股指期货“松绑”政策提高了股票市场定价效率吗?  

Does the“Loose”Policy of Stock Index Futures Improve the Pricing Efficiency of the Stock Market?

作　　者：杨林[1] 杨雅如 Yang Lin;Yang Yaru(School of Economics,Hunan Agricultural University,Changsha 410128;Bank of Ningbo Yongying Financial Leasing Co.,LTD.,Ningbo 315000)

机构地区：[1]湖南农业大学经济学院,长沙410128 [2]宁波银行永赢金融租赁有限公司,宁波315000

出　　处：《管理评论》2022年第4期52-61,共10页Management Review

基　　金：湖南省自然科学基金项目(2019JJ40129)。

摘　　要：基于2016年1月—2019年3月中国A股市场数据,综合采用DID及多期DID法,通过整体政策效应、阶段政策效应检验及月度政策效应检验,比较分析了股指期货“松绑”政策对股票市场定价效率短期及长期影响。结果表明,由于后期正向影响持续时间显著短于前期负面影响时期,股指期货“松绑”政策对股票市场定价效率整体样本区间内呈现负面影响,但“先抑后扬”并呈现渐进式改善的趋势。Based on the data of China’s A-share market from January 2016 to March 2019,this paper makes a combined use of DID and multi-period DID methods to comparatively analyze,by testing the effect of overall,perioidc and monthly policies,the short-term and long-term pricing efficiency of stock market under the“deregulating”policy of stock index futures.The results show that,since the duration of the positive impact in the later period is significantly shorter than the negative impact in the earlier period,the“deregulating”policy of stock index futures presents a negative impact on the pricing efficiency of stock market in the overall sample interval,but as time goes by,the impact turns gradually from negative to possitive until the pricing efficiency keeps stably upward.

关 键 词：股指期货 股市危机 “松绑”政策 定价效率 

分 类 号：F832.5[经济管理—金融学]