股指期货推出对我国现货市场影响的实证研究
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摘要
股票价格指数期货,简称股指期货,是以股票价格指数为标的的一种期货合约,合约的交易双方约定在规定的时刻,按约定的价格买卖规定数量的股票指数。股指期货是金融期货的一种,一般采用现金交割的方式,是一种金融衍生产品。股指期货推出的初衷是为了规避股票市场的系统性风险,除了规避风险外,一般认为股指期货还有价格发现、抑制波动、活跃市场的作用。
本文的研究对象是沪深300股指期货指数与沪深300现货指数,2010年4月16日,我国正式推出了沪深300股指期货合约,它的推出对于我国证券市场的不断发展与完善具有重要的意义。然而到目前为止,股指期货的推出还不到一年的时间,市场还处于刚刚起步阶段,相关法律法规还不完善,相关理论研究还不成熟,市场参与者对其了解也还不深入,因此在现阶段对股指期货的推出对现货市场影响进行研究具有重要的理论意义与现实意义。
本文从沪深300股指期货推出对现货市场波动性的影响以及沪深300股指期货市场与现货市场价格相关性分析两方面来研究股指期货的推出对现货市场的影响。对于波动性的研究部分,本文通过引入虚拟变量M,运用GARCH模型来对沪深300股指期货推出前后我国A股市场波动性的变化进行了实证分析,其中,M=1表示股指期货引入后。研究发现,股指期货的推出并没有使得现货市场的波动性发生明显变化。对于价格相关性研究部分,本文根据股指期货退出后我国A股市场的变化趋势,将股市的变化分为下降、上升以及震荡调整三个阶段,并对每个阶段采用“平稳性检验——格兰杰因果检验——协整检验——建立误差修正模型”的模式分别进行了实证分析,研究结果表明,在股市下降阶段沪深300期货指数与现货指数既存在短期价格均衡关系有存在长期价格均衡关系,而在股市上升阶段与震荡调整阶段,期货指数与现货指数既不存在短期均衡关系又不存在长期均衡关系。
Stock index future is an agreement between two parties to buy or sell a stock index at a certain time in the future at a certain price. Stock index future is a kind of financial futures which are settled by cashes, and is often used to set off the system risk of the stock market. What's more, price discovery, reducing volatility, and increasing trading are also considered as the stock index future's function.
The objective of the paper is the Shanghai and Shenzhen 300 Index and the Shanghai and Shenzhen 300 stock index futures stock index. April 16,2010, China launched the Shanghai and Shenzhen 300 stock index futures contracts, the introduction of stock index future has important significance for our stock market for its continuous development and improvement. So far, however, the introduction of stock index futures is less than a year's time, the market is still in its infancy stage, the relevant laws and regulations are not perfect, the relevant theory is not mature, and the market participants can not understand the stock index futures very well. So at this stage, it has important theoretical and practical significance to study the effect on the stock market of the introduction of stock index futures.
This paper studies the problem of the spot market volatility after the introduction of stock index futures and price-related issues between future market and spot market. For the component of volatility, by introducing a dummy variable M, using GARCH model research the volatility change of the spot market. Study found that the introduction of stock index futures did not make the stock market volatility change significantly. For the component of price correlation, basing on the stock index change, the A-share market will be divided into downward phase, rising phase and adjustment phase. For each stage, we study the price correlation using a model as'Stability test-Granger Causality Test-Co-integration-Error correction model'. Study found that on downward phase, between the future market and the spot market, there are short-term equilibrium relationship and long-term price equilibrium relationship. However, on rising phase and adjustment phase, there are not short-term equilibrium relationship and long-term price equilibrium relationship between the future market and the spot market.
