股指期货的推出对股票市场效率的影响分析
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摘要
自第一只股指期货在堪萨斯城期货交易所上市以来,已近30年,目前股指期货从交易量上已快速发展成为世界最主要的衍生品种。随着我国经济的飞速发展,金融市场不断完善和创新,股指期货的推出已成必然。2006年9月16日,为了满足国外投资者的需求,新加坡率先推出了以我国股票为标的的股指期货,这对我国证券市场的主导权和定价权产生了重大的影响,为了维护国内证券市场的稳定,我国加快了推出股指期货的步伐,经过三年多的准备,2010年4月16日,沪深300股指期货合约正式在中国金融期货交易所挂牌交易。
在此背景下,究竟这两次股指期货的推出对我国股票市场的市场效率产生了怎样的影响,目前还存在哪些不足,如何更好地使股指期货发挥其应有的功能已经成为人们关注的焦点。
在借鉴以往学者研究的基础上,本文采用理论和实证结合的分析方法分别就两次股指期货推出对股票现货市场效率的影响做了比较研究,主要包括两个方面：(1)两次股指期货的推出对股票现货市场信息效率的影响,主要把GARCH模型同信息传导机制联系在一起,比较前后两次引进股指期货对我国现货股票市场的信息效率变化。(2)两次股指期货的推出对我国股票现货市场波动率的影响,主要运用修正的TARCH模型,引入控制变量以剔除全球宏观经济因素对我国现货市场波动率所造成的影响,同时也引入虚拟变量来反映股指期货上市前后市场价格波动的变化程度。
研究结果表明,在信息传递方面,新华富时A50股指期货并没有改善股票现货市场的信息传递速度和品质,相反,沪深300股指期货的推出降低了波动的持续性,加快了信息传递的速度,更有利于释放市场风险;在波动率方面,新华富时A50股指期货增加了股票现货市场的波动率,而国内沪深300股指期货的推出对股票现货市场产生了一定的积极作用,维稳了市场,有效对冲了股票现货市场风险。因此,无论从信息传递方面来看,还是从波动率变化方面来看,沪深300股指期货的推出相对较成功,发挥出了股指期货的应有功能。
通过两次股指期货推出对现货市场效率影响的分析,论文在最后提出了有关我国继续完善股指期货市场的政策建议。
It has been almost 30 years since the birth of the first stock index futures that listed in Kansas City Board of Trade. Since then, stock index futures develop rapidly, and become the world's leading derivatives at present. Along with the rapid development of Chinese economy and continuous improvement of financial markets, the introduction of stock index futures has become an inevitable trend. Singapore promoted the first stock futures with the Chinese stock for mark on September 16th, 2006, which made a significant impact on the dominance and pricing of Chinese stock market. In order to maintain the stability of domestic stock market, China speeded up the pace to promote stock-index futures.. After three years of preparation, HS 300 stock index futures contract was officially listed on Chinese financial futures exchange on April 16th,2010.
Under this background, what is the actual effect of the two times of stock index futures on the market efficiency of our stock market, where are the disadvantages, how the stock index future market will be played better has become the focus of our attention.
In reference on the basis of previous studies, this paper will combine theoretical and empirical analysis methods, compare and analyze the impact of two times of the stock index futures on the efficiency of Chinese stock market, mainly includes two aspects:(1)the impact on information efficiency of spot stock market, mainly link GARCH model with information transmission mechanism together, compare the information efficiency changes in our spot market from the introduction of two stock index futures. (2)the impact on the volatility of spot stock market, we use the modified TARCH model through the introduction of control variables in order to get rid of the influence of global macroeconomic factors on our stock market, also we introduce dummy variable so as to find out how the stock index futures influence the price volatility of stock spot market.
Study results show that, on information efficiency, FTSE Xinhua A50 stock index futures doesn't effectively improve the speed and quality of spot market information transmission. On the contrary, HS300 stock index futures reduce volatility persistence of spot market and speed up the information transmission speed, which is more advantageous to release market risk. On volatility, the introduction of FTSE Xinhua A50 stock index futures increase the stock market volatility, however, the introduction of HS 300 stock index futures play a certain advantageous role and stabilize the spot market, which hedge market risk effectively. Therefore, whether from the perspective of information transmission or the volatility changes, the introduction of HS 300 stock index futures obtain a relative accomplishment and play its due function successfully.
Through analyzing the market efficiency influence of the introduction of the two stock index futures, this article provides some policy suggestions about improving the stock index futures market in the end.
