市场深度、流动性和波动率——沪深300股票指数期货启动对现货市场的影响

发布时间：2017-12-31 12:22

本文关键词：市场深度、流动性和波动率——沪深300股票指数期货启动对现货市场的影响　出处：《金融研究》2012年06期 　论文类型：期刊论文

【摘要】：中国金融期货交易所于2010年4月16日正式启动沪深300指数期货交易。本文考察2008年初至2011年10月的日内和跨日股指交易数据,发现股指期货的推出显著改善了反映股票市场运行质量的多个指标。股指日内5分钟波动率在股指期货推出后下降了37%,而指数成分股的日对数交易量的方差下降了40%。基于EGARCH模型的参数估计显示,股票市场的市场深度和价格信息度在股指期货推出后显著提升;股指日回报率的条件方差下降了约40%。这些结果说明,沪深300指数期货的推出提升了股票市场的流动性和价格发现能力,并进而提高了交易量的稳定性,降低了价格波动性。本文的研究为确认股指期货改善了我国资本市场结构并有利于深化我国资本市场改革提供了重要佐证。
[Abstract]:The China Financial Futures Exchange officially launched the Shanghai and Shenzhen 300 index futures trading on April 16th 2010. This paper examines the intraday and trans-day stock index trading data from early 2008 to October 2011. It is found that the introduction of stock index futures has significantly improved the performance of multiple indicators reflecting the quality of the stock market. The intraday volatility of the stock index fell by 37% after the launch of the stock index futures. The variance of the daily logarithmic trading volume of the index component stock dropped by 40%. The parameter estimation based on EGARCH model shows that the market depth and price information degree of the stock market increase significantly after the introduction of the stock index futures; The conditional variance of the daily return of the stock index has decreased by about 40 percent. These results show that the introduction of the Shanghai and Shenzhen 300 index futures has improved the liquidity and price discovery ability of the stock market. The research in this paper provides important evidence to confirm that stock index futures have improved the structure of China's capital market and are conducive to deepening the reform of China's capital market.
【作者单位】：清华大学经济管理学院;中国人民银行金融研究所;中国证券监督管理委员会;
【基金】：国家自然科学基金(项目号71102016)资助
【分类号】：F224;F832.51
【正文快照】： 一、引言经过多年的酝酿筹备，，中国金融期货交易所于2010年4月开始交易沪深300指数期货。股指期货启动是我国金融期货市场发展的重要标志，对于促进资本市场功能的完善，推进资本市场健康持续发展具有深远意义。在股指期货启动一年半之际，本文考察沪深300指数期货交易对股票

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