基于“反事实”波动率的中国股指期货效应  

The Effect of Stock Index Futures on Counterfactual Volatility

作　　者：王春丽[1] 徐忠强[1] 

机构地区：[1]东北财经大学统计学院,辽宁大连116025

出　　处：《统计与信息论坛》2017年第9期63-68,共6页Journal of Statistics and Information

基　　金：教育部人文社会科学研究项目<我国创业板IPO价格行为与发行市场效率关系的实证研究>(13YJA790109)

摘　　要：以沪深300股指期货和沪深300股票价格指数为研究对象,采用基于"反事实"思想的政策效应评估方法,研究股指期货对股票价格指数波动性的影响。研究结果显示,股指期货的处置效应显著为负,沪深300指数的真实波动率远低于构造的"反事实"波动率,沪深300股指期货的推出能降低股票市场的波动性;通过安慰剂检验验证了实证结果的稳健性,表明沪深300股指期货发挥了市场"稳定器"作用。Based on CSI-300 index futures and CSI-300 index,this paper applies a recently developed policy evaluation approach to study the impact of CSI-300 index futures on stock market volatility. The result shows that the actual volatility of stock market is lower than the counterfactual volatility after the introduction of stock index futures and the mean of the treatment effect is significantly negative. Our results provide empirical evidence that the introduction of index futures trading significantly reduces the volatility of the Chinese stock market and plays a role in stabilizing the stock market.

关 键 词：股指期货 “反事实”波动率 政策效应评估方法 

分 类 号：F222.39[经济管理—国民经济]