基于中美对比的股指期货对现货波动性的影响  

Impact of Stock Index Futures on the Volatility of the Spot Market Based on the Comparison Between China and USA

作　　者：杨德勇[1] 胡雅君[2] 刘笑彤 

机构地区：[1]北京工商大学 [2]北京工商大学经济学院金融系

出　　处：《经济与管理研究》2017年第1期57-64,共8页Research on Economics and Management

基　　金：国家自然科学基金项目“区域差异视角下我国农村金融体系构建研究”(71273020);北京市教育委员会市属高校创新能力提升计划项目“中关村创新示范区引领京津冀产业升级的金融支持研究”(TJSHS201510011001)

摘　　要：本文旨在通过将CSI300股指期货和美国E-minis标普500股指期货进行对比研究,添加时间虚拟变量,延伸AR(m)-GARCH(p,q)模型,研究两只期指对现货市场波动性影响的不同点;同时构建四维的理论分析架构,通过OLS回归的方法,研究期指价格波动背后的经济原因。结果发现,在观察期内,CSI300股指期货交易后现货市场的波动性提高,E-minis标普500期货交易后现货市场的波动性有所减小。同时两市场股指期货的方向性波动受到多方面因素综合作用,E-minis标普500的价格受到包括体现金融市场深度的M2/GDP指标、上市公司市值规模、体现投资者活跃程度的合约成交量等因素的影响;CSI300股指期货的影响因素,主要包括宏观经济指标变量,如实际汇率,有效利率以及银行间信贷规模等。The purpose of this paper is to research on the impact of stock index futures on the spot market volatility through the comparison between the CSI300 stock index futures and the E-minis S＆P 500 stock index futures. By adding dummy variables, this paper extends the AR （m）-GARCH （p, q）model to study the differences between two futures＇ volatility influences, while building a four-dimensional theoretical framework and an OLS regression method to study the index for economic reasons behind the price fluctuations. Conclusions show：the CSI stock index futures increased the volatility of the spot market after the launch, and the ES reduced the spot market volatility, both of which were affected by various factors. The most important factors related with the ES include the M2/GDP, the market value of listed companies, and contract volume. For the CSI300 stock index futures, the influential factors include the real exchange rate, effective interest rate, interbank overnight loan rate, etc., related with the macro-economic factors.

关 键 词：股指期货 现货市场 波动 

分 类 号：F831.5[经济管理—金融学]