股指期货交易制度变化对期现关系的影响研究  

Research on the Influence of Stock Index Futures Trading System Change on the Relationship Between Futures and Stock

作　　者：熊亚萍 

机构地区：[1]上海大学经济学院

出　　处：《浙江金融》2019年第8期35-43,共9页Zhejiang Finance

摘　　要：本文利用沪深300股指期货及其指数的高频数据,通过建立IS模型和DCC-MGARCH模型,对比研究了交易制度限制前、限制期间和放宽期间股指期货市场与股票市场之间的价格发现关系和波动溢出效应。研究结果表明:在交易制度限制前和放宽期间,期货价格占主导地位,而在限制期间现货价格占主导地位,政策放宽有助于期货市场发挥价格发现功能;期货市场和现货市场具有双向波动溢出效应,期货市场对"新消息"更为敏感;相比限制期间,政策放宽在一定程度上有助于提高市场流动性。因此,政府出台交易制度放宽政策切实可行且很有必要,应继续适度合理进行松绑,同时应注重平衡股指期货市场的流动性。Using high-frequency data of CSI 300 stock index futures and CSI 300 index,and by establishing the IS model and DCC-MGARCH model, this paper compares the price discovery relationship and the volatility spillover effect between the stock index futures market and the stock market in the pre-and post-restriction and relaxation periods of the trading system. The results show that the futures price dominates before and during the trading system restriction,while the stock index price dominates during the restriction period;the policy relaxation helps the futures market to play the price discovery function. The futures market and the stock market have two-way volatility spillover effects, and the futures market is more sensitive to "new news";compared with the restriction period, the policy relaxation will help to improve market liquidity to a certain extent. Therefore, it is feasible and necessary for the government to relax the trading system. We should continue to relax the restrictions appropriately and reasonably, and pay attention to balancing the liquidity of the stock index futures market.

关 键 词：交易制度 股指期货 价格发现 波动溢出 

分 类 号：F830.91[经济管理—金融学] F832.5