股指期货功能理论与实证研究
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摘要
股指期货属于金融期货商品的一种,它是以股票指数为标的物的期货合约。股指期货的推出将股票市场和期货市场有机的连接在一起,为投资者提供了新的投资和风险管理的工具。股指期货通常具有价格发现、套期保值和套利三大功能,本文试图从理论和实证两个方面对股指期货具有的三个主要功能进行研究。
股指期货具有的价格发现功能是套期保值和套利功能实现的基础,理论上,期货价格会反映出未来现货价格的预期,也会影响到目前的现货价格。通过对韩国KOSPI200股指期货的价格发现功能的研究发现,韩国股指期货与现货之间存在着双向的格兰杰因果关系,并且在价格发现过程中,期货价格起着主导性作用。期货市场之所以具有价格发现功能的特性,主要是因为期货市场交易成本低,期货交易只需缴纳合约价值的部份保证金即可进行买卖,吸引了大量投资者,另外期货交易的市场规模也是价格发现功能的一个重要原因。
股指期货的套期保值功能是股指期货的核心功能,为了规避股票投资组合的市场风险,投资者可以利用股指期货来对冲股票投资组合的风险,在实际操作中,套期保值比率的计算是评价套期保值效果的关键因素。文中以香港H股ETF基金为现货,利用恒生指数期货进行套期保值的研究,对静态套期保值模型和动态套期保值模型以及非线性套期保值模型进行了比较,实证结果发现双变量ECM模型、BEKK模型和Normal Copula模型能够取得较好的套期保值效果。
股指期货的套利功能是促进市场效率运作的重要一环。利用指数套利不仅能够增加期货与现货市场的流动性,而且当市场出现多空失衡时,套利活动能够消除期货价格与其均衡价格的差异,如果市场缺乏套利交易将使得指数期货价格大大偏离其理论价格,使套期保值者无法运用指数期货有效地规避风险。文中完整的展现了运用沪深300股指期货仿真交易与ETF基金组合进行期限套利的全过程,发现仿真交易中存在着大量的套利机会,并且指出当前投资者运用沪深300股指期货进行期限套利交易需要注意的五个方面的风险。
最后总结全文,得出结论,并且在分析结论的基础上提出了促进股指期货市场功能发挥的政策建议。
Stock index futures belong to the financial futures commodity, the subject matter of which are stock index. The list of stock index futures combines both the stock market and the futures market, thus providing a new investment and risk management tool for the investors. Generally, stock index futures have three functions, that is, price discovery, hedging and arbitrage. In this paper, the author will study the above three functions of stock index futures in theory and demonstration.
Price discovery is the basis of hedging and arbitrage in stock index futures. In theory, futures price will not only reflect the price expectation in spot market, but will affect its current price. After studying on price discovery function of the South Korea KOSPI 200 stock index futures, we find that there is a bilateral Granger causality between the South Korea’s stock index futures and spot market, and that futures price dominates the market in the process of price discovery. The reasons why futures market has price discovery function are that futures market is lower in exchange cost and it can make transactions providing its turn-in of part of guarantee pay, thus attracting a great many investors. Besides, the marketing scale of futures transaction is also an important reason for the price discovery function.
Hedging is the core function in stock index futures. For the sake of elusion of market risks in stock investment portfolio, investors are able to make use of stock index futures to hedge the above risks. In practice, the calculation of hedging ratio is the key factor to assess hedging effect. In this paper, we take Hongkong H stock ETF fund as spot, and use Hengsheng Index futures to study hedging and make a comparison of static hedging model, dynamic hedging model and non-linear hedging model. The result shows that bivariate ECM model, BEEK model and Normal Copular model can make a good performance in hedging.
The arbitrage function of stock index futures plays a very important role in improving market efficiency. We can make use of index arbitrage to increase fluidity between futures market and spot market, and it can also get rid of the difference between futures price and balanced price when imbalances are formed in the market. If the market lacks arbitrage transaction, the futures index price will greatly deviate from its expected price, thus making hedgers unable to elude risks by using index futures. This paper reflects the whole hedging process of HS300 stock index futures and ETF fund simulation transactions, and we find that there are many arbitrage opportunities in them, and that there are 5 risks investors have to prevent while using HS300 stock index futures to arbitrage.
