股指期货交易限制对债券信用利差的影响研究  

Research on the Effect of Stock Index Futures Constraint on Bonds’Credit Spread

作　　者：康书隆[1] 罗文博 KANG Shulong;LUO Wenbo

机构地区：[1]东北财经大学金融学院

出　　处：《中国证券期货》2022年第2期12-31,共20页Securities & Futures of China

摘　　要：各国监管层普遍会在股票巨幅波动时期推出股指期货交易限制政策,但是对于股票市场衍生品的交易限制是否会影响股票市场和债券市场,进而影响企业的融资成本,该问题仍有待研究。本文以2015年中金所对股指期货交易限制作为准自然实验,研究股指期货交易限制政策对股票现货市场和公司债券市场的影响。研究发现,股指期货交易限制提高了现货市场的波动性,降低了现货市场的流动性,并进一步提升了公司债券市场信用利差。进一步研究发现,股指期货交易限制导致现货市场流动性与波动性变化是影响公司债券利差的主要渠道,而期货—现货交易者退出市场是现货市场流动性与波动性变化的基本动因。本文从市场微观结构出发,为金融衍生品交易限制措施的后果提供有益启示,并为进一步理解衍生品市场与现货市场和公司债券市场的协同关系提供理论支持。Regulatory authorities in various countries generally introduce stock index futures trading restrictions during periods of huge stock fluctuations.However, whether the trading restrictions on derivatives in the stock market will affect the stock market and bond market, and thus affect the financing cost of enterprises, this issue remains to be studied.This paper takes the 2015 CFFEX restrictions on stock index futures trading as a quasi-natural experiment to study the impact of stock index futures trading restrictions on the stock spot market and corporate bond market.We found that the stock index futures trading restrictions increased the volatility of the spot market, reduced the liquidity of the spot market, and further increased the credit spread in the corporate bond market.Further research finds that the liquidity and volatility changes in the spot market caused by stock index futures trading restrictions are the main channels that affect corporate bond spreads, while the withdrawal of futures-spot traders from the market is the basic motivation for the changes in spot market liquidity and volatility.The research conclusions of this paper start from the market microstructure, provide useful inspiration for the consequences of financial derivatives trading restrictions, and provide theoretical support for further understanding the synergistic relationship between the derivatives market, the spot market and the corporate bond market.

关 键 词：股指期货 交易限制 股票市场 债券利差 双重差分 

分 类 号：F83[经济管理—金融学]