我国股指期货对股票市场影响的实证研究
摘要
本文的研究对象是沪深300股票指数期货。文章借鉴了国内外学者的研究经验,以股指期货的发展状况和相关理论为基础,采用了定性分析与实证研究相结合的研究方法。首先详尽阐述了股指期货在全球及国内的发展背景,介绍了沪深300股指期货的概念,包括特点、功能及其与股票交易的区别。在就沪深300股指期货对二级市场影响的定性分析之前介绍了沪深300指数期货合约的详尽内容,对沪深30O股指期货与沪深30O指数相对波动进行对比分析,并且进一步针对沪深3OO股指期货推出前后现货的波动变化情况进行了比较分析。在理论分析部分,重点阐述了时间序列分析的BJ方法,研究了自回归移动平均模型,包括模型的识别、参数估计和检验,其后研究了多用于分析金融时间序列的自回归条件异方差模型,包含其广义形式。本文研究的重点部分是实证研究沪深300股指期货对股票市场的影响,对沪深300指数日收益率进行描述性统计表明该序列不服从正态分布,进而对沪深300指数日收益率序列进行平稳性检验和自相关性检验,在ARCH效应检验的基础上,确定了沪深300指数日收益率的ARMA模型,进一步确定了沪深300指数日收益率的GARCH模型,在对拟合的GARCH模型进行参数估计和ARCH效应检验后,证明了股指期货对我国股票市场波动性的影响。最后提出了应对我国股指期货风险的对策建议。
This paper put the HS300 stock index futures as the research object, which based on the study results from abroad as well as on the development and related theory of the stock index futures, using qualitative and quantitative methods. Firstly, state extensively the development background of stock index futures in our country and in the world, present the concept of it, including features、functions and the difference between it and stock. Then present the content of HS300 stock index futures contracts before the qualitative analysis of the effect of it on the stock market, making the comparative analysis of the fluctuations between them, and also making the comparative analysis of the fluctuations of stock market that before and after the HS300 stock index futures that appear to the market. In the theory analysis part, pay much attention to the BJ method of which is one method of time series analysis, study the ARMA, including the identification、parameter estimation、and test, then study the ARCH that often be used to analyze the financial time series, including GARCH. The important part for this paper is the quantitative research of the effect of HS300 stock index futures on stock market, the descriptive statistics of HS300 stock index futures’daily return ratio state that the sequence is not the normal distribution, then making the ADF test and Autocorrelation test, based on the ARCH test, fix the ARMA of HS300 stock index futures’daily return ratio, then fix the GARCH of it. After the parameter estimation and ARCH test of GARCH, proving the volatility effect of the stock index futures on our stock market. At last, proposing measures and suggestions which response the risk of stock index futures in our country.
This paper put the HS300 stock index futures as the research object, which based on the study results from abroad as well as on the development and related theory of the stock index futures, using qualitative and quantitative methods. Firstly, state extensively the development background of stock index futures in our country and in the world, present the concept of it, including features、functions and the difference between it and stock. Then present the content of HS300 stock index futures contracts before the qualitative analysis of the effect of it on the stock market, making the comparative analysis of the fluctuations between them, and also making the comparative analysis of the fluctuations of stock market that before and after the HS300 stock index futures that appear to the market. In the theory analysis part, pay much attention to the BJ method of which is one method of time series analysis, study the ARMA, including the identification、parameter estimation、and test, then study the ARCH that often be used to analyze the financial time series, including GARCH. The important part for this paper is the quantitative research of the effect of HS300 stock index futures on stock market, the descriptive statistics of HS300 stock index futures’daily return ratio state that the sequence is not the normal distribution, then making the ADF test and Autocorrelation test, based on the ARCH test, fix the ARMA of HS300 stock index futures’daily return ratio, then fix the GARCH of it. After the parameter estimation and ARCH test of GARCH, proving the volatility effect of the stock index futures on our stock market. At last, proposing measures and suggestions which response the risk of stock index futures in our country.
