股指期货对证券市场波动性和流动性的影响——基于中国市场的经验研究

发布时间：2018-01-14 00:18

本文关键词：股指期货对证券市场波动性和流动性的影响——基于中国市场的经验研究　出处：《宏观经济研究》2011年06期 　论文类型：期刊论文

【摘要】：本文利用中国股票市场数据实证研究了股指期货交易与成分股市场指数和非成分股市场指数波动性、流动性间的内在联系。研究结果表明:首先,一个投机性较强的股指期货市场将显著增大整个现货市场的波动性,减弱整个现货市场的流动性。其次,平稳运行的股指期货市场,对成分股现货市场而言,会减小其市场波动性,增强其市场流动性;对非成分股现货市场而言,虽然对其市场波动性无显著影响,却会显著增强其市场流动性。上述实证结果证明了保持股指期货市场平稳运行、降低市场投机性的重要性,以及股指期货市场对于完善和发展我国资本市场的重要作用。
[Abstract]:This paper empirically studies the internal relationship between the volatility and liquidity of the stock index futures trading and the component stock market index and the non-component stock market index using the Chinese stock market data. The results show that: first of all. A highly speculative stock index futures market will significantly increase the volatility of the entire spot market, weaken the liquidity of the entire spot market. Secondly, the smooth operation of the stock index futures market, the composition of the spot market. Will reduce its market volatility, enhance its market liquidity; For non-component stock spot market, although it has no significant effect on its market volatility, it will significantly enhance its market liquidity. The above empirical results prove that the stock index futures market runs smoothly. The importance of reducing market speculation and the important role of stock index futures market in perfecting and developing China's capital market.
【作者单位】：西南财经大学;四川理工学院;
【基金】：国家社会科学基金项目(10XTJ0001)的资助
【分类号】：F832.51
【正文快照】： 一、引言股指期货是以股票指数为基础交易的期货合约。自1982年股指期货在美国首先推出以来,经过30多年的发展,目前全球已经有32个国家和地区的43家交易所上市了近400个股指期货合约。根据有关方面的统计,2009年全球股指期货、期权共成交63.8亿手,占全球期货市场总成交量的36%

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