CAJ | 학술논문

股指期货是现代资本市场发展的产物，股指期货与现货的关系是学术界的研究的热点问题之一。文章介绍了风险价值VaR方法、非参数核密度估计理论以及VaR模型的回测评价原理，以我国股指期货推出前后一年间每一小时交易的高频数据为研究对象，运用非参数核密度估计法以及风险价值方法，计算在不同置信水平下的VaR值。在90%、95%以及99%置信水平下，股指期货推出前后，沪深300指数的收益率最大跌幅分别为0.921%、1.33%以及2.28%，变化为最大跌幅分别为0.871%、1.15%以及1.76%。表明在我国股指期货推出后，沪深300指数收益率的风险降低了。最后文章从市场效率，套利机制以及套期保值等视角对实证结果进行了分析。
고지기화시현대자본시장발전적산물，고지기화여현화적관계시학술계적연구적열점문제지일。문장개소료풍험개치VaR방법、비삼수핵밀도고계이론이급VaR모형적회측평개원리，이아국고지기화추출전후일년간매일소시교역적고빈수거위연구대상，운용비삼수핵밀도고계법이급풍험개치방법，계산재불동치신수평하적VaR치。재90%、95%이급99%치신수평하，고지기화추출전후，호심300지수적수익솔최대질폭분별위0.921%、1.33%이급2.28%，변화위최대질폭분별위0.871%、1.15%이급1.76%。표명재아국고지기화추출후，호심300지수수익솔적풍험강저료。최후문장종시장효솔，투리궤제이급투기보치등시각대실증결과진행료분석。
Stock index futures' birth is the inevitable result of capital market development. When stock index futures are first introduced in a market, there will be a hot issue on the risk of the underlying stock index. The VaR method, nonparametric kernel density estimation theory and Kupiec defaulted testing are introduced in the paper. We take the one hour high frequency trading CSI300 datum as the research object before and after one year of the stock index futures. The VaRs can be calculated under different confidence level by the nonparametric kernel density estimation method. The key empirical result shows that the maximum risk of CSI300 index returns decreased from 0.921%, 1.33%and 2.28%to 0.871%, 1.15%and 1.76%at 90%, 95% and 99% confidence level respectively before and after the introduction of stock index futures. The market risk of Chinese stock market decreased after the introduction of stock index futures. Finally, the empirical results were explained and discussed from the perspective of market efficiency, arbitrage and hedging.