【作者】 张阁；

【导师】 邢天才；

【作者基本信息】 东北财经大学 ， 金融学， 2010， 博士

【摘要】 股指期货市场是全球金融历史中影响最为深刻的创新之一。从第一支股指期货诞生以来,已经有20多年的时间了,全球股指期货市场发展极为迅速。截至2009年,股指期货市场的成交量已经占据了衍生品市场的龙头地位。目前,股指期货市场开始从发达的北美市场和欧洲市场向亚太新兴市场迅速扩展,中国、巴西、阿根廷、墨西哥等相继成功推出本土股指期货合约,由此,亚太新兴市场迅速崛起,与北美市场、欧洲市场并列,形成了“三分天下”的格局。1987年的股灾和巴林银行、兴业银行倒闭事件后,股指期货对市场所起到风险管理的作用引发了广泛的质疑,人们甚至认为股指期货会加剧现货市场的风险。然而,在2007年美国次贷危机引发的全球金融危机中,股指期货交易量放量增长,其波动性小于现货市场,通过套期保值和套利交易减小了现货市场的波动性,充分地发挥了风险管理工具的作用,从而扮演了现货市场“救市者”的角色。在2009年3月全球股市回暖前,股指期货率先上涨,引导现货市场成功地走出了阴霾。在金融危机冲击后,全球经济逐渐好转并进入了后金融危机时代,中国也加快完善多层次资本市场的进程。在2009年10月,中国举行了创业板的开板仪式,并在2010年4月相继推出了融资融券交易和沪深300指数期货合约,这是近年来中国金融市场最激动人心的变化。而股指期货在推出后也取得了阶段性的成功,在推出后的第二个月,买卖价差缩小,已经达到了成熟市场的标准；6月份成交量在全球股指期货市场排名第二,仅次于美国市场的迷你标准普尔500股指期货。同时,股指期货也没有受到境外已推出的新华富时A50股指期货的影响,沪深300指数期货到期日的各项指标平稳,现货市场没有出现大规模的抛盘。在沪深300指数期货推出后,通过对沪深300指数期货与现货之间价格变化的相互传导关系的考察,本文实证分析了期货的推出对现货的整体估值走势、波动性和信息传播效率的影响以及在沪深300指数推出前仿真期货、境外新华富时A50指数期货对现货市场的影响。接着,针对沪深300指数期货的现状,本文提出了相应的政策建议,并提出了后续金融衍生品的序列。由此,本文的选题和研究无疑具有十分重要的理论意义和现实意义。本文研究的主要内容具体如下：1.考察了异地市场和仿真市场股指期货的推出对现货市场的影响考察了异地市场新华富时A50指数的推出对现货市场的影响。首先,构建了现货市场的GARCH模型。选取了异地股指期货新华富时A50指数期货的推出作为虚拟变量来反映期货推出对现货波动性的影响,发现新华富时A50的推出轻微地增加了现货市场的波动性,信息对现货市场指数变化的冲击增强了,而现货市场的非对称效应则轻微减弱了。接着,比较了期货推出前后的现货市场价格收益率的平均方差,结论与GARCH模型相同。然后,构建了现货市场的交易量多元回归模型,发现因受到期货市场的影响,现货市场的成交量增大了。最后,构建了检验到期日波动性的GARCH模型,选取了到期日作为虚拟变量,发现新华富时A50到期日对中国现货市场存在着明显的到期日效应。异地市场的监管难度高于本土市场,容易操纵。因受到新华富时成交量较小的限制,到期日效应仅影响投资者的心理,但随着新华富时A50成交量的增加,到期日效应势必会冲击现货市场。实证分析了沪深300指数仿真期货的推出对现货市场的影响。仿真交易对现货市场波动性没有影响。现货市场对股指期货市场的影响比股指期货对现货市场的影响更加显著。因受到仿真期货模拟性质的影响,故得出的实证结论具有一定的参考价值,但是并不能完全说明中国真实股指期货市场对现货市场的影响。2.构建了沪深300指数期货与现货市场多元线性回归模型,并分析了二者间的传导关系首先,分析了沪深300指数期货推出后的现货市场的整体走势变化,发现在期货推出后,现货市场进入了下跌行情。其次,分析了股指期货市场与现货市场的微观结构效应,发现现货市场微观结构效应均不明显,股指期货市场存在着买卖价差效应,流动性较差。再次,使用高频数据构建了现货市场的多元线性回归模型,检验了两个市场间的价格变化日内传导关系,发现期货对现货有五分钟的领先,现货对期货有五分钟的反馈。接着,在多元回归模型中加入虚拟变量表示开盘、收盘时段,发现开盘、收盘时段两个市场间的日内传导关系更加显著。然后,使用日数据构建了GRANGER因果检验,考查了两个市场的传导关系,发现两个市场存在明显的GRANGER因果关系,股指期货市场对现货市场的引导更加明显,印证了多元线性回归模型的结论。最后,检验了现货市场与期货市场的开盘时段收益率之间的相关性,发现二者之间相关系数高,因受到股指期货开盘时间早于现货市场的影响,故期货的开盘收益率对现货开盘收益率有引导作用。3.构建了沪深300指数期货的推出对现货市场波动性影响的ARCH模型,并检验了信息传播效应和波动性的变化首先,运用日数据构建了现货市场的GARCH模型来验证期货推出对现货市场波动性的影响,加入虚拟变量表示期货的推出,认为期货推出后现货市场的波动性轻微减小,波动性变化不大,股指期货改善市场信息传播效率的作用没有发挥出来。其次,对期货推出前后现货市场的平均方差进行相等性检验,发现结论与GARCH模型相同。然后,构建EGARCH模型检验了期货对现货市场非对称性的影响,发现期货有利于减弱现货市场的非对称性,投资者更加理性。使用高频五分钟数据计算的结论与使用低频日数据计算的结论相同。最后,构建了对现货市场成交量的回归模型,发现期货的推出使现货交易量减少。4.分析了沪深300指数期货的到期日效应首先,验证了沪深300指数期货的到期日效应。接着,使用相等性检验比较现货市场的到期日与非到期日之间的成交量的增长率,发现两者之间没有显著的差异,最后一小时的平均成交量与其他时段相似,到期日成交量效应不存在。然后,使用相等性检验对到期日与非到期日的收益率进行了比较,发现两者之间没有显著差异,证明到期日的价格效应也不显著。最后,构建了度量到期日的反转效应模型,发现到期日的反转效应也不显著。综上,上述实证研究除了检验中国市场股指期货对现货市场的影响外,还针对股指期货市场制度建设提出了相应的政策建议,并在上述研究的基础上提出了中国衍生品市场后续产品推出序列。更多还原

【Abstract】 It is one of the most profound innovations on impact that the global stock index futures market is in the history of global finance. It has been over 20 years since the birth of the first stock index futures, the global stock index futures market develops rapidly. Up to the end of 2009, it has occupied leading position of derivatives market of the volume of stock index futures market. Now, it expands from the developed North American market and European market to the rising market of stock index futures market and those as China, Brazil, Argentina and Mexico have implemented their own stock index futures contract successfully, thus it rises rapidly of the Asian-pacific region market, which has established one of three roles situation together with North American market and European market.People were doubtful of the risk management function of stock index futures on market, even deem it could prick up the risk of spot market while have gone through the strike of a stock market crash in 1987, collapse of Barings Bank and Industrial Bank. However, in the financial crisis caused by U.S. sub-prime crisis in 2007, it rose explosively of trading volume of stock index futures and its volatility was also lower than spot market, then it reduced the volatility of spot market through hedging and arbitrage transactions, which it has played the role of risk management tools fully and played the role of rescuer of spot market. It also rose to lead spot market out of the haze for stock index futures before the rebounding of