在此背景下,究竟这两次股指期货的推出对我国股票市场的市场效率产生了怎样的影响,目前还存在哪些不足,如何更好地使股指期货发挥其应有的功能已经成为人们关注的焦点。
在借鉴以往学者研究的基础上,本文采用理论和实证结合的分析方法分别就两次股指期货推出对股票现货市场效率的影响做了比较研究,主要包括两个方面：(1)两次股指期货的推出对股票现货市场信息效率的影响,主要把GARCH模型同信息传导机制联系在一起,比较前后两次引进股指期货对我国现货股票市场的信息效率变化。(2)两次股指期货的推出对我国股票现货市场波动率的影响,主要运用修正的TARCH模型,引入控制变量以剔除全球宏观经济因素对我国现货市场波动率所造成的影响,同时也引入虚拟变量来反映股指期货上市前后市场价格波动的变化程度。
研究结果表明,在信息传递方面,新华富时A50股指期货并没有改善股票现货市场的信息传递速度和品质,相反,沪深300股指期货的推出降低了波动的持续性,加快了信息传递的速度,更有利于释放市场风险;在波动率方面,新华富时A50股指期货增加了股票现货市场的波动率,而国内沪深300股指期货的推出对股票现货市场产生了一定的积极作用,维稳了市场,有效对冲了股票现货市场风险。因此,无论从信息传递方面来看,还是从波动率变化方面来看,沪深300股指期货的推出相对较成功,发挥出了股指期货的应有功能。
通过两次股指期货推出对现货市场效率影响的分析,论文在最后提出了有关我国继续完善股指期货市场的政策建议。
It has been almost 30 years since the birth of the first stock index futures that listed in Kansas City Board of Trade. Since then, stock index futures develop rapidly, and become the world's leading derivatives at present. Along with the rapid development of Chinese economy and continuous improvement of financial markets, the introduction of stock index futures has become an inevitable trend. Singapore promoted the first stock futures with the Chinese stock for mark on September 16th, 2006, which made a significant impact on the dominance and pricing of Chinese stock market. In order to maintain the stability of domestic stock market, China speeded up the pace to promote stock-index futures.. After three years of preparation, HS 300 stock index futures contract was officially listed on Chinese financial futures exchange on April 16th,2010.
Under this background, what is the actual effect of the two times of stock index futures on the market efficiency of our stock market, where are the disadvantages, how the stock index future market will be played better has become the focus of our attention.
In reference on the basis of previous studies, this paper will combine theoretical and empirical analysis methods, compare and analyze the impact of two times of the stock index futures on the efficiency of Chinese stock market, mainly includes two aspects:(1)the impact on information efficiency of spot stock market, mainly link GARCH model with information transmission mechanism together, compare the information efficiency changes in our spot market from the introduction of two stock index futures. (2)the impact on the volatility of spot stock market, we use the modified TARCH model through the introduction of control variables in order to get rid of the influence of global macroeconomic factors on our stock market, also we introduce dummy variable so as to find out how the stock index futures influence the price volatility of stock spot market.
Study results show that, on information efficiency, FTSE Xinhua A50 stock index futures doesn't effectively improve the speed and quality of spot market information transmission. On the contrary, HS300 stock index futures reduce volatility persistence of spot market and speed up the information transmission speed, which is more advantageous to release market risk. On volatility, the introduction of FTSE Xinhua A50 stock index futures increase the stock market volatility, however, the introduction of HS 300 stock index futures play a certain advantageous role and stabilize the spot market, which hedge market risk effectively. Therefore, whether from the perspective of information transmission or the volatility changes, the introduction of HS 300 stock index futures obtain a relative accomplishment and play its due function successfully.
Through analyzing the market efficiency influence of the introduction of the two stock index futures, this article provides some policy suggestions about improving the stock index futures market in the end.
引文
[1]高铁梅.计量经济分析方法与建模[M].清华大学出版社,2009.
[2]寒立岩、魏洁、段康瑞.股指期权对股指期货的促进作用：来自韩国的证据[J].国际金融研究,2010,(3)：74-75.
[3]李华、陈婧.股指期货推出对股票市场波动性的影响研究：来自日本的证据[J].金融与经济,2006,(2)：81-83.
[4]刘丹丹.股指期货的推出对股票现货市场影响的实证研究[D],华中科技大学硕士学位论文,2007.
[5]刘凤根、王晓芳.股指期货与股票市场波动性关系的实证研究[J].财贸研究2008,(3)：86-94.
