中国股指期货市场有效性研究  

Research on the effectiveness of China's stock index futures market

作　　者：卢欣生[1] 李晓彤[1] 张文强[1] 

机构地区：[1]济南大学商学院

出　　处：《全球化》2017年第7期107-115,共9页Globalization

摘　　要：股指期货作为一种典型的金融衍生品,对于发挥金融市场的资源配置功能,维护金融市场的稳定具有显著的积极作用。由于中国的股指期货市场起步较晚,对该市场的有效性研究还不充分,为了能够证明中国股指期货市场的有效性水平,本文利用2015年4月16日14时—2015年6月16日14时,每5分钟中证500和上证50股指期货交易收益率的高频数据,采用单位根检验、(G)ARCH模型的方法,分析我国股指期货市场的有效性。研究发现,中国股指期货市场已经达到弱式有效水平。为了进一步促进中国股指期货市场的发展,本文提出四条基本建议:(1)政府要深化市场改革,明晰产权;(2)投资者要谨慎辨别信息真伪,提高专业水平;(3)丰富股指期货品种,降低市场参与门槛;(4)加大对上市公司的监管,完善信息披露制度。As a typical financial derivative,stock index futures have a significant positive effect on allocating financial resources and maintaining the stability of financial markets.The Chinese stock index futures market started late,the research on the effectiveness of the market is not sufficient.In order to prove the validity of the Chinese stock index futures market,based on goods trade frequency data of yields 500 and SSE50 index of every 5 minutes,between 14:00 16 April 2015 to 14:00 16 June 2015,by using unit root test,(G)ARCH model,this paper analyzes the effectiveness of China's stock index futures market.The study finds that China's stock index futures market has reached the level of weak form.In order to further promote the development of China stock index futures market,this paper puts forward four basic suggestions:(1)the government should deepen the market reform to clarify property rights;(2)investors should be careful to distinguish the authenticity of the information,improve the professional level;(3)stock index futures categories should be enriched and market participants threshold should be lowered;(4)the supervision of listed companies should be enhanced and the information disclosure system should be improved.

关 键 词：股指期货 高频数据 (G)ARCH模型 弱式有效市场 

分 类 号：F724.5[经济管理—产业经济]