股指期货交易提升了股票市场有效性吗

发布时间：2018-01-01 00:35

本文关键词：股指期货交易提升了股票市场有效性吗　出处：《财贸经济》2017年08期 　论文类型：期刊论文

【摘要】：股指期货能否显著提升股票现货市场有效性,对于健全完善高效的现代金融市场体系具有重要意义。本文从分析师评级修正是否引起股票收益率漂移的角度,以2010年2月沪深300股指期货发布为前后时间分割点,以分析师评级修正事件为样本,通过自然实验的方法探究股指期货这一市场做空机制推出是否改善了A股市场有效性。研究发现:(1)股指期货的推出在一定程度上降低了分析师评级修正的信息含量,提高了市场有效性;(2)股指期货给市场以重要的做空渠道,改善了A股市场定价过高的状况;(3)在市场释放做空压力的特殊市场状况下,分析师调高评级相对于调低评级的增量效应增强,但这并不与市场有效性改善的结论相悖。这些结论有助于增进人们对股指期货功能、市场微观结构和信息效率的认识,对完善金融市场监管、加强市场风险管理有指导意义。
[Abstract]:Stock index futures can significantly improve the effectiveness of the stock market, has important significance for modern financial market system perfect and efficient. This paper from the analyst ratings whether stock returns caused by correction of drift angle in February 2010, Shanghai and Shenzhen 300 stock index futures was released before and after the time division, with analysts rating correction events as samples, through the method of natural experiment to explore the market of stock index futures short mechanism whether the introduction of improved A stock market effectiveness. The study found that: (1) the introduction of stock index futures is reduced to a certain extent the information content of analyst rating correction, improve market efficiency; (2) the stock index futures market to give important short channels, improve the A shares the market price high status; (3) special market conditions short release pressure on the market, increase analysts rating downgrade increases relative to the incremental effect Strong, but this is not contrary to the conclusion of market efficiency improvement. These conclusions can help to improve people's understanding of stock index futures function, market microstructure and information efficiency, improve financial market regulation and strengthen market risk management.

【作者单位】：中央财经大学金融学院;
【基金】：国家自然科学基金青年项目(71401193);国家自然科学基金面上项目(71671193) 中央财经大学金融学院卓越项目
【分类号】：F724.5
【正文快照】： 一、引言2010年2月20日,中国证监会正式批复我国证券市场的第一只股票指数期货——沪深300股指期货相关业务;4月16日,沪深300股指期货在中国金融期货交易所(简称“中金所”)上市。至此,我国证券市场的市场做空机制初步形成。此后,根据《融资融券交易实施细则》,上交所和深交所

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