我国股票现货市场股指期货到期日效应研究——基于沪深300股票指数的实证分析  

The Index Futures Expiration Day Effects of Chinese Spot Stock Market:An Empirical Analysis Based on HS300 Stock Index

作　　者：李琼[1] 肖祖沔 

机构地区：[1]武汉大学经济与管理学院,邮政编码430072

出　　处：《经济评论》2015年第3期147-160,共14页Economic Review

基　　金：武汉大学自主科研项目(人文社会科学)研究成果;"中央高校基本科研业务费专项资金"资助~~

摘　　要：本文在控制了股市周末效应之后,对我国股票现货市场上股指期货到期日效应进行了分析。基于2010年5月至2014年4月数据的实证检验表明,我国现货市场股价波动率在到期日显著增加,但并不存在显著的成交量增加和价格扭曲现象。通过将实证结果与前期其他学者对该问题研究结论相比较,我们发现我国市场股指期货到期日效应整体上比发达国家要温和。并且,在控制假日效应与市场联动之后,我们对上述实证结果进行了稳健性检验,确认了实证分析结论的可靠性。由此得出如下结论:我国及采用类似期货规则的市场到期日效应较为温和的原因是,相对于发达国家市场,这些市场上股指期货的结算价计算方法更优且每年度具备更多的到期月份。This paper examines HS300 index futures expiration day effects of Chinese spot stock market with the weekend effect controlled. Empirical results of the period from May 2010 to April 2014 indicate that price volatility on the cash market was significantly higher on expiration days than on other days. However, there is no evidence of trading volume surges and price distortions on expiration day. By combing these results with previous studies, we find that by and large the expiration day effects of Chinese stock market are less severe than that of developed countries＇ markets. What is more, a robust test is conducted by controlling the holiday effect and markets co -mOvement, which confirms our empirical findings. Finally, we draw the conclusion from the perspective of market rules： the overall expiration day effects of Chinese stock market and those markets that adopt similar rules are less severe, and which may attribute to better algorithm used to calculate the settlement price and more settlement months per year on the these markets compared with that of the developed countries＇ markets.

关 键 词：股指期货 到期日效应 成交量 波动率 价格扭曲 

分 类 号：F832.51[经济管理—金融学] F724.5