[6]刘考场、李树丞、舒杨.股指期货对于市场波动性影响的分析——基于KOSP 1200和TA IEX股指期货的实证分析[J].河北大学学报,2008,(3)：121-125.
[7]孟祥兰.股指期货的推出对我国股票市场的影响[J].统计与决策,2009,(16)：P142-143.
[8]尚期.美国股指期货市场发展特点及其借鉴意义[J].中国金融,2006,(7)：68-69.
[9]史美景、邱长溶.股指期货对现货市场的信息传递效应分析[J].当代经济科学,2007,(7)：27-31.
[10]王芳.新华富时A50指数期货与A股市场之间的价格发现与波动溢出研究[D].天津大学硕士论文,2008.
[11]肖辉、吴冲锋.股指与股指期货日内互动关系研究[J].系统工程理论与实践,2004,(5)：15-21.
[12]邢天才、张阁.股指期货的推出对现货市场影响的实证研究[J].财经问题研究,2009,(7)：84-88.
[13]邢天才、张阁.中国股指期货对现货市场联动效应的实证研究—基于沪深300仿真指数期货数据的分析[J].财经问题研究,2010,(4)：48-53.
[14]严敏,巴曙松,吴博.我国股指期货市场的价格发现与波动溢出效应[J].系统工程,2009,(10)：32-38.
[15]谢磊、王业成.股指期货对股票现货市场波动性影响的实证研究[J].技术经济,2010,(3)：73-78.
[16]杨峰.海外股指期货市场比较研究[J].金融研究,2002,(7)：37-42.
[17]易丹辉.数据分析与Eviews应用[M].北京：中国人民大学出版社,2008,10.
[18]张丹、杨朝军.股指期货对现货市场波动性与信息定价效率的影响——来自印度的经验证据[J].上海交通大学学报,2009,(9)：1398-1402.
[19]张晓峒.EViews使用指南与案例[M].机械工业出版社,2007.
[20]Antoniou,A., and Holmes,p.,1995, " Futures trading,information and spot Price volatility:evidence of the FTSE 100 stock index futures contract using GARCH ", Journal of Banking & Finance,19(1), PP117-129.
[21]Antoniou, A., Koutmos, G& Percli, A.,2005, "Index futures and positive feedback trading:evidence from major stock exchanges", Journal of Empirical Finance,12(2), PP219-238.
[22]Ash Narayan Sah & Dr. G. Omkarnath,2006,"Derivatives trading and volatility A study of the Indian Stock Markets ", Indian Institute of Capital Markets 9th Capital Markets Conference Paper,PPl-15
[23]Becketti, S.& Roberts D.J.,1990,"Will increased regulation of stock index futures reduce stock market volatility? "Federal Reserve Bank of Kansas City Economic Review, PP33-46.
[24]Chan, Y.C.& Karolyi, G.A.,1991, "The Volatility of the Japanese stock market:evidence from 1977 to 1990 In Japanese Financial Market Research", ed. by W. Ziemba, W.Bailey & Y. Hamao, North-Holland, PP121-144.
[25]Chen,S.K., Jarrett,J.E.& Rhee,S.G.,1992, "The impact of futures trading on cash market volatility:evidence from the Tokyo Stock Exchange ", PA cap Research Centre, University of Rhode Island,3(2),PP92-105.
[26]Cohen, B.H,1999, "Derivatives, volatility and price discovery, International Finance",2(2), PP 167-202.
[27]Damodaran,A.,1990, " Index futures and stock market volatility, Review of Futures Markets",9(2), PP442-457.
[28]Galloway, T.M.& Miller, J.M.,1997, "Index futures trading and stock return volatility:evidence from the introduction of Mid Cap 400 index futures", Financial Review,32(3), PP845-866.
[29]Gauri mohan, Saurabh Kumar, Sriharsha Pappu,2003, Understanding volatility the case of the introduction of futures trading in the national stock exchange, Oxford University Press.
[30]Ghosh.A.,1993, "Cointegration and Error Correction Models:Inter-temporal Causality between Index and Futures Prices", The Journal of Futures Markets, PP 193-198.
[31]G.A. Karathanassis & V.I. Sogiakas,2006, Spillover effects of futures contracts initiation on the cash market:a comparative analysis, Athens University of Economics and Business Press
[32]Harris, L.,1989, " S&P500 cash stock price volatility, Journal of Finance ", 44(5), PP1155-1175.
[33]Hogson A. and Nicholls D.1991,The Impact of Index Futures Market on Australian Share Market Volatility", Journal of Business Finance and Accounting,18,PP267-280.