Finally, we conclude the whole paper and make a conclusion and come up with some suggestions and advice on the basis of analyzing the above conclusion.
股指期货具有的价格发现功能是套期保值和套利功能实现的基础,理论上,期货价格会反映出未来现货价格的预期,也会影响到目前的现货价格。通过对韩国KOSPI200股指期货的价格发现功能的研究发现,韩国股指期货与现货之间存在着双向的格兰杰因果关系,并且在价格发现过程中,期货价格起着主导性作用。期货市场之所以具有价格发现功能的特性,主要是因为期货市场交易成本低,期货交易只需缴纳合约价值的部份保证金即可进行买卖,吸引了大量投资者,另外期货交易的市场规模也是价格发现功能的一个重要原因。
股指期货的套期保值功能是股指期货的核心功能,为了规避股票投资组合的市场风险,投资者可以利用股指期货来对冲股票投资组合的风险,在实际操作中,套期保值比率的计算是评价套期保值效果的关键因素。文中以香港H股ETF基金为现货,利用恒生指数期货进行套期保值的研究,对静态套期保值模型和动态套期保值模型以及非线性套期保值模型进行了比较,实证结果发现双变量ECM模型、BEKK模型和Normal Copula模型能够取得较好的套期保值效果。
股指期货的套利功能是促进市场效率运作的重要一环。利用指数套利不仅能够增加期货与现货市场的流动性,而且当市场出现多空失衡时,套利活动能够消除期货价格与其均衡价格的差异,如果市场缺乏套利交易将使得指数期货价格大大偏离其理论价格,使套期保值者无法运用指数期货有效地规避风险。文中完整的展现了运用沪深300股指期货仿真交易与ETF基金组合进行期限套利的全过程,发现仿真交易中存在着大量的套利机会,并且指出当前投资者运用沪深300股指期货进行期限套利交易需要注意的五个方面的风险。
最后总结全文,得出结论,并且在分析结论的基础上提出了促进股指期货市场功能发挥的政策建议。
Stock index futures belong to the financial futures commodity, the subject matter of which are stock index. The list of stock index futures combines both the stock market and the futures market, thus providing a new investment and risk management tool for the investors. Generally, stock index futures have three functions, that is, price discovery, hedging and arbitrage. In this paper, the author will study the above three functions of stock index futures in theory and demonstration.
Price discovery is the basis of hedging and arbitrage in stock index futures. In theory, futures price will not only reflect the price expectation in spot market, but will affect its current price. After studying on price discovery function of the South Korea KOSPI 200 stock index futures, we find that there is a bilateral Granger causality between the South Korea’s stock index futures and spot market, and that futures price dominates the market in the process of price discovery. The reasons why futures market has price discovery function are that futures market is lower in exchange cost and it can make transactions providing its turn-in of part of guarantee pay, thus attracting a great many investors. Besides, the marketing scale of futures transaction is also an important reason for the price discovery function.
Hedging is the core function in stock index futures. For the sake of elusion of market risks in stock investment portfolio, investors are able to make use of stock index futures to hedge the above risks. In practice, the calculation of hedging ratio is the key factor to assess hedging effect. In this paper, we take Hongkong H stock ETF fund as spot, and use Hengsheng Index futures to study hedging and make a comparison of static hedging model, dynamic hedging model and non-linear hedging model. The result shows that bivariate ECM model, BEEK model and Normal Copular model can make a good performance in hedging.
The arbitrage function of stock index futures plays a very important role in improving market efficiency. We can make use of index arbitrage to increase fluidity between futures market and spot market, and it can also get rid of the difference between futures price and balanced price when imbalances are formed in the market. If the market lacks arbitrage transaction, the futures index price will greatly deviate from its expected price, thus making hedgers unable to elude risks by using index futures. This paper reflects the whole hedging process of HS300 stock index futures and ETF fund simulation transactions, and we find that there are many arbitrage opportunities in them, and that there are 5 risks investors have to prevent while using HS300 stock index futures to arbitrage.
Finally, we conclude the whole paper and make a conclusion and come up with some suggestions and advice on the basis of analyzing the above conclusion.
引文
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