基于随机占优的股指期货市场有效性分析

Market Efficiency Analysis of Stock Index Futures Based on Stochastic Dominance

2015年中金所出台严格监管措施后,股指期货成交低迷,异象频出。为验证严格监管措施对股指期货市场有效性的影响,本文利用随机占优DD测试法,为风险规避者和风险寻求者分别构建升序和降序占优模型。传统DD测试法用等间距划分的方式产生网格,且假设检验的两个判定阈值为相反数,这不符合金融数据的分布规律。因此,本文提出了对DD测试法的两处改进,利用"等频率划分法"产生网格,利用"非对称分位数法"产生阈值。实证方面,本文对三个股指期货及其现货的15分钟数据进行分析,发现在自股灾以来,上证50指数一阶占优于上证50股指期货,形成套利机会,且该套利策略的年化收益率、夏普比率和卡玛比率都非常优异。实证进一步显示,严格监管措施后占优数量达到最高峰,严格监管措施导致的股指期货功能受损比股灾更严重,而这一现象在中金所逐步放松监管措施后得以稍微缓解但没有根本改变。

After the introduction of strict regulatory measures by China' s Financial Futures Exchanges(CFFE)in 2015,trading volume of stock index futures dropped sharply,and abnormal phenomena frequently occurred.In order to verify the impact of strict restrictions on the market efficiency of stock index futures,this paper builds ascending and descending dominance models for risk evasive and risk seeker respectively by DD test method of stochastic dominance.The traditional DD test method generates grids by equally spaced division,and the two decision thresholds of the hypothesis test are opposite,which does not conform to the distribution law of financial data.So this paper expounds the two shortcomings of the DD test method and proposes two improvements,generating the grid by “equal frequency division method”and generating the thresholds by “asymmetric quantile method”.Empirically,this paper analyzes the 15-minute price data of three stock index futures and their stocks.We find that since the stock market crash,the SSE 50 Index has dominated the SSE 50 stock index futures,forming an arbitrage opportunity.And the annual return,Sharpe ratio and Karma ratio of the arbitrage strategy are excellent.The empirical study further shows that the number of dominance in the strict restriction period reaches the highest peak,which means that the damage on the stock index futures function caused by the strict regulatory measures is more serious than the stock market crash.And this phenomenon is slightly relieved after CFFE’s gradual relaxation of the regulatory measures but has not been fundamentally changed.