我国沪深300ETF金融产品族系间的价格影响关系研究

我国沪深300ET℉金融产品族系间的价格影响关系研究摘要我国的沪深300股指期货由中金所于2010年推出，CSI300股指期货的推出引起了金融学术界的广泛关注。又经过了近十年的发展，沪深300股指期权合约在中国金融期货交易所于2019年年末正式挂牌。该衍生品是国内首只股指期权产品，在我国金融市场的发展历史中具有重大的意义。该产品的上市，不仅使得目前的指数系统更加完善，而且还能为金融市场投资者们提供一个动态的观察指标，可以更好地了解股市的运作情况，并为金融衍生品的创新与发展打下了坚实的基础。随着金融衍生产品的种类逐渐增加，形成了一条完整的现货一期货一期权链。沪深300股指期权的出现，使得学者们摆脱了仅限于海外交易数据进行分析，或仅对国内仿真交易进行研究的窘境。为了金融市场的成熟发展，对现货一期货一期权这三者的关系的研究不乏重要意义。本文在实证研究中，通过现货、期货、期权的比较，选择了2021年日内5分钟的高频数据进行实证分析，并运用了计量软件Eviews,以采集到的价格序列进行ADF单位根检验、协整检验、格兰杰因果检验等计量手段对三者之间的价格发现能力进行比较和分析。【关键词】沪深300股指ET℉沪深300股指期货沪深300股指期权领先滞后Study on the price impact relationship between the CSI 300 ETFfinancial product families in ChinaAbstractChina's CSI 300 stock index futures were launched by CICC in 2010,and the launch ofCSI300 stock index futures has attracted widespread attention from the financial academiccommunity.After nearly a decade of development,the CSI 300 stock index option contractwas officially listed on the China Financial Futures Exchange at the end of 2019.Thederivative is the first stock index option product in China,which is of great significance in thedevelopment history of China's financial market.The listing of this product not only makesthe current index system more perfect,but also provides a dynamic observation indicator forinvestors in the financial market,can better understand the operation of the stock market,andlays a solid foundation for the innovation and development of financial derivatives.With thegradual increase in the variety of financial derivatives,a complete chain ofspot-futures-options has been formed.The emergence of CSI 300 stock index options hasfreed scholars from the dilemma of only analyzing overseas trading data or only studyingdomestic simulated trading.For the mature development of financial markets,the study of therelationship between spot-futures-options is of great significance.In this paper,through the comparison of spot,futures and options,the high-frequency dataof 5 minutes in the day in 2021 was selected for empirical analysis,and the measurementsoftware Eviews was used to compare and analyze the price discovery ability between thethree by ADF unit root test,cointegration test,Granger causal test and other measurementmeans of the collected price series.[Key Words]CSI 300 ETF CSI 300 Stock Index Futures CSI 300 Stock OptionsLead-lag relationship目录一、导论…(一)研究背景和意义..(二)国内外研究..11.国外研究现状...2.国内研究现状23.文献综述3(三)研究内容和方法...41.研究内容..2.研究方法…。4(四)创新点…公二、价格发现功能的理论研究.5(一)沪深300ET℉、股指期货、股指期权的介绍..51.沪深300ETf的简介.............52.沪深300股指期货的简介3.沪深300股指期权的简介间介。。。。。。。。。。。。。。。。。。。。74.期货与期权的区别....8(二)价格发现功能的定义.·.....9(三)定价理论.·101.期权定价模型....102.股指期货定价模型..103.股指期货与股权价格发现功能的分析...........11三、沪深300ET℉现货、沪深300股指期货、沪深300股指期权领先滞后关系的实证分析..12(一）研究设计…12(二)领先滞后关系的实证分析..131.2021年上半年沪深300ET℉金融产品族系间的领先滞后关系的分析..·....·13(1)沪深300ETF与沪深300股指期货13(2)沪深300ET℉与沪深300股指认购期权...........15(3)沪深300ET℉与沪深300股指认沽期权..·162.2021年下半年沪深300ET℉金融产品族系间的领先滞后关系的分析.....·17(1)沪深300ET℉与沪深300股指期货...............18(2)沪深300ET℉与沪深300股指认购期权20(3)沪深300ET℉与沪深300股指认沽期权...21四、结论…23(一)研究结论…