证券市场的期现基差与流动性

发布时间：2017-12-31 18:27

本文关键词：证券市场的期现基差与流动性　出处：《管理科学》2017年04期 　论文类型：期刊论文

【摘要】：2015年股市危机期间中国证券市场的流动性尽失,甚至一度出现"千股跌停"这一罕见情形,监管层随后对股指期货和股市现券卖空进行最为严厉的限制,这一系列举措给实证研究带来一个很好的拟自然实验场景,用来研究中国证券市场的流动性和期现基差问题。选取中国沪深300股票指数和沪深300股指期货的5分钟高频数据和日度低频数据为样本,以经典的金融学套利交易理论为基础,对2015年股灾监管前后划分样本区间,使用VAR模型和OLS回归对市场的流动性和期现基差进行分析。研究结果表明,期现基差是导致套利交易的原因,进而造成订单不平衡,从而减弱了流动性。期现的正向基差比负向基差对流动性的影响大,且这种非对称效应在极端行情下差别更大;当期现基差为正时,套利者可以很容易的卖空股指期货并做多现货,这种订单的不平衡引起现货市场的流动性增加,但是一旦出现负向期现基差,很难卖空股票现货同时做多股指期货,导致流动性下降;高频和低频数据的结论都证明正向期现基差会引发套利,从而使流动性增加。在股指期货和融券交易被限制后,套利交易难以有效进行,期现基差为负,无法通过套利交易增加流动性,这可能是造成2015年股市危机期间流动性尽失的一个原因。研究结论不仅对2015年中国股市危机期间流动性缺失提供了一种解释,同时也对监管机构如何应对股票市场危机具有启发意义。
[Abstract]:The liquidity of securities market Chinese lost during the 2015 crisis in the stock market, even once a "thousand shares limit" of this rare case, regulators then the stock index futures and stock market bond short selling of the most severe restrictions, this series of initiatives to bring a good natural experiment scenarios for the empirical research, liquidity and period to study the Chinese securities market now. China basis selects the Shanghai and Shenzhen 300 stock index and the Shanghai and Shenzhen 300 stock index futures 5 minute high-frequency data and daily frequency data as the sample, using the classical finance arbitrage theory, the stock market crash of 2015 before and after the regulatory division of sample interval, using the VAR model and OLS regression on the flow of the market and is the basis for analysis. The results show that, the basis is the cause of arbitrage, causing the order imbalance, thereby weakening the liquidity. The positive group In contrast to the basis of negative affect liquidity, and the asymmetry in the extreme market bigger difference; the current is the basis for the time being, arbitrager can easily spot and long and short stock index futures, this order caused by the unbalance of the spot market liquidity increased, but once the negative current the basis, it is hard to short and long stock index futures, resulting in reduced liquidity; high and low frequency data have proved the positive conclusion basis will lead to arbitrage, which increased liquidity. Is limited in the stock index futures and margin trading, arbitrage is not effective, is the basis for negative liquidity cannot increased by arbitrage, this may be the cause of the 2015 stock market liquidity during the crisis. This research conclusion not only lack of liquidity on the stock market crisis in 2015 during the Chinese provides an explanation, It is also instructive for regulators to cope with the stock market crisis.

【作者单位】：西南财经大学经济与管理研究院;西南财经大学金融学院;
【基金】：中央高校基本科研业务费专项资金(JBK1607002)~~
【分类号】：F832.51
【正文快照】： 引言在2015年股市危机期间,中国证券市场行情下跌速度之迅猛、程度之深在整个A股历史上前所未有。上证综指从2015年6月13日开盘5 174点到2015年7月8日收盘3 507点,短短20多个交易日,累计下跌幅度达到32%,在下跌过程中造成的市场“踩踏”导致股市出现每日近千只个股跌停和数

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