股指期货交易政策调整能否影响现货市场波动率  

Can the Adjustment of Stock Index Futures Trading Policy Affect the Volatility of Spot Market

作　　者：方先明[1] 冯翔宇 FANG Xianming;FENG Xiangyu(School of Business,Nanjing University,Nanjing Jiangsu,210093)

机构地区：[1]南京大学商学院

出　　处：《中国经济问题》2021年第4期188-200,共13页China Economic Studies

基　　金：江苏省高校哲学社会科学研究重大项目“错配视角下江苏金融支持经济增长研究”(批准号2020SJZDA049)资助。

摘　　要：论文构建ARMA(m, n)-GARCH(p, q)模型,基于2015年至2019年中国资本市场的交易数据,对股指期货交易政策调整影响现货市场波动率的情形进行分析。研究发现:(1)监管当局的股指期货交易政策调整意图能够传导至现货市场;(2)从传导机制来看,股指期货交易量对现货市场波动率有正向作用,但持仓量对现货波动率的影响不显著。由于三种股指期货对应的现货波动特征不同,应对不同品种的股指期货分类管控。本文还发现放松对股指期货交易的管控难以在短时间之内使股指期货市场的活跃程度和其对现货市场的影响力恢复至限制股指期货交易前的水平。Based on the trading data of China’s capital market from 2015 to 2019, this paper constructs ARMA(m, n)-GARCH(p, q) model to analyze how stock index futures trading policy adjustment affects spot market volatility. It finds that regulatory authorities’ intention of adjusting stock index futures trading policy can transmit to spot market;from the perspective of transmission mechanism, the trading volume of stock index futures has a positive effect on the volatility of the spot market, but the effect of position on spot volatility is not significant. Due to the different characteristics of spot market volatility of three kinds of stock index futures, regulators should manage different stock index futures distinctively. This paper also finds that the relaxation of the control of stock index futures trading is hard to restore the activity of the stock index futures market and its influence on the spot market to the level before restricting stock index futures trading in a short period.

关 键 词：股指期货 交易政策 现货市场 波动率 GARCH 

分 类 号：F832.5[经济管理—金融学]