股指期货在预警股票市场系统性风险中的作用研究

发布时间：2018-01-17 23:24

本文关键词：股指期货在预警股票市场系统性风险中的作用研究　出处：《宏观经济研究》2017年06期 　论文类型：期刊论文

【摘要】：本文利用包含牛市疯涨、股市危机和危机后修复三个阶段的高频数据,通过Johansen协整检验、Granger因果检验、分位数回归和滚动窗口法,对我国上市交易的上证50、沪深300和中证500股指期货与股票市场之间的价格领先关系和风险预警作用进行了系统深入的研究。研究结果表明,期货价格对现货价格的引领呈U型特征,不同涨跌情形下,期货对现货的引领程度存在显著差异,在暴涨和暴跌行情中,期货对现货的引领作用更强。股指期货对股票市场有很强的风险预警作用,并且风险预警强弱与市场风险正相关,市场风险越大,风险预警作用越强。即便受到交易限制,股指期货仍然具有很好的价格引领作用和风险预警作用。股市危机期间,交易所于2015年7月6日率先出台限制中证500指数期货交易的政策是正确且有效的措施。市场稳定后可以逐步放开股指期货交易,首先放开上证50股指期货限制交易,其次是沪深300股指期货,最后是中证500股指期货。
[Abstract]:In this paper, we use the high-frequency data including bull market rout, stock market crisis and post-crisis repair, through Johansen cointegration test Granger causality test, quantile regression and rolling window method. This paper makes a systematic and in-depth study on the price-leading relationship and risk warning function between the Shanghai Stock Exchange 50, CSI 300 and China Stock Exchange 500 stock index futures and the stock market. The lead of futures price to spot price is U-shaped. Under different ups and downs, there are significant differences in the leading degree of futures to spot price, in the soaring and plummeting prices. Stock index futures have a strong risk warning effect on the stock market, and risk warning is positively related to market risk, the greater the market risk. The stronger the role of risk warning. Even if restricted by trading, stock index futures still have a very good price guidance and risk warning role. During the stock market crisis. In July 6th 2015, the Stock Exchange first issued the policy of restricting the futures trading of China Stock Exchange 500 Index, which is the correct and effective measure. After the market stability, the stock index futures trading can be gradually opened up. First, the Shanghai Stock Exchange 50 stock index futures trading restrictions, followed by Shanghai and Shenzhen 300 stock index futures, and finally China 500 stock index futures.
【作者单位】：中国人民大学财政金融学院;宁波大学商学院;
【基金】：国家自然科学基金项目“中国股市过度波动与崩溃的成因及对策——基于计算实验金融方法”(71373135) 中国人民大学2016年度拔尖创新人才培育资助计划的成果
【分类号】：F724.5
【正文快照】： 一、弓I言经过30多年的快速发展,目前我国已经成为世界上第二大经济体,在全球经济发展中具有重要的地位,而我国的股票市场仅有27年的历史,与世界上主要的股票市场还有很大的差距。尽管资本市场滞后于实体经济的发展,过$1(3@股票市场还是发生了很大@变化。其中影响^大的内第—

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