中国股指期货市场的动态竞争关系研究  

A study on the dynamic competitive relationship betw een the different stock index futures markets in China

作　　者：林祥友[1] 易凡琦 陈超[1] 

机构地区：[1]成都理工大学商学院,四川成都610059

出　　处：《南京财经大学学报》2017年第2期62-70,81,共10页Journal of Nanjing University of Finance and Economics

基　　金：四川省软科学研究计划项目(2015ZR0228);四川省教育厅人文社科重点项目(14SA0036);国家大学生创新创业训练计划项目(201610616032)

摘　　要：中国金融期货交易所先后推出沪深300股指期货合约、上证50股指期货合约和中证500股指期货合约。以不同标的指数股指期货合约的成交额、成交量和持仓量为研究对象,采用均值差异的T检验和Wilcoxon秩和检验方法分析不同标的指数股指期货合约的成交额、成交量和持仓量在股指期货交易新规实施前后的差异性,采用Lotka-Volterra模型实证研究不同标的指数股指期货市场之间的动态竞争关系,分析股指期货交易新规对不同标的指数股指期货市场竞争关系的影响。结果表明,从成交额和成交量角度看,不同阶段不同标的指数股指期货市场之间存在捕食-诱饵、互惠共存和完全竞争关系,受到股指期货交易新规的影响显著;从持仓量角度看,不同阶段不同标的指数股指期货之间始终存在捕食-诱饵关系,受到股指期货交易新规的影响则并不显著。Under the background of the launch of the CSI 300 stock index futures, the SSE 50 stock index futures and the CSI 500 stock index futures,with the data from the different stock index futures including the CSI 300 stock index futures, the SSE 50 stock index futures and the CSI 500 stock index futures, using the T test and Wilcoxon test to examine the differences before and after the changing of the trading rules for the stock index futures implemented on the September 7th ,2015, adopting the Lotka-Voherra model to analyze the dynamic competitive relationships between the different stock index futures markets, and to analyze the effects of the new trading rules of the stock index futures on the competitive relationships, this paper has drawn the conclusions as follows：from the angle of trading volume to analyze the competitive relationships, the new trading rules of the stock index futures has significant effects on the competitive relationships between the different stoek index futures markets ; and from the angle of open interest to analyze competitive relationships, the new trading rules of the stock index futures has no signif- icant effects on the competitive relationships between the different stock index futures markets.

关 键 词：股指期货 竞争关系 交易规则 LOTKA-VOLTERRA模型 

分 类 号：F830.91[经济管理—金融学]