异常收益、市场波动与行情变化——基于股指期货限制交易的事件研究

发布时间：2018-04-14 07:21

本文选题：股指期货 + 限制交易政策　；参考：《金融发展研究》2017年08期

【摘要】：为应对市场冲击,确保金融市场平稳发展,中金所于2015年9月7日实施一系列限制股指期货的政策。本文将中证500指数和沪深300指数的全部成分股作为研究样本,分析了该事件对市场异常收益率、波动率以及市场行情的影响。研究发现,限制股指期货的政策实施在短期有助于抑制股价波动,确保市场稳定;长期会显著降低市场的累计异常收益率,抵御市场逆向冲击作用有限。为此需加强投资者教育、完善期货市场机制建设以及健全风险管控机制,从而确保我国金融市场的长期稳定发展。
[Abstract]:To cope with market shocks and ensure the smooth development of financial markets, CICC implemented a series of policies to restrict stock index futures on September 7, 2015.In this paper, the influence of this event on the abnormal rate of return, volatility and market price is analyzed by taking all the components of CSI 500 Index and CSI 300 Index as the research samples.It is found that the policy of limiting stock index futures in the short term will help to restrain stock price volatility and ensure market stability. In the long run, it will significantly reduce the cumulative abnormal return rate of the market and have limited resistance to adverse market shocks.Therefore, it is necessary to strengthen investor education, perfect the construction of futures market mechanism and perfect the risk control mechanism, so as to ensure the long-term and stable development of China's financial market.
【作者单位】：合肥工业大学经济学院;
【分类号】：F832.51;F724.5

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