本文的研究对象是沪深300股指期货指数与沪深300现货指数,2010年4月16日,我国正式推出了沪深300股指期货合约,它的推出对于我国证券市场的不断发展与完善具有重要的意义。然而到目前为止,股指期货的推出还不到一年的时间,市场还处于刚刚起步阶段,相关法律法规还不完善,相关理论研究还不成熟,市场参与者对其了解也还不深入,因此在现阶段对股指期货的推出对现货市场影响进行研究具有重要的理论意义与现实意义。
本文从沪深300股指期货推出对现货市场波动性的影响以及沪深300股指期货市场与现货市场价格相关性分析两方面来研究股指期货的推出对现货市场的影响。对于波动性的研究部分,本文通过引入虚拟变量M,运用GARCH模型来对沪深300股指期货推出前后我国A股市场波动性的变化进行了实证分析,其中,M=1表示股指期货引入后。研究发现,股指期货的推出并没有使得现货市场的波动性发生明显变化。对于价格相关性研究部分,本文根据股指期货退出后我国A股市场的变化趋势,将股市的变化分为下降、上升以及震荡调整三个阶段,并对每个阶段采用“平稳性检验——格兰杰因果检验——协整检验——建立误差修正模型”的模式分别进行了实证分析,研究结果表明,在股市下降阶段沪深300期货指数与现货指数既存在短期价格均衡关系有存在长期价格均衡关系,而在股市上升阶段与震荡调整阶段,期货指数与现货指数既不存在短期均衡关系又不存在长期均衡关系。
Stock index future is an agreement between two parties to buy or sell a stock index at a certain time in the future at a certain price. Stock index future is a kind of financial futures which are settled by cashes, and is often used to set off the system risk of the stock market. What's more, price discovery, reducing volatility, and increasing trading are also considered as the stock index future's function.
The objective of the paper is the Shanghai and Shenzhen 300 Index and the Shanghai and Shenzhen 300 stock index futures stock index. April 16,2010, China launched the Shanghai and Shenzhen 300 stock index futures contracts, the introduction of stock index future has important significance for our stock market for its continuous development and improvement. So far, however, the introduction of stock index futures is less than a year's time, the market is still in its infancy stage, the relevant laws and regulations are not perfect, the relevant theory is not mature, and the market participants can not understand the stock index futures very well. So at this stage, it has important theoretical and practical significance to study the effect on the stock market of the introduction of stock index futures.
This paper studies the problem of the spot market volatility after the introduction of stock index futures and price-related issues between future market and spot market. For the component of volatility, by introducing a dummy variable M, using GARCH model research the volatility change of the spot market. Study found that the introduction of stock index futures did not make the stock market volatility change significantly. For the component of price correlation, basing on the stock index change, the A-share market will be divided into downward phase, rising phase and adjustment phase. For each stage, we study the price correlation using a model as'Stability test-Granger Causality Test-Co-integration-Error correction model'. Study found that on downward phase, between the future market and the spot market, there are short-term equilibrium relationship and long-term price equilibrium relationship. However, on rising phase and adjustment phase, there are not short-term equilibrium relationship and long-term price equilibrium relationship between the future market and the spot market.
引文
1 Chan, K, Chan, K. C, Karolyi, G. A, Intraday Volatility in the Stock Index and Stock Index Futures Markets [J], Review of Financial Studies,1991, vol.4, no.4,57-684.
2 徐旭初.股指期货的国际比较研究——模型 实证及中国课题[博士论文].上海：复旦大学世界经济学,2003.
3 Harris, L.S&P 500 Cash Stock Price Volatilities[J].Journal of Finance,1989,Vol.44, No.5:1155-1175.
4 Antoniou, A. and P.Holmes, Futures Trading and Spot price volatility: Evidence for FTSE-100 Stock Index Futures Contract using GARCH [J],1995, Journal of Banking & Finance,19, No.1, PP.117-129
5 李强.股指期货对股票市场影响的研究综述[J].武汉金融,2007(4).
6 Kawaller, Ira G., Koch, Paul D. and Koch, Timothy W., The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index[J], The Journal of Finance,1987, Vol.42, No.5. 7 Stoll, Hans R, and Robert E. Whalley, The dynamics of stock index and stock index futures returns [J]. Journal of Financial and Quantitative Analysis,1990, Vol.25,441-468.