引文
[1] John Millers. Stock Index 0ptions and Futures[M]. New York: McGraw-Hill Book, 1993:5~7
[2] Charles M S Sutcliffe. Stock index futures: Theories and International evidence[M]. London: International Thomson Business Press, 1997:3~9
[3] Antonios Antoniou, Gregory Koutmos. Momentum Trading: Evidence From Futures Markets. Papers.SSrn.com, 2004-02-02
[4] Sung C Bae, Taek Ho Kwon, Jong Won Park. Futures Trading, Spot Market Volatility, and Market Efficiency: The Case of the Korean Index Futures Markets. The Journal of Futures Markets, 2004, 24(12):1195~1228
[5] Antonios Antoniou and Phil Holmes, Systematic Risk and Returns to Stock Index Futures Contracts: International Evidence, The Journal of Futures Markets, October, 1994
[6] Bacha and Vila. Futures markets, regulation and volatility: The case of the Nillei stock index futures markets. Pacific-Basin Finance Journal, 1994, vol.2, no.2-3, 201~225
[7] Koch, P.D. and Koch, T.W. Index and non-index stock price volatilities around the 1987 market crash. Journal of Business Research, 1993, vol.26, no.2,189~199
[8] Anchada Charoenrook, Hazem Daouk. The world price of short selling, working paper. The Owen Graduate School of Management, Vanderbilt University, 2003
[9] Cheung, Y.W. and Ng, L.K. The Dynamics of S&P500 Index and S&P500 Futures intraday price volatilities. Reviewof Futures Markets, 1990, vol.9
[10] Bessembinder, H and Seguin, P.J. Futures-trading activity and stock price volatility. Journal of Finance, 1992, vol.47, no.5,2015~2034
[11] Aggarwal, R. Stock index futures and cash market volatility. Review of Futures Markets, 1988, vol.9, no.2,290~299
[12] Lockwood L, S Linn. An Examination of Stock Market Return Volatility during Overnight and Intraday Periods:1964—1989. Journal of Finance, 1990(12):54~81
[13] Kawaller, Koch, P.D. and Koch, T.W. The temporal price relationship between S&P500 futures prices and the S&P500 index. Journal of Finance, 1987, vol.5, 1309~1329
[14] Brorsen, B.W. Futures trading, transaction costs and stock market volatility. Journal of Futures Markets, 1991, vol.11, no.2,153~163
[15] Friedman, D., Harrison, G.W. and Salmon, J.W. The informational role of futuresmarkets: some experimental evidence. In Futures Markets: Modeling, Managing and Monitoring Futures Trading, edited by M.E. Streit, Basil Blackwell, Oxford, 1983, 124~164
[16] Brenner, Subrahmanyam and Uno. The behavior of prices in the Nikkei spot and futures market. Journal of Financial Economics, 1989, vol.23, no.2,363~383
[17] Aswath Damodaran. Index Futures And Stock Market Volatility. Review of Futures Markets, 1990,9(2):442~457
[18] Figlewski. Hedging performance and basis risk in stock index futures[J]. Journal of Finance, 1984(39):657~669
[19]杨鹃.股指期货推出的思考[J].财会研究,2010(10):54
[20]冯迅,郑蕾芸.我国股指期货与股票交易的关联性分析[J].税务与经济,2007(5):41～42
[21]曹忠忠,吴光伟,赵广君.我国开设股指期货需着重注意的几个问题[J].价格理论与实践,2007(7):65
[22]龚志勇.从亚洲实践探讨股指期货与股票现货市场之间的关系[J].2008(2):44～45
[23]高雅慧.股指期货的推出对我国的重要意义[J].科技经济市场,2009(7):44
[24]王劲松,张翅.股指期货的推出对我国股票市场的影响及其风险管理[N].湖北经济学院学报(人文社会科学版),2009(7):55
[25]雷小蓉.谈股指期货对股票市场的影响[J].工业审计与会计,2007(4):27
[26]张足天.我国发展股指期货的意义与可行性[J].时代金融,2009(11):76
[27]刘赓耀,李建华.金融危机下股指期货与现货市场关系的实证研究[N].中南财经政法大学研究生学报,2009(5):30
[28]李堪.A50股指期货与中国内地股市价格发现实证研究[J].金融教学与研究,2010(1):64
[29]王荣.沪深300指数期货与股票现货关系的实证研究[J].经济论坛,2008(4):116
[30]顾奋宇.股票现货与股指期货市场之比较[J].中国证券期货,2008(4):18
[31]任燕燕,李学.股指期货与现货之间超前滞后关系的研究[N].山东大学学报(哲学社会科学版),2006(5):86
[32]王子柱,张玉梅.试析股指期货的投资策略及方法[J].新金融,2010(4):46
[33]马斌.基于ETF的股指期货套利研究[J].统计与决策,2010(7):141
[34]蒋虹,曲丹丹.基于VaR的沪深300股指期货风险管理实证研究[J].经济问题,2008(12):119
