期指市场与现货市场交易制度的不对称与市场波动  

The Influence of Trading Rules Asymmetry between Future Market and Spot Market on Market Volatility

作　　者：李星汉[1] 李诗瑶[1] 

机构地区：[1]中国人民大学财政金融学院,北京100086

出　　处：《商业研究》2016年第5期17-24,共8页Commercial Research

基　　金：中央高校基本科研业务专项基金资助项目;项目编号:15XNH045

摘　　要：本文使用融券标的扩容这一自然实验检验了期指市场与现货市场交易制度的不对称对市场波动的影响。研究发现:整体而言,沪深300指数成分股的波动率低于非沪深300指数成分股,但沪深300指数成分股的波动率在可以融券卖空后显著增加,表明股指期货与现货市场交易制度不对称程度的降低会增加股票波动。究其原因是我国投资者群体中噪声投资者的比重较大,在股指期货的价格引导作用下,即使是在融券制度实施后,套利投资者的作用仍然有限,导致其不仅不能平抑现货市场波动,反而会加剧现货市场波动。This paper uses the expansion of margin trading scale,one natural experiment,to test the influence of trading rules asymmetry between future market and spot market on market volatility. We find that the volatilities of stocks in the CSI 300 index are lower than the volatilities of other stocks,but stocks in the CSI 300 index get rise in the volatility after they can be short sold,showing that the degree of asymmetry of the stock index futures and the spot market trading system will increase the volatility of the stock; margin trading can reduce spot market volatility significantly,because noise traders are majority in stock market. So,under the futures price guidance,arbitrageurs have limited influence even with margin trading. As a result,they cannot smooth the fluctuation,but may aggravate market volatility.

关 键 词：交易制度 股指期货 卖空限制 市场波动 

分 类 号：F830[经济管理—金融学]