期现套利对我国股指期货市场波动性影响分析

熊熊, 刘俊, 许海川, 张维, 张永杰

系统工程理论与实践 ›› 2014, Vol. 34 ›› Issue (3) : 623-630.

PDF(1192 KB)
PDF(1192 KB)
系统工程理论与实践 ›› 2014, Vol. 34 ›› Issue (3) : 623-630. DOI: 10.12011/1000-6788(2014)3-623
研究论文

期现套利对我国股指期货市场波动性影响分析

    熊熊1,2, 刘俊1, 许海川1, 张维1,2, 张永杰1,2
作者信息 +

Analyzing the impact on stock index futures market volatility of arbitrage

    XIONG Xiong1,2, LIU Jun1, XU Hai-chuan1, ZHANG Wei1,2, ZHANG Yong-jie1,2
Author information +
文章历史 +

摘要

利用计算实验金融的方法,在MASON系统的基础上进行二次开发,建立一个股票和股指期货并存的跨市场计算实验金融平台,进行模拟实验,产生5秒钟高频数据,分析期现套利者的数量变化对股指期货市场波动性的影响. 研究发现,期现套利者过多或过少都会影响市场稳定,保持合理数量的套利者对降低市场波动性和价格发现有着重要的意义. 监管机构应当加强监管的效率和质量,保证投资者结构的合理,同时丰富市场中投资者的种类,保证市场的多样性.

Abstract

We develop a cross-market simulation trading platform of stock and stock index future on the basis of MASON system with agent-base computational finance method. We analyze the impact of the number of arbitragers on stock index future market volatility using 5-second high frequent data. We find that too many or too few arbitragers will both make market fluctuate, so keeping appropriate number of arbitragers is very important for reducing market volatility and price discovery. Regulatory agencies should strengthen the efficiency and quality of supervision, to ensure reasonable investor structure, and keep the diversity of the types of investors.

关键词

期现套利 / 计算实验金融 / 股指期货 / 波动性

Key words

arbitrage / agent-base computational finance / stock index future / volatility

引用本文

导出引用
熊熊 , 刘俊 , 许海川 , 张维 , 张永杰. 期现套利对我国股指期货市场波动性影响分析. 系统工程理论与实践, 2014, 34(3): 623-630 https://doi.org/10.12011/1000-6788(2014)3-623
XIONG Xiong , LIU Jun , XU Hai-chuan , ZHANG Wei , ZHANG Yong-jie. Analyzing the impact on stock index futures market volatility of arbitrage. Systems Engineering - Theory & Practice, 2014, 34(3): 623-630 https://doi.org/10.12011/1000-6788(2014)3-623
中图分类号: F830.91   

