中国股市与股指期市的对冲表现及市场非完备性

陈强, 郑旭, 林小强

系统工程理论与实践 ›› 2013, Vol. 33 ›› Issue (11) : 2734-2745.

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系统工程理论与实践 ›› 2013, Vol. 33 ›› Issue (11) : 2734-2745. DOI: 10.12011/1000-6788(2013)11-2734
论文

中国股市与股指期市的对冲表现及市场非完备性

    陈强, 郑旭, 林小强
作者信息 +

Hedging performance between stock market and stock index future market and the market imperfection in China

    CHEN Qiang, ZHENG Xu, LIN Xiao-qiang
Author information +
文章历史 +

摘要

基于理论模型和数据实证两个角度考察了在市场非完备条件下, 我国股票市场与股指期市的对冲表现. 在理论上, 建立了市场非完备性与市场微观噪声及考虑噪声的对冲效果之间的关系. 在实证上, 首先提出了一种基于非参数估计的分析方法, 然后利用5分钟高频数据验证了模型假设的合理性及模型结论的正确性. 理论与实证都表明当一个市场非完备性程度越高时, 利用股指期货对冲股市风险就越应考虑市场微观噪声的影响. 实证结果还表明我国股票市场和股指期货市场间存在较高的非完备性. 不过,随着时间的推移,市场的非完备性存在减小的趋势.

Abstract

Basing on the theoretical model and empirical analysis, this paper provides a discussion of the hedging effectiveness between the stock market and index future market under the imperfect market conditions. In theoretical analysis, the relation of market imperfection with market microstructure noise and hedging effectiveness is established. In empirical analysis, one approach based on nonparametric estimation is established and applied to real data. The reasonableness of model assumptions and the correction of model conclusions are verified by using 5-minute frequency intra data. Both theoretical and empirical analyses show that the higher the degree of market imperfection, the more necessary to consider the impact of market microstructure noise when using stock index futures to hedge the stock market risk. The empirical results also show that there exists a high degree of imperfection between stock market and stock index future market, but the degree of imperfection has a decreasing trend.

关键词

股指期货 / 对冲表现 / 市场非完备性 / 微观结构噪声

Key words

stock index future / hedging performance / market imperfection / microstructure noise

引用本文

导出引用
陈强 , 郑旭 , 林小强. 中国股市与股指期市的对冲表现及市场非完备性. 系统工程理论与实践, 2013, 33(11): 2734-2745 https://doi.org/10.12011/1000-6788(2013)11-2734
CHEN Qiang , ZHENG Xu , LIN Xiao-qiang. Hedging performance between stock market and stock index future market and the market imperfection in China. Systems Engineering - Theory & Practice, 2013, 33(11): 2734-2745 https://doi.org/10.12011/1000-6788(2013)11-2734
中图分类号: F222.3   

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基金

国家自然科学基金(70971087)

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