8 Kawaller, K. L, Miller, T. W.. The Temporal Price Relationship between S&P500Futures and S&P500 Index [J].Journal of Finance,1987, Vol.42, No.4:1309-1329
9 康孝敏,王春红.关于股指期货的认识热[J].内蒙古科技与经济,2008(23).
10 康孝敏,王春红.关于股指期货的认识热[J].内蒙古科技与经济,2008(23).
11 王竖.股指期货对现货市场波动性影响的实证研究：来自新华富时中国A50指数期货的证据[硕士学位论文].成都,西南财经大学.2008.
12 邢恩泉,任岚.股指期货概述[J].财务与会计,2010(6).
13 邢恩泉,任岚.股指期货概述[J].财务与会计,2010(6).
[1]Antoniou, A. and P. Holmes, Futures Trading and Spot price volatility:Evidence for FTSE-100 Stock Index Futures Contract using GARCH [J],1995, Journal of Banking &Finance,19, No.1, PP.117-129
[2]Chan, K, Chan, K. C, Karolyi, G.A, Intraday Volatility in the Stock Index and Stock Index Futures Markets [J], Review of Financial Studies,1991,vol.4, no.4,57-684.
[3]Edwards, F. R. Does futures trading increase stock market volatility[J], Financial Analysts Journal,1988, vol.44, no.1, p63-69.
[4]Harris, L. S&P 500 Cash Stock Price Volatilities[J]. Journal of Finance,1989,Vol.44, No.5:1155-1175.
[5]Kawaller, K. L, Miller, T. W.. The Temporal Price Relationship between S&P500Futures and S&P500 Index [J]. Journal of Finance,1987,Vol.42, No.4:1309-1329.
[6]Kawaller, Ira G., Koch, Paul D. and Koch, Timothy W., The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index[J],The Journal of Finance,1987, Vol.42, No.5.
[7]Lee, S. B., and Ohk, K.Y.:Stock Index Futures Listing and Structure Change in Time-Varying Volatility, [J], Journal of Futures Markets,1992,Vol,12, No.5:493-509.
[8]Pericli, A. and Koutmos, G., Index Futures and Options and Stock Market Volatility, Journal of Futures Markets19,1997, p47-63.
[9]Robinson. G, The effect of future trading on cash market volatility:evidence from London stock exchange, Working Paper, Bank of England,1993.
[10]Stoll, Hans R, and Robert E. Whalley, The dynamics of stock index and stock index futures returns [J], Journal of Financial and Quantitative Analysis,1990, Vol.25,441-468.
[11]张晓峒Eviews使用指南与案例[M].北京：机械工业出版社,2007.
[12]张晓峒.计量经济分析[M].天津：南开大学出版社,2005.
[13]徐旭初.股指期货的国际比较研究——模型实证及中国课题[博士论文].上海：复旦大学世界经济学,2003.
[14]李强.股指期货对股票市场影响的研究综述[J].武汉金融,2007(4).
[15]廖崇豪.期货与现货价格之关联性分析与研究-以芝加哥玉米及股价指数期货市场为例[硕士论文]. 台湾：台湾中兴大学经济学研究所,1994.
[16]熊熊,王芳,张维,孙雅婧.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[J].管理学报,2009(11).
[17]魏文生.浅析股指期货对我国股票市场的影响及对策[J].经济研究导刊,2010(17).
[18]康孝敏,王春红.关于股指期货的认识热[J].内蒙古科技与经济,2008(23).
[19]张慧.股指期货的推出对股票市场质量的影响研究[硕士论文].天津：天津大学,2009.
[20]王成.股指期货与现货相关性研究——基于我国A股市场的实证[硕士论文].北京：中国人民大学,2008
[21]王竖.股指期货对现货市场波动性影响的实证研究：来自新华富时中国A50指数期货的证据[硕士学位论文].成都,西南财经大学.2008
[22]彭紫云.中国股指期货与沪深300指数关系的实证研究[J].中国商界,2010(6).
