股指期货的流动性替代作用研究——基于跨期现个人交易者问卷调查  

Research on the Liquidity Substitution Effect of Stock Index Futures:Based on Survey Data from Retail Investors Across the Spot and Futures Markets

作　　者：武佳薇 冯如雪 李东平 Wu Jiawei;Feng Ruxue;Li Dongping

机构地区：[1]中证金融研究院,北京100033

出　　处：《证券市场导报》2025年第2期47-57,共11页Securities Market Herald

基　　金：国家自然科学基金项目“注册制下资本市场法律监管制度建设的效果评估及优化策略研究”(批准号:72373021);国家自然科学基金项目“价值溢价的成因与消失之谜:理论与实证”(项目编号:72261031)

摘　　要：期货与衍生品发挥着发现价格、管理风险和配置资源的重要作用。受限于数据可得性,从交易者行为微观视角分析股指期货功能的研究仍较为缺乏。本文利用独特的跨期现市场个人交易者问卷数据,分析市场下行时股指期货对交易者股票交易行为、组合收益的影响。研究发现,市场大幅下跌时,跨期现交易者的空头交易有所增加,其对股指期货套期保值的使用减少了股票现货的卖出,部分分流了股市抛压,一定程度上起到了流动性替代作用。同时,股指期货对套期保值交易者的投资组合整体收益有一定增强作用。建议稳步发展股指类衍生工具,加强投资者引导和教育。本研究为深入理解跨期现交易者行为、更好发挥股指期货市场功能提供了理论依据和实践参考。Futures and derivatives play a crucial role in price discovery,risk management,and resource allocation.Due to limitations in data availability,studies on the functional role of stock index futures from a micro-behavioral perspective remain relatively scarce.This paper utilizes unique survey data from retail investors across the spot and futures markets to analyze the impact of stock index futures on investors’stock trading behavior and portfolio performance during market downturns.The study finds that during significant market downturns,short-selling activity by cross-market investors increases and their use of stock index futures for hedging reduces stock sell-offs in the spot market,partially diverting the selling pressure in the stock market and playing a certain role in liquidity substitution.Meanwhile,using stock index futures for hedging enhances investors’overall investment portfolio returns.The paper suggests to prudently develop stock index derivatives and strengthen investor guidance and education.This research provides theoretical insights and practical references for better understanding the behavior of cross-market investors and optimizing the functionality of the stock index futures market.

关 键 词：期货市场 投资者行为 股指期货 跨期现交易 

分 类 号：F830.91[经济管理—金融学]