股灾期间股指期货捆绑政策效果比较分析——基于2015年股灾期间HS300高频数据实证  

Effect Evaluation of the Stock Index Future's Trading Restriction Policy——Evidence from the 2015 Chinese Stock Market Crash

作　　者：杨林[1] 杨雅如[2] YANG Lin;YANG Ya-ru(School of Economics, Hunan Agricultural University, Changsha 410128, China;School of Finance, Zhongnan University of Economics and Law, Wuhan 430073, China)

机构地区：[1]湖南农业大学经济学院,湖南长沙410128 [2]中南财经政法大学金融学院,湖北武汉430073

出　　处：《财经理论研究》2019年第1期42-51,共10页Journal of Finance and Economics Theory

基　　金：国家社会科学基金项目(15BGL044);中南财经政法大学研究生科研创新项目(2016SSjrx016)

摘　　要：股灾期间,股指期货被疑为股灾的幕后推手,为千夫所指。为了正确评价2015年股灾期间捆绑政策效果,选取沪深300指数及股指期货5分钟高频数据,对上升期、下降期及捆绑期内股指期货及现货市场间价格变化情况进行比较分析。研究结果表明:股指期货与现货市场之间始终具有显著协整关系;从价格发现方面来看,股指期货市场在上升期及下降期均具有较强价格引导能力和价格发现能力,捆绑期内转为现货市场引导能力占据主导;从波动溢出来看,上升期期现货市场间存在双向溢出,下降期仅存在股指期货市场向现货市场的单向波动溢出,而捆绑期内现货市场对期货市场的波动溢出占主导。股灾期间,推出股指期货捆绑政策确有必要性,且对平抑股市波动确实具有效性。Based on the HS300 index future 5-min date during the crash in 2015,this paper investigates the necessity and validity of stock index future trading restriction policies.We first divide the sample period into the rising period,the descent period and the limit period,and then dynamically analyze the changes in the price relationship between spot markets and future marketfrom price discovery and risk spillovers aspects.The results show that there are co-integrate relations among spot markets and future market.The lead from stock index futures to stock index is comparatively stronger in the rising period and descent period.But the stock market’s price discovery ability plays a dominant role in the limit period.And we found there exist a bilateral spillover between spot markets and future market in the rising period,but a unilateral spillover from future market to spot markets in the descent period.In the limit period,the spillover effect from spot markets to future market is dominant.It indicates the necessity and effectiveness of the stock index future trading restriction policies.

关 键 词：股市危机 股指期货 价格发现 风险溢出 

分 类 号：F830.91[经济管理—金融学]