[35]袁象,余思勤.股票现货市场卖空限制与股指期货价格关系的实证分析[J].价格月刊,2008(2):71
[2] Charles M S Sutcliffe. Stock index futures: Theories and International evidence[M]. London: International Thomson Business Press, 1997:3~9
[3] Antonios Antoniou, Gregory Koutmos. Momentum Trading: Evidence From Futures Markets. Papers.SSrn.com, 2004-02-02
[4] Sung C Bae, Taek Ho Kwon, Jong Won Park. Futures Trading, Spot Market Volatility, and Market Efficiency: The Case of the Korean Index Futures Markets. The Journal of Futures Markets, 2004, 24(12):1195~1228
[5] Antonios Antoniou and Phil Holmes, Systematic Risk and Returns to Stock Index Futures Contracts: International Evidence, The Journal of Futures Markets, October, 1994
[6] Bacha and Vila. Futures markets, regulation and volatility: The case of the Nillei stock index futures markets. Pacific-Basin Finance Journal, 1994, vol.2, no.2-3, 201~225
[7] Koch, P.D. and Koch, T.W. Index and non-index stock price volatilities around the 1987 market crash. Journal of Business Research, 1993, vol.26, no.2,189~199
[8] Anchada Charoenrook, Hazem Daouk. The world price of short selling, working paper. The Owen Graduate School of Management, Vanderbilt University, 2003
[9] Cheung, Y.W. and Ng, L.K. The Dynamics of S&P500 Index and S&P500 Futures intraday price volatilities. Reviewof Futures Markets, 1990, vol.9
[10] Bessembinder, H and Seguin, P.J. Futures-trading activity and stock price volatility. Journal of Finance, 1992, vol.47, no.5,2015~2034
[11] Aggarwal, R. Stock index futures and cash market volatility. Review of Futures Markets, 1988, vol.9, no.2,290~299
[12] Lockwood L, S Linn. An Examination of Stock Market Return Volatility during Overnight and Intraday Periods:1964—1989. Journal of Finance, 1990(12):54~81
[13] Kawaller, Koch, P.D. and Koch, T.W. The temporal price relationship between S&P500 futures prices and the S&P500 index. Journal of Finance, 1987, vol.5, 1309~1329
[14] Brorsen, B.W. Futures trading, transaction costs and stock market volatility. Journal of Futures Markets, 1991, vol.11, no.2,153~163
[15] Friedman, D., Harrison, G.W. and Salmon, J.W. The informational role of futuresmarkets: some experimental evidence. In Futures Markets: Modeling, Managing and Monitoring Futures Trading, edited by M.E. Streit, Basil Blackwell, Oxford, 1983, 124~164
[16] Brenner, Subrahmanyam and Uno. The behavior of prices in the Nikkei spot and futures market. Journal of Financial Economics, 1989, vol.23, no.2,363~383
[17] Aswath Damodaran. Index Futures And Stock Market Volatility. Review of Futures Markets, 1990,9(2):442~457
[18] Figlewski. Hedging performance and basis risk in stock index futures[J]. Journal of Finance, 1984(39):657~669
[19]杨鹃.股指期货推出的思考[J].财会研究,2010(10):54
[20]冯迅,郑蕾芸.我国股指期货与股票交易的关联性分析[J].税务与经济,2007(5):41～42
[21]曹忠忠,吴光伟,赵广君.我国开设股指期货需着重注意的几个问题[J].价格理论与实践,2007(7):65
[22]龚志勇.从亚洲实践探讨股指期货与股票现货市场之间的关系[J].2008(2):44～45
[23]高雅慧.股指期货的推出对我国的重要意义[J].科技经济市场,2009(7):44
[24]王劲松,张翅.股指期货的推出对我国股票市场的影响及其风险管理[N].湖北经济学院学报(人文社会科学版),2009(7):55
[25]雷小蓉.谈股指期货对股票市场的影响[J].工业审计与会计,2007(4):27
[26]张足天.我国发展股指期货的意义与可行性[J].时代金融,2009(11):76
[27]刘赓耀,李建华.金融危机下股指期货与现货市场关系的实证研究[N].中南财经政法大学研究生学报,2009(5):30
[28]李堪.A50股指期货与中国内地股市价格发现实证研究[J].金融教学与研究,2010(1):64
[29]王荣.沪深300指数期货与股票现货关系的实证研究[J].经济论坛,2008(4):116
[30]顾奋宇.股票现货与股指期货市场之比较[J].中国证券期货,2008(4):18
[31]任燕燕,李学.股指期货与现货之间超前滞后关系的研究[N].山东大学学报(哲学社会科学版),2006(5):86
[32]王子柱,张玉梅.试析股指期货的投资策略及方法[J].新金融,2010(4):46
[33]马斌.基于ETF的股指期货套利研究[J].统计与决策,2010(7):141
[34]蒋虹,曲丹丹.基于VaR的沪深300股指期货风险管理实证研究[J].经济问题,2008(12):119
[35]袁象,余思勤.股票现货市场卖空限制与股指期货价格关系的实证分析[J].价格月刊,2008(2):71