金融衍生品具有股市风险预警功能吗?——基于机器学习模型的实证检验

Do Financial Derivatives have the Early Warning Function of Stock Market Risk?Empirical Test Based on Machine Learning Models

股市风险预警是防范化解系统性金融风险的关键举措,金融衍生品与防范化解股市系统性风险密切相关。为考察我国金融衍生品对股市风险的预警功能,本文以沪深300股指期货和上证50ETF期权的价格、交易量和波动率等指标构造解释变量,基于机器学习模型对股市风险进行滚动窗口预测,并比较了不同品种、不同到期期限的衍生品,在周频、月频和季频情形下的预警效果。研究表明:金融衍生品对股市风险具有较好的预警功能,且期权的预警能力优于期货;短期预警功能要优于长期;近月合约的预警效果优于远月合约。本文丰富了股市风险预警的研究,为监管机构丰富期权品种,引导长期资金入市、积极参与套期保值交易,从而提升长期预警能力提供了启示。

Stock market risk early warning is a key measure to prevent and resolve systemic financial risks,and financial derivatives are closely related to preventing and resolving systemic financial risks in the stock market.In order to investigate the early warning effect of China’s financial derivatives on the stock market risk,this paper constructs explanatory variables based on the price,trading volume,and volatility of CSI 300 stock index futures and SSE 50 ETF options,predicts the rolling window of the stock market risk based on the machine learning models,and compares the early warning capabilities of different kinds of derivatives with different maturity periods under the conditions of weekly frequency,monthly frequency and quarterly frequency.The results show that:(1)Financial derivatives have a satisfactory early warning effect on the stock market risk,in general,the early warning ability of options is better than that of futures;(2)From the perspective of the time and frequency of risk early warning,the short-term early warning function is better than the long-term early warning;(3)Judging from the expiry month of the contract,the early warning function of the near month contract is better than that of the far month contract.This paper enriches the research on early warning of the stock market risk.It provides inspiration for regulators to diversify the options,guide long-term funds into the market and actively participate in hedging transactions,improving the long-term early warning function.