沪深300股指期货推出改善了我国股票市场质量吗——基于联立方程模型的实证研究  

Did the Introduction of CSI 300 Index Futures Improve the Quality of Spot Stock Market: An Empirical Study Based on Simultaneous-equations Model

作　　者：许红伟[1] 吴冲锋[1] 

机构地区：[1]上海交通大学安泰经济与管理学院

出　　处：《南开管理评论》2012年第4期101-110,共10页Nankai Business Review

摘　　要：考虑到股票市场各个特性之间存在相互作用,本文构建了一个联立方程模型,对沪深300股指期货上市是否改善了我国股票市场微观质量进行了研究。结果发现,控制相关因素后,股指期货推出一年内:(1)股票市场换手率下降了,表明股指期货为现货市场带来的"转移效应"大于"增量效应";(2)股票市场的有效价差扩大了,表明其增加了现货市场的隐性交易成本;(3)股票市场波动率也增加了,表明其加剧了现货市场的日内波动性;(4)股指期货对不同类别股票的市场质量影响各异,总体上对大盘权重股和沪深300指数成份股的负面影响较大。本文认为,造成股票市场微观流动性和日内波动性恶化的主要原因在于,在沪深300股指期货推出后初期非信息性交易者大量转移至期货市场,使得股票市场信息不对称程度加大,并进而带来"逆向选择"问题。As the first financial index futures item, the introduction of CSI 300 index futures has attracted a great deal of attention. But there are still considerable debates on its potential effects on the spot stock market. Some argue that it can improve the market quality of the stock market, but others argue that futures trading may destabilize the market by reducing liquidity and increasing volatility. This paper, investigates whether CSI 300 index futures improve the market quality, including liquidity and volatility, of Chinese cash A-shares in its earlier period. We construct a simultaneous-equations model to take account of the interact relationship of these attributes, and using the constituents stocks of three CSI scale indexes to be on behalf of different market value stocks. Our evidences show that, in general, the micro liquidity and intraday volatil- ity of the cash equities deteriorated in the earlier period of index futures than before, which is consistent with Silber （1985）, Stein （1987） and Subrahmanyam（1991）Dbut not with the policy makers and regulators. Specially, after controlling other factors, the daily turnover decreased and the effective spread widened, suggesting that the Migration Effect was greater than the Incremental effect. And the intraday volatility increased, implying that the index futures made the spot stocks prices become more unstable. Furthermore, CSI 300 index futures had vari- ous negative impacts on different stock groups; the underlying and big cap stocks suffered a greater bad impact than other ones. We argue that one of the reasons is that a large number of uninformed investors chose to migrate from the spot stock market into the index futures market, because the latter has many advantages, such as lower transaction costs, higher liquidity, price discovery and. risk hedge market. The migration activities resulted in the problems of information asymmetry and ad- verse selection of the spot market, which eventually led to the deteriora- tion of the quality of market

关 键 词：股指期货 市场质量 流动性 波动性 信息不对称 

分 类 号：F224[经济管理—国民经济] F832.51