分类账户制度能够抑制市场过度投机吗——来自中国股指期货市场的经验证据  

Can Ledger Accounts Restrain Overspeculation——Evidence from Stock Index Future Market in China

作　　者：张璐[1] 万迪昉[1] 商晨 万方[3] 

机构地区：[1]西安交通大学管理学院,陕西西安710049 [2]中央军委审计署西安审计中心,陕西西安710061 [3]深圳证券交易所衍生品业务部,广东深圳518010

出　　处：《当代经济科学》2017年第5期48-56,共9页Modern Economic Science

基　　金：国家自然科学基金面上项目"基于前沿创新特点的新创企业渐进式及互联网融资契约设计研究"(项目号:71671138);国家自然科学基金面上项目"基于动态不完全契约的中国转型期金融期货市场风险监控研究"(项目号:71373202);国家自然科学基金面上项目"基于金融契约及机制设计的中国金融衍生品交易市场自律监管研究"(项目号:71173166)

摘　　要：本文利用我国股指期货市场分类账户日交易数据,构造出投资者情绪指标,并将投资者情绪变动分解为预期与不可预期两部分,利用GARCH,VAR和OLS回归模型,研究了投机和套期保值账户投资者情绪对市场波动的影响。研究发现套保与投机账户投资者情绪变动对市场的影响趋同;两类账户的不可预期情绪变动对市场波动的加剧作用更强。说明分类账户制度不能有效抑制过度投机,其促发了我国股指期货市场"借套期保值之名,行投机之实"的现象。Using stock index futures daily trading volume data from ledger accounts,we have constructed the indicators of investor sentiment and decomposed change of investor sentiment into expected and unexpected parts.Using the models of GARCH,VAR and OLS,we studied the effects of speculators and hedgers on volatility.The results show that,the impacts of changes in investor sentiment of each type on market volatility are the same;the impact of changes in investor’s unexpected sentiment on volatility is stronger for both investor types.It showed that ledger accounts cannot effectively curb excessive speculation,which leads to the phenomenon that some investors speculate in futures market by their hedge position.

关 键 词：分类账户制度 投机 套期保值 预期情绪变动 不可预期情绪变动 

分 类 号：F724.5[经济管理—产业经济]