股指期货交易加剧了中国股票市场波动性吗?——基于投资者结构的理论和实证研究  

Does Stock Index Futures Trading Increase the Stock Market Volatility in China?--Theoretical and Empirical Research Based on Investor Structure

作　　者：陈其安[1] 张慧 陈抒妤 CHEN Qi-an;ZHANG Hui;CHEN Shu-yu(School of Economics and Business Administration,Chongqing University,Chongqing 400044,China)

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《中国管理科学》2020年第4期1-13,共13页Chinese Journal of Management Science

基　　金：国家社会科学基金重点资助项目(19AGL013);重庆市研究生科研创新项目(CYS17029)。

摘　　要：股指期货交易的推出将改变股票市场投资者结构和投资者交易行为,进而对股票市场波动性产生影响。本文首先在假设股票市场存在股指期货交易的条件下,构建理论模型揭示投资者结构和股指期货交易对股票市场波动性的影响机理,并据此对中国股票市场在沪深300股指期货推出后的波动性变化进行理论预测;然后以2007-2016年期间的沪深300指数和投资者结构数据为样本,运用GARCH类模型对理论模型预测结果进行实证检验。研究发现,在股票市场存在股指期货交易的条件下,机构投资者比例和一般机构投资者比例对股票市场波动性的影响随机构投资者与个人投资者所占市场份额的比例关系不同而呈现出不同的特征;套利交易者比例增加、投机交易者比例减少都将降低股票市场波动性;沪深300股指期货推出显著降低了中国股票市场波动性,机构投资者比例增加将强化沪深300股指期货交易对中国股票市场波动性的减弱效应;中国证券监管部门可以通过鼓励股指期货产品开发和完善股指期货交易制度强化中国股票市场稳定性。The introduction of stock index futures trading may prompt changes of investor structure and their trading behaviors,thus having an effect on stock market volatility.Since the official launch of the CSI 300 stock index futures trading on April 16,2010,the surge and crash phenomenon in China’s stock market has not been significantly improved intuitively and there has been controversy over whether stock index futures trading will increase or reduce the volatility of the stock market.Therefore,the study on the influence of stock index futures trading and investor structure on stock market volatility has important theoretical and practical significance for clarifying the role of stock index futures trading on the stability of China’s stock market,optimizing the investor structure,improving the trading system of the stock index futures and ensuring Chinese stock market to develop healthily and steadily.First,a mathematical model is established to theoretically study the effect mechanisms of the stock index futures trading and investor structure on the stock market volatility based on the behavioral characteristics of various investors in stock and future markets.The following theoretical research results are obtained.In the presence of stock index futures trading in stock market,the stock market price volatility will decrease with the increase of the proportion of arbitragers,and increase with the increase in the proportion of speculative traders and in their speculation.When institutional investors hold more market share than individual investors,the stock market volatility would decrease with the increase in the institutional investors’market share.When the market share of institutional investors is more than individual investors and speculators are more speculative,or the market shares of institutional investors is more than individual investors but does not exceed a certain threshold and speculators are less speculative,the stock market price volatility is negatively correlated with the proportion of general

关 键 词：投资者结构 股指期货 中国股票市场 波动性 

分 类 号：F830.91[经济管理—金融学]