in practice, it's better to use the simple model to decide your invest strategy.
引文
① 数据来源于艾洪德、李黎和张羽,股指期货和期权市场：回顾与展望[J],财贸经济,2007年第9期,第
43页。原文指出道琼斯工业指数从1973年1月11日的1051.69点下跌到1974年12月6日的577.6点。
① 此段数据和内容主要部分摘自刘志超,境外期货交易[M],北京：中国财政经济出版社,第1版,2005。
② 表格部分摘自施红梅和施东辉,股票指数期货：模式设计和运作构想[J],证券市场导报,2000年,第1期,第15页。
① Brady Commission Report,1988, "Report of the presidential task force on market mechanism"。
① 上述摘自于田源,期货市场[M],北京：改革出版社,1989年,第2页。
① 由中国证监会网站相关信息整理,网址为http://www.csrc.gov.cn/pub/newsite/zjhjs/jgzn/o
① 资料和数据来源自中国金融期货交易所网站,http://www.cffex.com.cn/。
① 主要参考姚兴涛,《期指术：股指期货博弈》,立信会计出版社,2001年,第74-84页。
① 刘永,海外股指期货发展一瞥[J],大众理财,2010年第11期,第91页。
① Cochran, W.G, and GM. Cox, Experimental Designs[M]. New York:John Wiley & Sons, Inc.1950.
① Tsay, R.S., Analysis of Financial Time Series[M]. New York:John Wiley & Sons, Inc.,2005, pp.9-10.
① 刘善存.金融市场微观结构模型、方法和应用[M].北京：中国财政经济出版社,2006.
① 深圳证券交易所综合研究所研究报告第0066号,《深圳股票市场流动性研究》,2003年。
① 深圳证券交易所综合研究所研究报告第0066号,《深圳股票市场流动性研究》,2003年。
① 这些方法主要摘自Conover, W.J., Practical Nonparametric Statistics[M]. Third Edition, New York:John Wiley & Sons, Inc.,1999.
② 本部分的模型和估计方法主要参考SAS帮助系统和《计量经济分析方法与建模》(高铁梅,北京：清华大学出版社,第二版)的模型。
① 刘建桥和孙文全,沪深300仿真股指期货价格不对称跳跃波动的实证分析[J].数理统计与管理,2010年第6期,pp.1099-1100.
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43页。原文指出道琼斯工业指数从1973年1月11日的1051.69点下跌到1974年12月6日的577.6点。
① 此段数据和内容主要部分摘自刘志超,境外期货交易[M],北京：中国财政经济出版社,第1版,2005。
② 表格部分摘自施红梅和施东辉,股票指数期货：模式设计和运作构想[J],证券市场导报,2000年,第1期,第15页。
① Brady Commission Report,1988, "Report of the presidential task force on market mechanism"。
① 上述摘自于田源,期货市场[M],北京：改革出版社,1989年,第2页。
① 由中国证监会网站相关信息整理,网址为http://www.csrc.gov.cn/pub/newsite/zjhjs/jgzn/o
① 资料和数据来源自中国金融期货交易所网站,http://www.cffex.com.cn/。
① 主要参考姚兴涛,《期指术：股指期货博弈》,立信会计出版社,2001年,第74-84页。
① 刘永,海外股指期货发展一瞥[J],大众理财,2010年第11期,第91页。
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① 深圳证券交易所综合研究所研究报告第0066号,《深圳股票市场流动性研究》,2003年。
① 深圳证券交易所综合研究所研究报告第0066号,《深圳股票市场流动性研究》,2003年。
① 这些方法主要摘自Conover, W.J., Practical Nonparametric Statistics[M]. Third Edition, New York:John Wiley & Sons, Inc.,1999.
② 本部分的模型和估计方法主要参考SAS帮助系统和《计量经济分析方法与建模》(高铁梅,北京：清华大学出版社,第二版)的模型。
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