关于中国股指期货的相关问题研究
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摘要
股指期货是以股票价格指数为标的物的金融期货合约，虽然推出时间相对较晚，但一经推出就获得了快速的发展，具有广泛的应用范围和巨大的影响力，目前，其交易规模和交易品种已经远远领先于其他的衍生金融产品，成为国际金融市场上最活跃的金融期货品种。
近年来，为了不断发展与完善证券市场结构，规避系统性的市场风险，中国实务界和学术界针对是否应该推出股指期货、股指期货推出的必要性和可行性、股指期货上市交易对现货市场的影响等方面展开了大量的探索和研究。20年磨一剑，沪深300股指期货合约终于在2010年4月16日正式上市交易。本文以沪深300指数期货为研究对象，在梳理以往研究成果的基础上，采用理论分析与实证研究相结合，以实证研究为主的方法。从股指期货对现货市场的波动性的影响、股指期货与现货指数的领先滞后关系、股指期货的价格发现机制以及股指期货的到期日效应等四个角度，对股指期货进行系统分析，以期能为监管当局和广大投资者提供有意义的参考依据。
本文第一部分主要介绍了股指期货产生的背景和发展历程，并对股指期货的特点和功能进行简要介绍。第二部分主要从股指期货对现货市场的波动性的影响、股指期货与现货指数的领先滞后关系、股指期货的价格发现机制以及股指期货的到期日效应这四个角度进行相关的文献综述。第三部分主要对上述四个方面的实证检验结果进行分析，共分为4个章节。第四部分主要根据前文的研究结果，为完善资本市场、充分发挥股指期货的作用，笔者提出了一些有针对性的政策建议，以期能为监管者和投资者提供有益的借鉴。
通过本论文的实证分析，笔者发现如下主要结论：
1．股指期货推出对个股收益产生了信息冲击，在股指期货推出前后，成份股产生了负的累积超额收益；股指期货推出前后，成份股股价波动性增强；短期来看，股指期货增加了成份股指数的系统性风险，降低了非成份股指数的系统性风险，长期来看，股指期货显著提高了对两种指数的系统性风险，并没有对现货市场产生应有的稳定作用。
2．股指期货报价和沪深300现货指数之间存在着长期稳定的协整关系；股指期货推出一年以来，股指期货指数报价对沪深300现货指数一直保持具有较好的领先效应，领先期数大多为一分钟左右，且领先期数逐步趋于稳定。在股指期货刚推出来的一个月中，我们发现了大量沪深300现货指数滞后于股指期货报价的两期及以上，说明股指期货刚推出的时候指数报价较为不稳定，套利机会较多。而随着时间的推移股指期货的领先性逐步趋于稳定；股指期货推出后的一年中，股指期货报价对沪深300现货指数的领先效果越来越强，相关系数从刚推出时的0.3左右上升到一年以后的0.5以上，这说明股指期货推出后一年，随着时间的推移股指期货对沪深300的领先效果越来越强。
3．股指期货和股指现货具有长期稳定的均衡关系，股指期货对现货市场的价格发现功能良好，但是股指现货市场仍然是价格发现的主要贡献者，这大概与我国仍然是新兴市场有关，新兴市场不发达、监管体系不完善，对投资者及交易者的吸引力有限。
4．中国的资本市场存在股指期货的到期日效应。
Stock index futures is a futures contract on the value of a particular stock marketindex. Although it is relatively new, stock index futures has achieved a fast growthonce it was launched, and has a wide range of applications as well as a powerfulinfluence. At present, stock index futures has surpassed other derivative products byfar in transaction volume and variety, becoming the most active financial futures inthe international futures market.