[23]任远.股指期货与现货指数领先滞后关系——基于沪深300指数期货合约与沪深300指数的实证研究[J].中国证券期货,2010(7).
[24]向赟,李慧,梁琳.基于GARCH模型分析股指期货推出对股指波动率的影响[J].商场现代化,2010(4).
[25]李华,程婧.股指期货推出对股票波动性的影响研究——来自日本的实证分析[J].金融与经济,2006(2).
[26]邢恩泉,任岚.股指期货概述[J].财务与会计,2010(6).
[27]华泰证券研究所.股指期货简介[J].财会通讯,2010(6).
[28]蔡向辉,杨嘉文.股指期货如何影响股市稳定性?——对全球主要市场的三角度实证研究[J].财贸研究,2010(3).
[29]高雅.股指期货对股票市场影响的实证研究——以日本及台湾的市场为中心[硕士论文].上海：华东师范大学,2008.
[30]蔡向辉.股指期货影响股市波动的机制解析及实证检验[博士论文].上海：复旦大学,2010.
[31]张建军.新华富时中国A50股指期货对中国证券市场的影响[硕士论文].济南：山东大学,2008.
[32]蔡向辉.股指期货与现货市场的关系研究[J].海南金融,2009(7).
[33]贾亚童.股指期货引入对现货市场影响的研究[硕士论文].济南：山东大学,2010.
[34]王振东.股指期货推出对股市波动性影响探究——基于中国台湾和印度市场的实证研究[硕士论文].北京：中央财经大学,2008.
[35]张宗成,李少华.沪深300股指期货市场与现货市场联动性及引导关系实证分析[J].中国证券期货,2010(5).
2 徐旭初.股指期货的国际比较研究——模型 实证及中国课题[博士论文].上海：复旦大学世界经济学,2003.
3 Harris, L.S&P 500 Cash Stock Price Volatilities[J].Journal of Finance,1989,Vol.44, No.5:1155-1175.
4 Antoniou, A. and P.Holmes, Futures Trading and Spot price volatility: Evidence for FTSE-100 Stock Index Futures Contract using GARCH [J],1995, Journal of Banking & Finance,19, No.1, PP.117-129
5 李强.股指期货对股票市场影响的研究综述[J].武汉金融,2007(4).
6 Kawaller, Ira G., Koch, Paul D. and Koch, Timothy W., The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index[J], The Journal of Finance,1987, Vol.42, No.5. 7 Stoll, Hans R, and Robert E. Whalley, The dynamics of stock index and stock index futures returns [J]. Journal of Financial and Quantitative Analysis,1990, Vol.25,441-468.
8 Kawaller, K. L, Miller, T. W.. The Temporal Price Relationship between S&P500Futures and S&P500 Index [J].Journal of Finance,1987, Vol.42, No.4:1309-1329
9 康孝敏,王春红.关于股指期货的认识热[J].内蒙古科技与经济,2008(23).
10 康孝敏,王春红.关于股指期货的认识热[J].内蒙古科技与经济,2008(23).
11 王竖.股指期货对现货市场波动性影响的实证研究：来自新华富时中国A50指数期货的证据[硕士学位论文].成都,西南财经大学.2008.
12 邢恩泉,任岚.股指期货概述[J].财务与会计,2010(6).
13 邢恩泉,任岚.股指期货概述[J].财务与会计,2010(6).
[1]Antoniou, A. and P. Holmes, Futures Trading and Spot price volatility:Evidence for FTSE-100 Stock Index Futures Contract using GARCH [J],1995, Journal of Banking &Finance,19, No.1, PP.117-129
[2]Chan, K, Chan, K. C, Karolyi, G.A, Intraday Volatility in the Stock Index and Stock Index Futures Markets [J], Review of Financial Studies,1991,vol.4, no.4,57-684.
