市场效率:股指期权、股指期货与股指的关系——来自香港恒生指数市场的证据

发布时间：2018-10-24 13:44

【摘要】：使用2007年7月3日到2009年3月31日期间日度数据,从定价效率和信息效率两个方面讨论并检验了香港恒指衍生品市场的市场效率。研究发现:(1)信息效率检验显示恒指现货、恒指期货市场为弱式有效,恒指期权市场没有呈现出弱式有效的市场特征;(2)定价效率检验显示香港恒指期货、期权市场都是具有定价效率的衍生品市场;(3)恒生指数和其衍生品市场之间的领先——滞后关系符合成本交易假设,恒指期权收益领先恒指期货收益,恒指期货收益领先恒指现货收益,恒指期货和恒指期权市场在价格发现功能中占据主导地位;(4)恒指期权市场的存在,完善了套利机制,增强了现货市场和期货市场的流动性。这个结论为中国持续连贯地发展股指衍生品市场提供了坚实有力的证据,因此笔者建议在沪深300股指期货平稳运行之后,中国应该适时推出同一标的指数的股指期权产品,形成股指期货和股指期权市场并行发展的股指衍生品市场格局。
[Abstract]:Using the daily data from July 3, 2007 to March 31, 2009, this paper discusses and tests the market efficiency of Hong Kong HSI derivatives market from two aspects: pricing efficiency and information efficiency. The results are as follows: (1) the information efficiency test shows that the HSI spot, the HSI futures market is weakly efficient, and the HSI option market does not exhibit a weak efficient market feature; (2) the pricing efficiency test shows that the HSI futures in Hong Kong are weakly efficient. Options markets are all derivatives markets with pricing efficiency. (3) the lag relationship between the Hang Seng Index and its derivatives market is in line with the hypothesis of cost trading. HSI futures yield is ahead of HSI spot income, HSI futures and HSI options market plays a dominant role in price discovery; (4) the existence of HSI option market has improved the arbitrage mechanism and enhanced the liquidity of spot market and futures market. This conclusion provides strong evidence for China's sustained and consistent development of the stock index derivatives market. Therefore, the author suggests that after the stock index futures of Shanghai and Shenzhen 300 run smoothly, China should timely launch the stock index option products with the same target index. Form stock index futures and stock index options market parallel development of stock index derivatives market pattern.
【作者单位】：山东师范大学经济学院;北京工商大学商学院;
【基金】：国家自然科学基金重点项目(70831001);面上项目(70671005)
【分类号】：F224;F832.5

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