金融工程专业 我国沪深300ETF金融产品族系间的价格影响关系研究分析VIP免费

我国沪深300ETF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—期货—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—期货—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ETF沪深300股指期货沪深300股指期权领先滞后StudyonthepriceimpactrelationshipbetweentheCSI300ETFfinancialproductfamiliesinChinaAbstractChina'sCSI300stockindexfutureswerelaunchedbyCICCin2010,andthelaunchofCSI300stockindexfutureshasattractedwidespreadattentionfromthefinancialacademiccommunity.Afternearlyadecadeofdevelopment,theCSI300stockindexoptioncontractwasofficiallylistedontheChinaFinancialFuturesExchangeattheendof2019.ThederivativeisthefirststockindexoptionproductinChina,whichisofgreatsignificanceinthedevelopmenthistoryofChina'sfinancialmarket.Thelistingofthisproductnotonlymakesthecurrentindexsystemmoreperfect,butalsoprovidesadynamicobservationindicatorforinvestorsinthefinancialmarket,canbetterunderstandtheoperationofthestockmarket,andlaysasolidfoundationfortheinnovationanddevelopmentoffinancialderivatives.Withthegradualincreaseinthevarietyoffinancialderivatives,acompletechainofspot-futures-optionshasbeenformed.TheemergenceofCSI300stockindexoptionshasfreedscholarsfromthedilemmaofonlyanalyzingoverseastradingdataoronlystudyingdomesticsimulatedtrading.Forthematuredevelopmentoffinancialmarkets,thestudyoftherelationshipbetweenspot-futures-optionsisofgreatsignificance.Inthispaper,throughthecomparisonofspot,futuresandoptions,thehigh-frequencydataof5minutesinthedayin2021wasselectedforempiricalanalysis,andthemeasurementsoftwareEviewswasusedtocompareandanalyzethepricediscoveryabilitybetweenthethreebyADFunitroottest,cointegrationtest,Grangercausaltestandothermeasurementmeansofthecollectedpriceseries.[KeyWords]CSI300ETFCSI300StockIndexFuturesCSI300StockOptionsLead-lagrelationship目录一、导论...........................................................................1（一）研究背景和意义............................................................1（二）国内外研究................................................................11.国外研究现状..............................................................12.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..................................................................42.研究方法..................................................................4（四）创新点.....................................................