global stock market in March 2009.China mended its pace to consummate multi-levels capital market while global economy turned better gradually to enter into the post-crisis era after financial crisis. In October 2009, China held the opening of Growth Enterprises Market (GEM) and carried out Margin Trading & Short Selling Transaction and the CSI 300 futures contract one after the other in April 2010, which were most exciting changes in the China’s financial market. It has made remarkable success for stock index futures market after introduction, while its variance in price narrowed in second month after introduction, which has reached the standard of mature market; in June, it has reached the second place in the global stock index futures market of trading volume, which only listed after the United States mini-market Standard & Poor’s 500 stock index futures. Meanwhile, it wasn’t influenced by the Xinhua-FTSE A50 index futures fetched outside of stock index futures market, due date indicators stabled of CSI 300 futures and it didn’t show large-scale selling in the spot market.It takes positive analysis on influences of the protrusion of stock index futures upon whole appraisement, the volatility and information transmission efficiency and influences of emulation stock index futures before the protrusion of CSI 300 futures, Xinhua-FTSE A50 index futures outside upon spot market in this dissertation through having reviewed the mutual conducting relationship of variation in price between CSI 300 futures and spot after the protrusion of CSI 300 futures. Then, it advances the corresponding policy suggestions upon the actuality of CSI 300 futures and proposes the sequence of financial derivatives in this dissertation. Thus, it is no doubt that choice of topic and the research of dissertation have important practical and theoretical significance.This dissertation includes the following:1. having inspected the influence of push-out of different market and emulation futures on spot marketIt inspects empirically the influence of push-out of different market of Xinhua-FTSE A50 index futures on spot market. Firstly, it constructs GARCH model of spot market in this dissertation. It chooses the push-out of Xinhua-FTSE A50 index futures in different market as a dummy variable to reflect the influence of push-out of stock index futures on spot’s volatility, discovering that it adds the mild volatility of spot market of push-out of Xinhua-FTSE A50 index futures and the strike from the information on index futures variation reinforces a little while the non-symmetrical effect weakens a bit. Secondly, it compares the average rate of return variance of spot market price before and after the push-out of futures, discovering that its result is the same to that of TARCH model. Then, it constructs the multiple regression model of transaction volume in spot market, discovering that the transaction volume in spot market adds for the influence from futures market. Lastly, it constructs GARCH model for testing volatility at expiration date. It selects the expiration date as the dummy variables, discovering that there is significant effect of expiration date of Xinhua-FTSE A50 on China’s spot market. It is more difficult to monitor in different market than that in native one and manipulates easily. It only influences investor’s mind of expiration date effect for suffering from limitation of smaller Xinhua-FTSE transaction volume, but it shall strike spot market as the adding of Xinhua-FTSE transaction volume.It analyzes empirically the influence of push-out of CSI 300 emulation futures on spot market. Test the influence of push-out of CSI 300 emulation futures on the volatility of spot market.Emulation futures has no effect on the volatility of spot market. Test to test the conduct relation between stock index futures and spot market, discovering that the influence of spot market upon stock index futures is more remarkable than that of stock index futures upon spot market. For influence of emulation futures, it has a certain reference value of empirical conclusion obtained, but it can’t explain the influence of China real stock