股指期货交易限制对我国阳光私募基金绩效的冲击  

The Impact of Limited Stock Index Futures Trading on the Performance of Sunshine Private Funds in China

作　　者：李义超[1] 金浙钦 韦宏耀 LI Yi-chao;JIN Zhe-qin;WEI Hong-yao

机构地区：[1]浙江工商大学金融学院 [2]杭州润洲投资管理有限公司

出　　处：《经济论坛》2018年第9期57-61,共5页Economic Forum

基　　金：浙江省自然科学基金项目(LY13G030017);浙江省人力资源和社会保障科学研究课题(2018040);浙江省哲学社会科学规划项目(19NDJC208YB)

摘　　要：股指期货曾是中国金融市场最活跃的金融衍生工具,其所发挥的对冲作用自其问世伊始便备受关注。然而,由于2015年股市大起大落,中金所对其实施了严厉的交易限制措施,有效抑制了中国股指期货的流动性。对于股指期货交易限制措施市场效应,金融学者、业界经营者众说纷纭,观点不一。文章以2015年9月7日最严厉的股指期货交易限制措施付诸实施为时间节点,利用非参状态分析FF3模型,考察其对阳光私募基金绩效的冲击。Stock index futures used to be the most active futures derivatives in China＇s financial market. As a hedging instrument, it has attracted much attention since its launch. However, in 2015, CICC imposed stringent policies to effectively restrain China＇ s stock index futures trading, because the stock market fluctuated drastically. For market effects to restrict stock index futures trading, financial scholars and investors hold different opinions. This article mainly focuses on the most stringent restriction policy for stock index futures on September 7, 2015, and evaluates its impact on the performance of the Sunshine Private Funds by using Non-Parametric State Analysis and Fama-French Three-Factors Model.

关 键 词：股指期货 交易限制 基金绩效 

分 类 号：F832.51[经济管理—金融学]