股指期货对股票市场正反馈交易的影响——基于中国A股市场的计量检验  

Influence of Stock Index Futures on Positive Feedback Trading in the Stock Market: An Econometric Test in China’s A-Share Market

作　　者：田树喜[1] 胡靖雪 孙荧 王健[1] TIAN Shu-xi;HU Jing-xue;SUN Ying;WANG Jian(School of Business Administration,Northeastern University,Shenyang 110169,China)

机构地区：[1]东北大学工商管理学院,辽宁沈阳110169

出　　处：《东北大学学报（自然科学版）》2020年第12期1794-1799,共6页Journal of Northeastern University(Natural Science)

基　　金：国家自然科学基金资助项目(71971048);辽宁省社会科学基金资助项目(LNKX2019-2020B02).

摘　　要：利用非对称GARCH模型和正反馈交易模型,对中国A股市场的正反馈交易进行了计量检验.结果表明:股指期货推出后,股票现货市场的正反馈交易减弱,但正反馈交易减弱的原因并不在于市场信息效率的提升,而是由于正反馈交易由股票现货市场转移至股指期货市场.股指期货对股票市场的正反馈交易主要起到的是分流而非抑制作用,这一结论不同于以往对股指期货作用的乐观评价.计量检验同时发现:投资者风险厌恶程度与正反馈交易强度负相关.正反馈交易具有显著的风险寻求偏好,因此,对股指期货的交易限制,虽然可以短期降低正反馈交易的风险联动,但无法改变正反馈交易的风险偏好.所以,相关的制度安排应重点关注市场效率的提升而非波动抑制.Based on the asymmetric generalized autoregressive conditional heteroscedasticity(GARCH)model and positive feedback trading model,the positive feedback trading in China’s A-share market is tested.The results show that positive feedback trading in the stock market reduces after the launch of stock index futures,whose cause lies not in the improvement of market information efficiency,but in the positive feedback trading migration from the stock spot market to its futures market,that is to say,stock index futures play a role mainly in the transference of positive feedback trading.This conclusion is different from the previous optimistic evaluations on China’s stock index futures.The results also show that investors’risk aversion has a negative correlation with the intensity of positive feedback trading,that is to say,positive feedback trading shows significant risk seeking preference.Although the strict constraints on stock index futures may reduce the coupling effects between the stock spot market and its futures market,it can’t change the risk seeking preference for positive feedback trading,so the relevant system arrangements should focus on the improvement of information efficiency instead of volatility suppression.

关 键 词：股指期货 股票市场 正反馈交易 信息效率 风险偏好 

分 类 号：F830.91[经济管理—金融学]