In recent years, in order to improve and complete security market structure, andto avoid systematic risk in market, Chinese practice circle and academic circle havelaunched a series of explorations and researches into whether bring out stock indexfutures, the significance and feasibility of stock index futures, the influence that thetrading of stock index futures would have on spot market, etc. After two decades’preparation, the CSI300stock index futures contracts finally traded on April16,2010.This essay, based on the conclusion of past researches, sets CSI300stock indexfutures as the object of study, combines the theoretical analysis with empirical studies,and puts the emphasis on empirical studies. The systematic analysis on stock indexfutures is from four perspectives: the fluctuating influence on spot market from stockindex futures, the lead-lag relationship between stock index future and spot index, theprice discovery mechanism of stock index futures, and the expiration effect of stockindex futures, hoping to provide assistance for regulators and investors.The first part of this essay contains the introduction of the background, and history ofstock index futures, and a brief description of its features and functions. The secondpart mainly provides a relevant literature review from four perspectives: the impact ofstock index futures on the fluctuation of spot market; the lead-lag relationshipbetween stock index futures and spot market index; the price discovery mechanism ofstock index futures; the expiration effect of stock index futures. The third part isdivided into four chapters and provides the analysis of the empirical test results of thefour perspectives above. The fourth part is according to the earlier findings, in orderto improve the capital market and give full play to the role of stock index futures, this essay proposes some corresponding policy suggestions in section four, hoping toprovide assistance for regulators and investors.
The empirical analysis indicates that:
1. The introduction of stock index futures had information impact on singlestock return. Around the introduction of stock index futures, component stock gainednegative CAR; before and after the introduction of stock index futures, the volatilityof component stocks prices rose; in the short term, stock index futures increased thesystematic risk of component stock index, and reduced the systematic risk ofnon-component stock index. In the long-run, stock index futures has significantlyincreased the systemic risk of both indexes, and didn’t produce the stabilizing effect itshould have on the spot market.
2. There is long-term and stable co-integration relationship between stock indexfutures and the CSI300Index; since its introduction in last year, the stock indexfuture has had a good leading effect on the CSI300Index. Most of the leadingindicators lead approximate a minute, and gradually become stabilized. In the firstmonth after stock index futures was launched, we found that most CSI300index lagbehind stock index futures for more than two periods, indicating that index was moreinstable when stock index futures started, and that there are quite a few arbitragechances. But as time went on, the stock index futures’ leading character graduallystabilized; the leading effect get stronger in the year after the introduction of stockindex futures; the correlation coefficient rose from about0.3at the beginning to over0.5in a year, suggesting that over time the leading effect became stronger one yearafter the introduction of stock index futures.
3. There is a long-term stable equilibrium relationship between stock indexfutures and spot index. Spot index market is still the major contributor of pricediscovery whilst the price discovery function of stock index futures is good, butcannot contribute that much. Probably because China still has an emerging capitalmarket, which is underdeveloped, lack of a thorough regulatory system, and haslimited appeal to investors and traders.
4. China’s capital market has expiration effect of stock index futures.
近年来，为了不断发展与完善证券市场结构，规避系统性的市场风险，中国实务界和学术界针对是否应该推出股指期货、股指期货推出的必要性和可行性、股指期货上市交易对现货市场的影响等方面展开了大量的探索和研究。20年磨一剑，沪深300股指期货合约终于在2010年4月16日正式上市交易。本文以沪深300指数期货为研究对象，在梳理以往研究成果的基础上，采用理论分析与实证研究相结合，以实证研究为主的方法。从股指期货对现货市场的波动性的影响、股指期货与现货指数的领先滞后关系、股指期货的价格发现机制以及股指期货的到期日效应等四个角度，对股指期货进行系统分析，以期能为监管当局和广大投资者提供有意义的参考依据。
本文第一部分主要介绍了股指期货产生的背景和发展历程，并对股指期货的特点和功能进行简要介绍。第二部分主要从股指期货对现货市场的波动性的影响、股指期货与现货指数的领先滞后关系、股指期货的价格发现机制以及股指期货的到期日效应这四个角度进行相关的文献综述。第三部分主要对上述四个方面的实证检验结果进行分析，共分为4个章节。第四部分主要根据前文的研究结果，为完善资本市场、充分发挥股指期货的作用，笔者提出了一些有针对性的政策建议，以期能为监管者和投资者提供有益的借鉴。
通过本论文的实证分析，笔者发现如下主要结论：
1．股指期货推出对个股收益产生了信息冲击，在股指期货推出前后，成份股产生了负的累积超额收益；股指期货推出前后，成份股股价波动性增强；短期来看，股指期货增加了成份股指数的系统性风险，降低了非成份股指数的系统性风险，长期来看，股指期货显著提高了对两种指数的系统性风险，并没有对现货市场产生应有的稳定作用。
2．股指期货报价和沪深300现货指数之间存在着长期稳定的协整关系；股指期货推出一年以来，股指期货指数报价对沪深300现货指数一直保持具有较好的领先效应，领先期数大多为一分钟左右，且领先期数逐步趋于稳定。在股指期货刚推出来的一个月中，我们发现了大量沪深300现货指数滞后于股指期货报价的两期及以上，说明股指期货刚推出的时候指数报价较为不稳定，套利机会较多。而随着时间的推移股指期货的领先性逐步趋于稳定；股指期货推出后的一年中，股指期货报价对沪深300现货指数的领先效果越来越强，相关系数从刚推出时的0.3左右上升到一年以后的0.5以上，这说明股指期货推出后一年，随着时间的推移股指期货对沪深300的领先效果越来越强。
3．股指期货和股指现货具有长期稳定的均衡关系，股指期货对现货市场的价格发现功能良好，但是股指现货市场仍然是价格发现的主要贡献者，这大概与我国仍然是新兴市场有关，新兴市场不发达、监管体系不完善，对投资者及交易者的吸引力有限。
4．中国的资本市场存在股指期货的到期日效应。
Stock index futures is a futures contract on the value of a particular stock marketindex. Although it is relatively new, stock index futures has achieved a fast growthonce it was launched, and has a wide range of applications as well as a powerfulinfluence. At present, stock index futures has surpassed other derivative products byfar in transaction volume and variety, becoming the most active financial futures inthe international futures market.