[3]Edwards, F. R. Does futures trading increase stock market volatility[J], Financial Analysts Journal,1988, vol.44, no.1, p63-69.
[4]Harris, L. S&P 500 Cash Stock Price Volatilities[J]. Journal of Finance,1989,Vol.44, No.5:1155-1175.
[5]Kawaller, K. L, Miller, T. W.. The Temporal Price Relationship between S&P500Futures and S&P500 Index [J]. Journal of Finance,1987,Vol.42, No.4:1309-1329.
[6]Kawaller, Ira G., Koch, Paul D. and Koch, Timothy W., The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index[J],The Journal of Finance,1987, Vol.42, No.5.
[7]Lee, S. B., and Ohk, K.Y.:Stock Index Futures Listing and Structure Change in Time-Varying Volatility, [J], Journal of Futures Markets,1992,Vol,12, No.5:493-509.
[8]Pericli, A. and Koutmos, G., Index Futures and Options and Stock Market Volatility, Journal of Futures Markets19,1997, p47-63.
[9]Robinson. G, The effect of future trading on cash market volatility:evidence from London stock exchange, Working Paper, Bank of England,1993.
[10]Stoll, Hans R, and Robert E. Whalley, The dynamics of stock index and stock index futures returns [J], Journal of Financial and Quantitative Analysis,1990, Vol.25,441-468.
[11]张晓峒Eviews使用指南与案例[M].北京：机械工业出版社,2007.
[12]张晓峒.计量经济分析[M].天津：南开大学出版社,2005.
[13]徐旭初.股指期货的国际比较研究——模型实证及中国课题[博士论文].上海：复旦大学世界经济学,2003.
[14]李强.股指期货对股票市场影响的研究综述[J].武汉金融,2007(4).
[15]廖崇豪.期货与现货价格之关联性分析与研究-以芝加哥玉米及股价指数期货市场为例[硕士论文]. 台湾：台湾中兴大学经济学研究所,1994.
[16]熊熊,王芳,张维,孙雅婧.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[J].管理学报,2009(11).
[17]魏文生.浅析股指期货对我国股票市场的影响及对策[J].经济研究导刊,2010(17).
[18]康孝敏,王春红.关于股指期货的认识热[J].内蒙古科技与经济,2008(23).
[19]张慧.股指期货的推出对股票市场质量的影响研究[硕士论文].天津：天津大学,2009.
[20]王成.股指期货与现货相关性研究——基于我国A股市场的实证[硕士论文].北京：中国人民大学,2008
[21]王竖.股指期货对现货市场波动性影响的实证研究：来自新华富时中国A50指数期货的证据[硕士学位论文].成都,西南财经大学.2008
[22]彭紫云.中国股指期货与沪深300指数关系的实证研究[J].中国商界,2010(6).
[23]任远.股指期货与现货指数领先滞后关系——基于沪深300指数期货合约与沪深300指数的实证研究[J].中国证券期货,2010(7).
[24]向赟,李慧,梁琳.基于GARCH模型分析股指期货推出对股指波动率的影响[J].商场现代化,2010(4).
[25]李华,程婧.股指期货推出对股票波动性的影响研究——来自日本的实证分析[J].金融与经济,2006(2).
[26]邢恩泉,任岚.股指期货概述[J].财务与会计,2010(6).
[27]华泰证券研究所.股指期货简介[J].财会通讯,2010(6).
[28]蔡向辉,杨嘉文.股指期货如何影响股市稳定性?——对全球主要市场的三角度实证研究[J].财贸研究,2010(3).
[29]高雅.股指期货对股票市场影响的实证研究——以日本及台湾的市场为中心[硕士论文].上海：华东师范大学,2008.
[30]蔡向辉.股指期货影响股市波动的机制解析及实证检验[博士论文].上海：复旦大学,2010.
[31]张建军.新华富时中国A50股指期货对中国证券市场的影响[硕士论文].济南：山东大学,2008.
[32]蔡向辉.股指期货与现货市场的关系研究[J].海南金融,2009(7).
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