沪深300股指期货推出改善了我国股票市场质量吗——基于联立方程模型的实证研究

发布时间：2018-06-15 04:15

本文选题：股指期货 + 市场质量　；参考：《南开管理评论》2012年04期

【摘要】：考虑到股票市场各个特性之间存在相互作用,本文构建了一个联立方程模型,对沪深300股指期货上市是否改善了我国股票市场微观质量进行了研究。结果发现,控制相关因素后,股指期货推出一年内:(1)股票市场换手率下降了,表明股指期货为现货市场带来的"转移效应"大于"增量效应";(2)股票市场的有效价差扩大了,表明其增加了现货市场的隐性交易成本;(3)股票市场波动率也增加了,表明其加剧了现货市场的日内波动性;(4)股指期货对不同类别股票的市场质量影响各异,总体上对大盘权重股和沪深300指数成份股的负面影响较大。本文认为,造成股票市场微观流动性和日内波动性恶化的主要原因在于,在沪深300股指期货推出后初期非信息性交易者大量转移至期货市场,使得股票市场信息不对称程度加大,并进而带来"逆向选择"问题。
[Abstract]:Considering the interaction between the characteristics of the stock market, this paper constructs a simultaneous equation model and studies whether the Shanghai and Shenzhen 300 stock index futures market has improved the micro quality of our stock market. The results show that after controlling the related factors, the stock index futures are introduced in one year: (1) the exchange rate of the stock market has declined, indicating the stock index. The "transfer effect" brought by futures to the spot market is greater than the "incremental effect"; (2) the effective price difference in the stock market is enlarged, indicating that it increases the hidden transaction cost in the spot market; (3) the volatility of the stock market has also increased, indicating that it aggravates the intra day volatility of the spot market; (4) stock index futures on the quality of different categories of stock market. In this paper, the main reason for the deterioration of the micro liquidity and the internal volatility of the stock market is that the non informative traders in the early stage of the Shanghai and Shenzhen 300 stock index futures are transferred to the futures market, which makes the information asymmetry of the stock market unsymmetrical. The degree is increasing and the problem of "reverse selection" is brought.
【作者单位】：上海交通大学安泰经济与管理学院;
【分类号】：F224;F832.51

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