【作者】 李倩；

【导师】 赵新泉； 房耀先；

【作者基本信息】 中南财经政法大学 ， 应用统计（专业学位）， 2020， 硕士

【摘要】 随着中国证券市场的快速发展,金融产品也变得丰富起来。2010年沪深300股指期货的正式推出,标志着一个新时代的来临,即迎来了一个既可以做多也可以做空的市场,也导致了大量市场投资者的涌入,金融的环境也变得复杂起来,监管难度也随之上升。2015年4月16日,上证50股指期货正式在中国金融交易所挂牌交易,为资本市场深入改革注入了一针强心剂,而2015年的股灾也让股指期货的出现遭到了来自各方的质疑,所以研究期货和现货之间的关系对投资者和金融监管者都有着重要的意义。本文选取上证50股指期货和上证50ETF作为研究对象,分别选取高频5分钟数据和低频日数据。从多个层面分析期货市场和现货市场的动态相依关系。首先,分别对其进行因果关系建模,具体做法包括使用ECM模型对两者的长短期关系进行检验,使用Granger因果检验分析两个市场之间的引导关系。发现对于5分钟数据,上证50股指期货和上证50ETF的收盘价格存在着长期均衡的关系,且上证50股指期货市场在价格发现过程中起到了主导作用,另外两者互为对方的格兰杰原因。对于日数据,上证50股指期货和上证50ETF的收盘价格同样存在着长期均衡的关系,前两期的现货收益率变动是当期期货收益率变动的Granger原因,上证50ETF价格先于期货价格对市场中的信息做出反应,从而引导期货的价格。仅在滞后7期及以上时,拒绝期货不是现货的Granger原因,即此时现货价格的变化会受到期货价格的变化。为了研究上证50股指期货和上证50ETF之间的波动溢出效应,本文针对高频数据采用了GARCH模型两步法进行分析,发现期货市场对现货市场的波动溢出要小于现货市场对期货市场的波动溢出,即期货市场对信息的接收速度要比现货市场快,所以可以得出在正常的市场环境下股指期货具有价格发现的功能。而对于日数据,为了研究股指期货的推出是否对现货市场的波动性带来的负面影响,选取了股指期货推出后即2015年4月17日-2019年11月28日的数据,通过引入虚拟变量dummy,然后利用GARCH模型对比上证50股指期货推出前后上证50ETF收益率的波动情况。经过分析发现,长期来看股指期货的推出一定程度上降低了上证50ETF价格的波动,起到了稳定作用,但是作用程度十分有限。不用因为一个新的东西的出现而将现货市场股票的下跌归咎于它。最后,针对尾部相依性,本文采用了二元t-Copula进行分析,结果发现期货和现货的收益率均呈现尖峰、厚尾的特征,且具有比较强的尾部相依性。最后基于研究的结论,对市场监管者以及投资者提出一些意见:第一,加强对投资者的教育和正向引导,鼓励其成长为一个理性的投资者;第二,严厉打击各种违法行为,保障一个公平有秩序的交易环境;第三,加快对新产品的开发,不断完善股指期货市场和现货市场交易机制。更多还原

【Abstract】 With the rapid development of China’s securities market,financial products have also become richer.The official launch of the Shanghai and Shenzhen 300 stock index futures in 2010 marked the advent of a new era,which ushered in a market that can be both long and short.It also caused a large influx of market investors and the financial environment also changed.It becomes complicated,and the difficulty of supervision also increases.On April 16,2015,the Shanghai Stock Exchange 50 stock index futures were officially listed on the China Financial Exchange,which injected a boost to the deep reform of the capital market,and the stock market futures in 2015 also caused the emergence of stock index futures to be questioned by all parties.So,studying the relationship between futures and spot is of great significance to investors and financial regulators.This article selects the Shanghai 50 Stock Index Futures and the Shanghai 50 ETF as the research objects,and selects high-frequency 5 minutes data and low-frequency daily data.Analyze the dynamic dependence of the futures market and the spot market from multiple levels.First,model the causality relationship separately.The specific methods include using the ECM model to test the short and long-term relationship between the two,and using the Granger causality test to analyze the guiding relationship between the two markets.It is found that for the 5-minute data,there is a long-term equilibrium relationship between the closing prices of the SSE 50 stock index futures and the SSE 50 ETF,and the SSE 50 stock index futures market has played a leading role in the price discovery process,and the other two are each other’s Granger reasons.For daily data,there is also a long-term equilibrium relationship between the closing prices of the SSE 50 stock index futures and the SSE 50 ETF.The change in the spot yield of the previous two periods is the Granger reason for the change in the yield of the current future.The information reacts to guide futures prices.Only when the period is 7 or more lags,rejecting futures is not the Granger reason for the spot,that is,the change in the spot price at this time will be affected by the change in the futures price.In order to study the volatility spillover effect between the SSE 50 stock index futures and the SSE 50 ETF,this paper uses the two-step analysis of the GARCH model for highfrequency data.That is,the futures market receives information faster than the spot market,so it can be concluded that stock index futures have the function of price discovery under normal market conditions.For daily data,in order to study whether the introduction of stock index futures has a negative impact on the volatility of the spot market,the data after the launch of stock index futures,that is,April 17,2015-November 28,2019,was selected by introducing Variable dummy,and then use the GARCH model to compare the fluctuations of SSE 50 ETF yield before and after the launch of SSE 50 stock index futures.After analysis,it is found that the introduction of stock index futures has reduced the fluctuation of the Shanghai 50 ETF price to a certain extent in the long term,and has played a stable role,but the effect is very limited.Don’t blame a bad spot market stocks for a new thing.Finally,for the tail dependence,this paper uses binary t-Copula for analysis.As a result,it is found that the futures and spot yields have the characteristics of spikes and thick tails,and have strong tail dependence.Finally,based on the conclusions of the research,I put forward some opinions to market regulators and investors: first,strengthen education and positive guidance for investors,and encourage them to grow into a rational investor;second,severely crack down on various illegal acts,Guarantee a fair and orderly trading environment;Third,increase the development of new products and continuously improve the trading mechanism of the stock index futures market and the spot market.更多还原