参考文献

[1] Aragó V, Corredor P, Santamaría R. Transaction costs, arbitrage, and volatility spillover: A note[J]. International Review of Economics & Finance, 2013, 12(3): 399-415.
[2] Zigrand J P. A general equilibrium analysis of strategic arbitrage[J]. Journal of Mathematical Economics, 2004, 40(8): 923-952.
[3] Cai M C, Deng X T, Li Z F. Computation of arbitrage in frictional bond markets[J]. Theoretical Computer Science, 2006, 363(3): 248-256.
[4] Officer M S. Are performance based arbitrage effects detectable? Evidence from merger arbitrage[J]. Journal of Corporate Finance, 2007, 13(5): 793-812.
[5] Xing X J. A note on the time-series relationship between market industry concentration and market volatility[J]. Journal of International Financial Markets, Institutions and Money, 2004, 14(2): 105-115.
[6] Cassola N, Morana C. Comovements in volatility in the euro money market[J]. Journal of International Money and Finance, 2010, 29(3): 525-539.
[7] Li J Y. Option-implied volatility factors and the cross-section of market risk premia[J]. Journal of Banking & Finance, 2012, 36(1): 249-260.
[8] de Mattos Neto P S G, Silva D A, Ferreira T A E, et al. Market volatility modeling for short time window[J]. Physica A, 2011, 390(20): 3444-3453.
[9] LeBaron B. Agent-based computational finance: Suggested readings and early research[J]. Journal of Economic Dynamics & Control, 2000, 24: 679-702.
[10] Chen S H, Liao C C. Agent-based computational modeling of the stock price-volume relation[J]. Information Sciences, 2005, 170(1): 75-100.
[11] 许海川, 韦立坚, 熊熊, 等. 一个具有中国市场特征的期现跨市场计算实验模型[C]// 第十届金融工程与风险管理国际年会会议论文集. 国家自然科学基金委员会, 中国系统工程学会, 2012: 10. Xu Haichuan, Wei Lijian, Xiong Xiong, et al. A computational experiment model of spot-future cross-markets with Chinese Characteristics[C]// Proceedings of the 10th International Symposium on Financial Systems Engineering and Risk Management. National Natural Science Foundation of China, Systems Engineering Society of China, 2012: 10.
[12] 赵鑫. 沪深300股指期货套利交易及其风险控制研究[D]. 大连: 东北财经大学, 2007.Zhao Xin. The study of arbitrage on HS300 stock index future and it's risk management[D]. Dalian: Dongbei University of Finance and Economics, 2007.
[13] 魏卓, 陈冲, 魏先华. 基于高频数据的中国市场股指期货套利[J]. 系统工程理论与实践, 2012, 32(3): 476-482.Wei Zhuo, Chen Chong, Wei Xianhua. Chinese stock index futures arbitrage based on high-frequency data[J]. Systems Engineering —Theory & Practice, 2012, 32(3): 476-482.
[14] 文美. 基于计算实验方法的跨市场波动性分析[D]. 天津: 天津大学, 2010.Wen Mei. Analysis of volatility in cross-market based on computational experiments[D]. Tianjin: Tianjin University, 2010.
[15] 李华, 程婧. 股指期货推出对股票市场波动性的影响研究 ——来 自日本的实证分析[J]. 金融与经济, 2006, 2: 81-83.Li Hua, Cheng Jing. The impact of introduction of stock index futures on stock market volatility —An empirical analysis from Japan[J]. Journal of Finance and Economics, 2006, 2: 81-83.
[16] 陈晓静, 李冠琦. 我国推出股指期货对股票市场波动性影响的实证研究[J]. 国际商务研究, 2011, 2: 61-69.Chen Xiaojing, Li Guanqi. Empirical study on the influence of stock index futures on stock market volatility in China[J]. International Business Research, 2011, 2: 61-69.
[17] 欧丽莎, 袁琛, 李汉东. 中国股票价格跳跃实证研究[J]. 管理科学学报, 2011, 14(9): 60-66.Ou Lisha, Yuan Chen, Li Handong. Empirical research on jumps in stock price in Chinese stock markets[J]. Journal of Management Sciences in China, 2011, 14(9): 60-66.
[18] 孙艳, 何建敏, 周伟. 基于UHF-EGARCH模型的股指期货市场实证研究[J]. 管理科学, 2011, 24(6): 113-120.Sun Yan, He Jianmin, Zhou Wei. Empirical research on the stock index market based on the UHF-EGARCH model[J]. Journal of Management Science, 2011, 24(6): 113-120.
[19] 张维, 刘文财, 王启文, 等. 面向资本市场复杂性建模: 基于Agent计算实验金融学[J]. 现代财经, 2003(1): 3-7.Zhang Wei, Liu Wencai, Wang Qiwen, et al. Capital market-oriented complexity modeling —Based on computational experiment finance[J]. Modern Finance and Economics, 2003(1): 3-7.
[20] 邢丽卿, 孙绍荣. 基于Agent的计算实验金融学: 原理、方法和挑战[J]. 广西师范大学学报: 自然科学版, 2008, 26(1): 129-133.Xing Liqing, Sun Shaorong. Agent-based computational experiment finance: Theory, methodology and challenges[J]. Journal of Guangxi Normal University: Natural Science Edition, 2008, 26(1): 129-133.
[21] 熊熊, 郭翠, 张维, 等. 中小企业贷款利率定价的计算实验方法[J]. 系统工程理论与实践, 2009, 29(12): 9-14.Xiong Xiong, Guo Cui, Zhang Wei, et al. Loan rate pricing of SME financing based on agent-based computational finance approach[J]. Systems Engineering —Theory & Practice, 2009, 29(12): 9-14.

基金

国家自然科学基金(71131007,71320107003,71271145);教育部“创新团队发展计划”(IRT1028)
PDF(1192 KB)

Accesses

Citation

Detail

段落导航
相关文章

/