限制股指期货交易能降低股市波动率吗?——来自沪深300指数的证据  

Can Restriction on Index Future Trading Reduce Spot Volatility?——Evidence from CSI 300 Index

作　　者：马长峰[1] 陈志娟[1] 

机构地区：[1]浙江工商大学金融学院，浙江 杭州 310018

出　　处：《湖南财政经济学院学报》2017年第4期74-81,共8页Journal of Hunan University of Finance and Economics

基　　金：教育部人文社会科学青年基金项目"证券价格波动机理研究:基于个人投资者交易行为的视角"(项目编号:11YJC790133);国家自然科学基金青年项目"盈余公告期间个人投资者买入需求流动性?卖出提供流动性?"(项目编号:71401155)

摘　　要：基于沪深300指数期货及其标的指数的日度数据,首先检验股指期货交易被限制这一事件对于沪深300指数波动率的影响,并分析这一事件对于标的指数交易量波动率之间的正相关性的影响,结果发现:股指期货交易被限制并未伴随标的指数波动率的下降,而是发生先降后升的动态过程,并且伴随着市场深度先降后升;在股指期货受限之前的样本中,期货和现货交易量都与现货波动率正相关,但持仓量却与现货波动率负相关。Based on daily data of CSI300 index future and its underlying spot index,this paper examines whether restriction on CSI300 index future trading has effect on spot index volatility,and analyzes this event＇ s influence on the relation between trading volume and volatility.The results show that： the restriction on index future is not associated with the decrease of spot index volatility,rather which decreases first and then increases,with market depth also decrease first and then increases.During the normal sample period before restriction,both future and spot trading volume correlate positively with spot index volatility,but open interest correlates negatively with spot index volatility.

关 键 词：交易量 波动率 指数期货 持仓量 

分 类 号：F832.51[经济管理—金融学]