index futures on spot market completely.2. having constructed the multiple linear regression model of CSI 300 futures and spot market and analyzed their conduct relationFirstly, it analyzes the overall valuation changes of stock market after the push-out of CSI 300 futures, discovering that it enters in a slump of spot market after the push-out of futures. Secondly, it analyzes micro structure effect of stock index futures market and spot market, discovering that the microstructure effect in spot market is not obvious while there is bid-ask spread effect in stock index futures market and the fluidity is so bad. Thirdly, it uses high-frequency data to construct the multiple linear regression model of stock market and to test the transmission relation in price change day between two markets, discovering that futures goes ahead five minutes before spot and spot reflects five minutes later. Fourthly, it adds dummy variables into the multiple regression model to express opening and closing quotation time, discovering that the conduct relation within day between two markets are more remarkable at opening and closing quotation time. Then, it uses daily data to construct GRANGER Causality Test to inspect the conduct relation between two markets, discovering that there is obvious GRANGER causal relationship and since it is more remarkable of stock index futures to lead spot market, it verifies the conclusion of multiple linear regression model. Lastly, it tests the relation of returns at opening time between spot market and futures market, discovering that it is high of relation between them and the rate of return of futures leads that of spot for the influence from open time of stock index futures earlier than spot. 3.having constructed ARCH model that the push-out of CSI 300 futures influencing volatility of spot market and tested changes of information transmission effect and volatilityFirstly, it uses daily data to construct the GARCH model of spot market to test the influence of push-out of futures on the volatility of spot market and add dummy variables to express the push-out of futures, considering that the volatility of spot market after push-out of futures reduces mildly and is not so great, so it plays no role in improving transmission efficiency of market information of stock futures. Secondly, it calculates the average variance of spot market before and after push-out of futures, discovering that it conforms to the conclusion of GARCH model. Then, it constructs EG ARCH model to check the asymmetry influence of futures on spot market, discovering that futures is helpful for reducing non-symmetry of spot market and making investors more reasonable. The same result is shared with the result obtained using high-frequency data of five minutes and the day data. Lastly, it constructs he regression model for transaction volume of spot market, discovering that futures plays role in adding trading volume.4. having analyzed the expiration day effects of CSI 300 futuresFirstly, it verifies the expiration day effects of CSI 300 futures. Secondly, it uses T-test to compare the growth rate of trading volume between the expiration day of spot market and the non- the expiration day of spot market, discovering that there is no remarkable difference between them and the average trading volume in the last hour being similar to that in other time of period, so the effect of trading volume of expiration day doesn’t exist. Then, it uses the maturity test to compare the rate of return of expiration day and that of non-expiration day, discovering that there is no remarkable difference between, which confirming that the price effect of expiration day isn’t remarkable. Lastly, it constructs the reversal effect model for measuring the expiration day, discovering that the reversal effect of expiration day isn’t remarkable, too.So, it is not only to test the influence of China stock index futures on spot market of above-mentioned empirical studies but also to put forward the corresponding policy suggestions upon the system construction of stock index futures market and the push-out sequence of China’s derivatives market.更多还原