股灾期间股指期货捆绑政策效果比较分析——基于2015年股灾期间HS300高频数据实证
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摘要
股灾期间,股指期货被疑为股灾的幕后推手,为千夫所指。为了正确评价2015年股灾期间捆绑政策效果,选取沪深300指数及股指期货5分钟高频数据,对上升期、下降期及捆绑期内股指期货及现货市场间价格变化情况进行比较分析。研究结果表明:股指期货与现货市场之间始终具有显著协整关系;从价格发现方面来看,股指期货市场在上升期及下降期均具有较强价格引导能力和价格发现能力,捆绑期内转为现货市场引导能力占据主导;从波动溢出来看,上升期期现货市场间存在双向溢出,下降期仅存在股指期货市场向现货市场的单向波动溢出,而捆绑期内现货市场对期货市场的波动溢出占主导。股灾期间,推出股指期货捆绑政策确有必要性,且对平抑股市波动确实具有效性。
Based on the HS300 index future 5-min date during the crash in 2015,this paper investigates the necessity and validity of stock index future trading restriction policies. We first divide the sample period into the rising period,the descent period and the limit period,and then dynamically analyze the changes in the price relationship between spot markets and future marketfrom price discovery and risk spillovers aspects. The results show that there are co-integrate relations among spot markets and future market. The lead from stock index futures to stock index is comparatively stronger in the rising period and descent period. But the stock market's price discovery ability plays a dominant role in the limit period. And we found there exist a bilateral spillover between spot markets and future market in the rising period,but a unilateral spillover from future market to spot markets in the descent period. In the limit period,the spillover effect from spot markets to future market is dominant. It indicates the necessity and effectiveness of the stock index future trading restriction policies.
Based on the HS300 index future 5-min date during the crash in 2015,this paper investigates the necessity and validity of stock index future trading restriction policies. We first divide the sample period into the rising period,the descent period and the limit period,and then dynamically analyze the changes in the price relationship between spot markets and future marketfrom price discovery and risk spillovers aspects. The results show that there are co-integrate relations among spot markets and future market. The lead from stock index futures to stock index is comparatively stronger in the rising period and descent period. But the stock market's price discovery ability plays a dominant role in the limit period. And we found there exist a bilateral spillover between spot markets and future market in the rising period,but a unilateral spillover from future market to spot markets in the descent period. In the limit period,the spillover effect from spot markets to future market is dominant. It indicates the necessity and effectiveness of the stock index future trading restriction policies.
引文
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[7]吴晓求.股市危机:结构缺陷与规制改革[J].财贸经济,2016,(1):22-32.
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[9]王军,刘卓然.股指期货限制性措施对期现货价格关系的影响研究——中美日应对“股灾”实施股指期货限制性措施及其效果比较[J].价格理论与实践,2016,(9):115-119.
[10]丁逸俊,冯芸.现货市场异常波动下股指期货交易限制对市场质量的影响分析[J].系统工程理论与实践,2017,(10):2481-2496.
[11]杨海文,王丹华.线性回归模型参数稳定性的Quandt-Andrews检验法[J].数理统计与管理,2013,(5):823-829.
[12]杨林,杨雅如.股指期货是股灾的“幕后推手”吗——基于2015年股灾期间沪深300股指期货高频数据实证分析[J].财经理论与实践,2017,(5):58-63.
[13]刘成立.股市危机中股指期货应该限制交易吗——基于2015年股市危机的实证分析[J].统计与信息论坛,2017,(1):84-92.
[14] Harris L. The October 1987 S&P 500 Stock-Futures Basis[J]. The Journal of Finance,1989,(1):77-99.
[15] Bae S C,Kwon T H,Park J W. Futures Trading,Spot Market Volatility,and Market Efficiency:The Case of the Korean Index Futures Markets[J]. The Journal of Futures Markets,2004,(12):1195-1207.
[2] Arai T,Akamatsu T,Yoshioka A. Stock Index Futures in Japan[J]. The Journal of International Securities Markets,1993,(7):159-164.
[3] Brodsky W J. The Globalization of Stock Index Futures:A Summary of the Market and Regulatory Developments in Stock Index Futures and the Regulatory Hurdles Which Exist for Foreign Stock Index Futures in the United States[J]. Northwestern Journal of International Law&Business,1994,(15):248-302.
[4] Kleidon A W,Whaley R E. One Market? Stocks,Futures,and Options During October 1987[J]. The Journal of Finance,1992,(3):851-877.
[5] Iihara Y,Kato K,Tokunaga T. Intraday Return Dynamics Between the Cash and the Futures Markets in Japan[J]. Journal of Futures Markets,1996,(2):147-162.
[6] Han Q,Liang J. Index Futures Trading Restrictions and Spot Market Quality:Evidence from the Recent Chinese Stock Market Crash[J]. Journal of Futures Markets,2017,(4):411-428.
[7]吴晓求.股市危机:结构缺陷与规制改革[J].财贸经济,2016,(1):22-32.
[8]袁怀宇.金融危机下卖空限制对证券市场的影响——以台湾市场为例[J].中国证券期货,2010,(2):9-11.
[9]王军,刘卓然.股指期货限制性措施对期现货价格关系的影响研究——中美日应对“股灾”实施股指期货限制性措施及其效果比较[J].价格理论与实践,2016,(9):115-119.
[10]丁逸俊,冯芸.现货市场异常波动下股指期货交易限制对市场质量的影响分析[J].系统工程理论与实践,2017,(10):2481-2496.
[11]杨海文,王丹华.线性回归模型参数稳定性的Quandt-Andrews检验法[J].数理统计与管理,2013,(5):823-829.
[12]杨林,杨雅如.股指期货是股灾的“幕后推手”吗——基于2015年股灾期间沪深300股指期货高频数据实证分析[J].财经理论与实践,2017,(5):58-63.
[13]刘成立.股市危机中股指期货应该限制交易吗——基于2015年股市危机的实证分析[J].统计与信息论坛,2017,(1):84-92.
[14] Harris L. The October 1987 S&P 500 Stock-Futures Basis[J]. The Journal of Finance,1989,(1):77-99.
[15] Bae S C,Kwon T H,Park J W. Futures Trading,Spot Market Volatility,and Market Efficiency:The Case of the Korean Index Futures Markets[J]. The Journal of Futures Markets,2004,(12):1195-1207.