In recent years, in order to improve and complete security market structure, andto avoid systematic risk in market, Chinese practice circle and academic circle havelaunched a series of explorations and researches into whether bring out stock indexfutures, the significance and feasibility of stock index futures, the influence that thetrading of stock index futures would have on spot market, etc. After two decades’preparation, the CSI300stock index futures contracts finally traded on April16,2010.This essay, based on the conclusion of past researches, sets CSI300stock indexfutures as the object of study, combines the theoretical analysis with empirical studies,and puts the emphasis on empirical studies. The systematic analysis on stock indexfutures is from four perspectives: the fluctuating influence on spot market from stockindex futures, the lead-lag relationship between stock index future and spot index, theprice discovery mechanism of stock index futures, and the expiration effect of stockindex futures, hoping to provide assistance for regulators and investors.The first part of this essay contains the introduction of the background, and history ofstock index futures, and a brief description of its features and functions. The secondpart mainly provides a relevant literature review from four perspectives: the impact ofstock index futures on the fluctuation of spot market; the lead-lag relationshipbetween stock index futures and spot market index; the price discovery mechanism ofstock index futures; the expiration effect of stock index futures. The third part isdivided into four chapters and provides the analysis of the empirical test results of thefour perspectives above. The fourth part is according to the earlier findings, in orderto improve the capital market and give full play to the role of stock index futures, this essay proposes some corresponding policy suggestions in section four, hoping toprovide assistance for regulators and investors.
The empirical analysis indicates that:
1. The introduction of stock index futures had information impact on singlestock return. Around the introduction of stock index futures, component stock gainednegative CAR; before and after the introduction of stock index futures, the volatilityof component stocks prices rose; in the short term, stock index futures increased thesystematic risk of component stock index, and reduced the systematic risk ofnon-component stock index. In the long-run, stock index futures has significantlyincreased the systemic risk of both indexes, and didn’t produce the stabilizing effect itshould have on the spot market.
2. There is long-term and stable co-integration relationship between stock indexfutures and the CSI300Index; since its introduction in last year, the stock indexfuture has had a good leading effect on the CSI300Index. Most of the leadingindicators lead approximate a minute, and gradually become stabilized. In the firstmonth after stock index futures was launched, we found that most CSI300index lagbehind stock index futures for more than two periods, indicating that index was moreinstable when stock index futures started, and that there are quite a few arbitragechances. But as time went on, the stock index futures’ leading character graduallystabilized; the leading effect get stronger in the year after the introduction of stockindex futures; the correlation coefficient rose from about0.3at the beginning to over0.5in a year, suggesting that over time the leading effect became stronger one yearafter the introduction of stock index futures.
3. There is a long-term stable equilibrium relationship between stock indexfutures and spot index. Spot index market is still the major contributor of pricediscovery whilst the price discovery function of stock index futures is good, butcannot contribute that much. Probably because China still has an emerging capitalmarket, which is underdeveloped, lack of a thorough regulatory system, and haslimited appeal to investors and traders.
4. China’s capital market has expiration effect of stock index futures.
引文
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