[34]Kan, A.C.N,1997, "The effect of index futures trading on volatility of HIS constituent stocks:a note", Pacific-Basin Finance Journal,5(1), PP105-114.
[35]Lee, S.B & Ohk, K.Y.,1992, "Stock Index Futures Listing and Structure Change in Time—Varying Volatility ", Journal of Futures Markets,1992, VOI, 12, No.5:PP 493-509.
[36]M.Kim,A.C. Szakmary & T.V. Schwarz.1999, "Trading Costs and Price Discovery across Stock Index Futures and Cash Markets ", The Journal of Futures Markets, PP475-498.
[37]Panayiotis Alexakis,2007, "On the effect of Index Futures trading on Stock Market Volatility ",International Research Journal of Finance and Economics, PP7-17.
[38]Pericli, A.& Koutmos, G.,1997 "Index futures and options and stock market volatility", Journal of Futures Markers,17(8), PP957-974.
[39]Rahman, S.,2001 "The introduction of derivatives on the Dow Jones Industrial Average and their impact on the volatility of component stocks", Journal of Futures Markets,21(7) PP633-653.
[40]Reyes,M.G.,1996, Index futures trading and stock price volatility:evidence from Denmark and France", Journal of Economics and Finance,20(3), PP 81-88.
[41]Santoni,GJ,1987,"Has programmed trading made stock prices more volatile?" Federal Reserve Bank of St.Lious Review, May.PP18-29.
[42]Sung C Bae, Taek Ho Kwon, Jong Won Park,2004, "Futures Trading, Spot Market Volatility, and Market Efficiency:The Case of the Korean Index Futures Markets".The journal of Futures Markets,24(12),PP1195-1228.
[43]Zhong M, Darrat A F, Otero R. "Price discovery and volatility spillovers in index futures markets:some evidence from Mexico". Journal of Banking & Finance,2004, (28),PP3037-3054.
[2]寒立岩、魏洁、段康瑞.股指期权对股指期货的促进作用：来自韩国的证据[J].国际金融研究,2010,(3)：74-75.
[3]李华、陈婧.股指期货推出对股票市场波动性的影响研究：来自日本的证据[J].金融与经济,2006,(2)：81-83.
[4]刘丹丹.股指期货的推出对股票现货市场影响的实证研究[D],华中科技大学硕士学位论文,2007.
[5]刘凤根、王晓芳.股指期货与股票市场波动性关系的实证研究[J].财贸研究2008,(3)：86-94.
[6]刘考场、李树丞、舒杨.股指期货对于市场波动性影响的分析——基于KOSP 1200和TA IEX股指期货的实证分析[J].河北大学学报,2008,(3)：121-125.
[7]孟祥兰.股指期货的推出对我国股票市场的影响[J].统计与决策,2009,(16)：P142-143.
[8]尚期.美国股指期货市场发展特点及其借鉴意义[J].中国金融,2006,(7)：68-69.
[9]史美景、邱长溶.股指期货对现货市场的信息传递效应分析[J].当代经济科学,2007,(7)：27-31.
[10]王芳.新华富时A50指数期货与A股市场之间的价格发现与波动溢出研究[D].天津大学硕士论文,2008.
[11]肖辉、吴冲锋.股指与股指期货日内互动关系研究[J].系统工程理论与实践,2004,(5)：15-21.
[12]邢天才、张阁.股指期货的推出对现货市场影响的实证研究[J].财经问题研究,2009,(7)：84-88.
[13]邢天才、张阁.中国股指期货对现货市场联动效应的实证研究—基于沪深300仿真指数期货数据的分析[J].财经问题研究,2010,(4)：48-53.
[14]严敏,巴曙松,吴博.我国股指期货市场的价格发现与波动溢出效应[J].系统工程,2009,(10)：32-38.
[15]谢磊、王业成.股指期货对股票现货市场波动性影响的实证研究[J].技术经济,2010,(3)：73-78.
[16]杨峰.海外股指期货市场比较研究[J].金融研究,2002,(7)：37-42.
[17]易丹辉.数据分析与Eviews应用[M].北京：中国人民大学出版社,2008,10.
[18]张丹、杨朝军.股指期货对现货市场波动性与信息定价效率的影响——来自印度的经验证据[J].上海交通大学学报,2009,(9)：1398-1402.
[19]张晓峒.EViews使用指南与案例[M].机械工业出版社,2007.
