机构投资者博彩偏好与股指期货价格发现--基于沪深300股指期货的研究  

Research on Gambling Preference of Institutional Investors and Price Discovery of Stock Index Futures--Based on CSI 300 stock index futures

作　　者：王力[1] 刘莉[1] 高志[1] WANG Li;LIU Li;GAO Zhi(School of finance,Anhui University of Finance and economics,Bengbu,233030,China)

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233030

出　　处：《兰州财经大学学报》2022年第3期55-64,共10页Journal of Lanzhou University of Finance and Economics

摘　　要：中国证券市场的投机氛围浓厚,个体投资者的博彩偏好强烈是市场价格泡沫产生的源泉,而机构投资者的博彩偏好则是泡沫生成和膨胀的加速器,其利用个体投资者的博彩心理进行泡沫骑乘并获利。通过检验机构投资者的博彩偏好对沪深300股指期货市场价格发现功能的影响,发现机构投资者的博彩偏好对股指期货市场价格发现功能存在显著的负面影响,并且股指期货市场交易限制的实施使得这种负面影响进一步加剧。因此,要想从源头上管控投资者的博彩行为,维护市场正常定价机制,不仅要加强对个体投资者盲目投机行为的限制与纠正,同时也要强力规范机构投资者的行为。China's securities market is highly speculative.The strong gambling preference of retail in⁃vestors is the source of the market price bubble while the gambling preference of institutional investors is the accelerator of the formation and expansion of bubbles,which makes use of the gambling mentality of retail investors to ride the bubble and make profits.This paper examines the impact of institutional inves⁃tors'gambling preference on the price discovery function of the Shanghai and Shenzhen 300 stock index futures market.It is found that the gambling preference of institutional investors has a significant nega⁃tive impact on the price discovery function of the stock index futures market,and a restriction on the trading of the stock index futures market aggravates this negative influence.Therefore,to contain the gambling behavior of investors in the first place and maintain the normal pricing mechanism of the mar⁃ket,it is not only necessary to strengthen the restrictions on the speculative behavior of individual inves⁃tors,but also to forcefully regulate the behavior of institutional investors.

关 键 词：机构投资者 博彩偏好 股指期货 价格发现 

分 类 号：F832.51[经济管理—金融学]