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中国工业与应用数学学会会刊
主管:中华人民共和国教育部
主办:西安交通大学
ISSN 1005-3085  CN 61-1269/O1

工程数学学报 ›› 2016, Vol. 33 ›› Issue (4): 331-338.doi: 10.3969/j.issn.1005-3085.2016.04.001

• •    下一篇

股指期货引入对我国现货市场的统计及分形特征影响研究

郑  丰,  赵文耀   

  1. 北方工业大学经济管理学院,北京 100144
  • 收稿日期:2015-04-03 接受日期:2015-11-10 出版日期:2016-08-15 发布日期:2016-10-15
  • 基金资助:
    教育部人文社会科学基金 (11YJC630299).

A Study on Impact of Introducing of CSI300F to CSI300 Stock from Statistical and Fractal Characteristics

ZHENG Feng,   ZHAO Wen-yao   

  1. School of Economics and Management, North China University of Technology, Beijing 100144
  • Received:2015-04-03 Accepted:2015-11-10 Online:2016-08-15 Published:2016-10-15
  • Supported by:
    The Ministry of Education Humanities and Social Sciences Fund (11YJC630299).

摘要: 由于我国股市的剧烈波动,股指期货的交易也受到了严格的限制,股指期货和现货市场之间的联系再度成为了研究热点.本文从统计和分形两个角度研究了股指期货的引入对现货市场的影响.统计特征显示,股指期货上市后,现货的价格收益序列的分布函数不对称性降低,但“厚尾”特征更显著,说明市场收益波动性降低,风险更小.从分形角度可以得出,单分形不能刻画其波动特性,通过多重分形方法分析(MF-DFA)可以发现,股指期货上市后现货市场的奇异谱宽度较小、分形特征降低,而通过MF-DXA方法的研究发现,实施管制之后,两市场相关性的$h(q)$的变化范围更大,表明市场波动加剧.综上可以看出,股指期货后的引入使现货市场的波动降低,市场有效性增强,而管制降低了两市场的有效性.

关键词: 多重分形, 股指期货, 对数分布, 幂律分布

Abstract:

Due to the dramatic fluctuation of China's stock market, CSI300F has been strictly limited. The study of CSI300 futures and spot market has become one of the main issues which are most concerned in the financial markets. In this paper, we study the impact of the introduction of CSI300F to CSI300 from the perspectives of statistical and multi-fractal characteristics. The statistical analysis shows that, the distribution of the CSI300 return series becomes less asymmetric, and the heavy tail phenomenon is more obvious after the introduction of CSI300F, which shows the introduction of CSI300F decreases the return volatility of CSI300. Through the analysis of MF-DFA (multi-fractal detrending fluctuation analysis), we find that the characteristics of the general hurst index and the multi-fractal spectrum both show the complexity of the market has decreased, which reveals that the CSI300 market becomes more efficient. The analysis of MF-DXA (multi-fractal detrended cross-correlation analysis) method shows that the fractal degree of the correlation between the two markets has increased, clarifying that the volatility of CSI300 market has increased. Therefore, the introduction of the CSI300F makes the spot market become more efficient, and the restrictions on trading CSI300F make both CSI300F and CSI300 market less efficient.

Key words: multi-fractal, CSI300, lognormal distribution, power-law distribution

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