[20]Antoniou,A., and Holmes,p.,1995, " Futures trading,information and spot Price volatility:evidence of the FTSE 100 stock index futures contract using GARCH ", Journal of Banking & Finance,19(1), PP117-129.
[21]Antoniou, A., Koutmos, G& Percli, A.,2005, "Index futures and positive feedback trading:evidence from major stock exchanges", Journal of Empirical Finance,12(2), PP219-238.
[22]Ash Narayan Sah & Dr. G. Omkarnath,2006,"Derivatives trading and volatility A study of the Indian Stock Markets ", Indian Institute of Capital Markets 9th Capital Markets Conference Paper,PPl-15
[23]Becketti, S.& Roberts D.J.,1990,"Will increased regulation of stock index futures reduce stock market volatility? "Federal Reserve Bank of Kansas City Economic Review, PP33-46.
[24]Chan, Y.C.& Karolyi, G.A.,1991, "The Volatility of the Japanese stock market:evidence from 1977 to 1990 In Japanese Financial Market Research", ed. by W. Ziemba, W.Bailey & Y. Hamao, North-Holland, PP121-144.
[25]Chen,S.K., Jarrett,J.E.& Rhee,S.G.,1992, "The impact of futures trading on cash market volatility:evidence from the Tokyo Stock Exchange ", PA cap Research Centre, University of Rhode Island,3(2),PP92-105.
[26]Cohen, B.H,1999, "Derivatives, volatility and price discovery, International Finance",2(2), PP 167-202.
[27]Damodaran,A.,1990, " Index futures and stock market volatility, Review of Futures Markets",9(2), PP442-457.
[28]Galloway, T.M.& Miller, J.M.,1997, "Index futures trading and stock return volatility:evidence from the introduction of Mid Cap 400 index futures", Financial Review,32(3), PP845-866.
[29]Gauri mohan, Saurabh Kumar, Sriharsha Pappu,2003, Understanding volatility the case of the introduction of futures trading in the national stock exchange, Oxford University Press.
[30]Ghosh.A.,1993, "Cointegration and Error Correction Models:Inter-temporal Causality between Index and Futures Prices", The Journal of Futures Markets, PP 193-198.
[31]G.A. Karathanassis & V.I. Sogiakas,2006, Spillover effects of futures contracts initiation on the cash market:a comparative analysis, Athens University of Economics and Business Press
[32]Harris, L.,1989, " S&P500 cash stock price volatility, Journal of Finance ", 44(5), PP1155-1175.
[33]Hogson A. and Nicholls D.1991,The Impact of Index Futures Market on Australian Share Market Volatility", Journal of Business Finance and Accounting,18,PP267-280.
[34]Kan, A.C.N,1997, "The effect of index futures trading on volatility of HIS constituent stocks:a note", Pacific-Basin Finance Journal,5(1), PP105-114.
[35]Lee, S.B & Ohk, K.Y.,1992, "Stock Index Futures Listing and Structure Change in Time—Varying Volatility ", Journal of Futures Markets,1992, VOI, 12, No.5:PP 493-509.
[36]M.Kim,A.C. Szakmary & T.V. Schwarz.1999, "Trading Costs and Price Discovery across Stock Index Futures and Cash Markets ", The Journal of Futures Markets, PP475-498.
[37]Panayiotis Alexakis,2007, "On the effect of Index Futures trading on Stock Market Volatility ",International Research Journal of Finance and Economics, PP7-17.
[38]Pericli, A.& Koutmos, G.,1997 "Index futures and options and stock market volatility", Journal of Futures Markers,17(8), PP957-974.
[39]Rahman, S.,2001 "The introduction of derivatives on the Dow Jones Industrial Average and their impact on the volatility of component stocks", Journal of Futures Markets,21(7) PP633-653.
[40]Reyes,M.G.,1996, Index futures trading and stock price volatility:evidence from Denmark and France", Journal of Economics and Finance,20(3), PP 81-88.
[41]Santoni,GJ,1987,"Has programmed trading made stock prices more volatile?" Federal Reserve Bank of St.Lious Review, May.PP18-29.
[42]Sung C Bae, Taek Ho Kwon, Jong Won Park,2004, "Futures Trading, Spot Market Volatility, and Market Efficiency:The Case of the Korean Index Futures Markets".The journal of Futures Markets,24(12),PP1195-1228.
[43]Zhong M, Darrat A F, Otero R. "Price discovery and volatility spillovers in index futures markets:some evidence from Mexico". Journal of Banking & Finance,2004, (28),PP3037-3054.
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