从中国股指期货境外的联动看我国股市定价权

发布时间：2018-05-27 08:08

本文选题：股指期货 + 境外交易　；参考：《金融研究》2010年04期

【摘要】：境外推出具有中国概念的股指期货交易,在一定程度上夺走了境内股票现货市场的定价权,并可能威胁我国金融安全。研究境外股指期货市场与境内A股市场之间的价格发现和波动溢出过程,有助于深化股指期货的价格发现理论,识别各个市场在价格发现中作用的大小。本文以香港H股指数期货与新华富时A50指数期货为样本,研究了境外异地上市股指期货与A股指数之间的价格发现、波动溢出等联动效应。研究发现:香港H股指数期货是大陆主要股指的Granger原因,其波动也会溢出到A股市场;新加坡新华富时A50指数期货对A股市场尚未发现明显的均值和波动溢出效应,相反,它更多地受到了A股市场的影响。最后,论文提出了我国控制A股定价权和开展股指期货的一些建议。
[Abstract]:The introduction of stock index futures trading with Chinese concept takes away the pricing power of the domestic stock spot market to a certain extent and may threaten the financial security of our country. To study the price discovery and volatility spillover process between the overseas stock index futures market and the domestic A share market is helpful to deepen the price discovery theory of stock index futures and identify the role of each market in price discovery. This paper takes Hong Kong H share index futures and Xinhua FTSE A50 index futures as samples to study the price discovery, volatility spillover and so on. The study found that Hong Kong H-share index futures are the Granger cause of the mainland's major stock indexes, and their volatility will spill over to the A-share market. Singapore's New China FTSE A50 Index futures have not yet found significant mean and volatility spillover effects on the A-share market, but on the contrary, It was more affected by the A-share market. Finally, the paper puts forward some suggestions on controlling A-share pricing power and developing stock index futures.
【作者单位】：南京师范大学商学院;南京大学工程管理学院;中国金融期货交易所;
【基金】：国家自然科学基金(编号:70671053,70701016,10726072) 教育部“新世纪优秀人才支持计划(NCET-08-0284)”和教育部人文社科基金(09YJC790152)资助
【分类号】：F224;F832.51

【共引文献】