股指期货的推出对股票市场质量影响研究
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摘要
股指期货作为风险管理和控制的有效工具,近年来,已经成为金融衍生品中发展最为迅速的交易品种,而新兴市场的股指期货发展尤为突出。我国已经具备了推出股指期货的条件,在我国即将推出股指期货的背景下,市场各界非常关注股指期货推出后对我国股票市场质量的影响。鉴于此,本文选取了和我国市场相似的台湾市场的日交易数据作为研究对象,从实证的角度研究了股指期货推出前后股票市场流动性、波动性的变化,以期对我国推出沪深300指数期货提供一些借鉴作用。
本文在借鉴了成熟市场研究成果的基础上,试图从流动性、波动性两个方面对台湾地区股指期货推出对股票现货市场的影响进行了分析。在研究方法上,由于股票指数序列存在自相关和异方差现象,不能用传统的收益率与风险的度量方法,因此本文运用目前国际上运用较频繁的GARCH模型族作为工具,选择了GARCH和EGARCH模型,以股指期货推出时间为分界点,分析了股指期货推出前、推出后不同的发展时间段股票市场波动性变化情况。另外,利用t-检验、Wilcoxon符号秩检验方法分析了股指期货推出前后股票市场流动性的变化情况。实证结果为:①股指期货推出后,短期内股票市场的流动性由于“挤出效应”的存在而下降,但是长期来看,由于投机者和套期保值者的加入,场外增量资金大量流入股票市场和期货市场,其交易量和流动性有了较大的提高,现货市场和期货市场的交易量增加,同时存在“双向推动效应”。②股指期货推出后,股票市场的波动性不管是短期还是长期都没有显著的变化。
本文的结论将为我国股指期货的推出及推出后对股票市场质量的影响提供理论基础,为市场监管者制定相关政策和制度提供信息,为投资者做出投资决策提出参考。
As the risk management and the control effective tool, stock index futures have become the most rapidly subclass of financial derivatives in the recent years. The development of stock index futures in the emerging markets is particularly rapid. In the background of china is going to launch its own stock index futures, people from all walks of the market are very concerned about the impact of stock index futures on quality of stock market. In view of this, the paper reviews TWSE index futures development process for research, which is a closely related with the China’s Mainland market, using daily transaction as a sample before and after the launching time of stock index futures. And it analyses the variation of liquidity and volatility of stock market before and after the launching time of stock index futures starting from empirical angle.
The paper draws on research literatures of the mutual market, and makes an attempt to analyze the impact of liquidity and volatility of stock market. In the respect of research methods, since stock index futures series exhibit the self-related and heteroskedastic characteristics, which can not be studied by the traditional risk-return method, we introduce GARCH models as tools including GARCH and EGARCH models to make a empirical study of sub-example of stock index futures markets in the different development stages .Additionally, we analyze the impact of liquidity of stock market by using t test and Wilcoxon signed rank test. The results of empirical research:①Because of squeeze-out effect, stock index futures has decreased the liquidity of stock market in a short run. In a long run, stock index futures have increased the liquidity of stock market because of two-way push effect.②The volatility of stock market has not significant variation.
The conclusions of this paper can supply some theoretical basis for the launching of china’s stock index futures, provide information for market supervisors to constitute correlative policy or system, and offer reference for investors to make invest decision.
本文在借鉴了成熟市场研究成果的基础上,试图从流动性、波动性两个方面对台湾地区股指期货推出对股票现货市场的影响进行了分析。在研究方法上,由于股票指数序列存在自相关和异方差现象,不能用传统的收益率与风险的度量方法,因此本文运用目前国际上运用较频繁的GARCH模型族作为工具,选择了GARCH和EGARCH模型,以股指期货推出时间为分界点,分析了股指期货推出前、推出后不同的发展时间段股票市场波动性变化情况。另外,利用t-检验、Wilcoxon符号秩检验方法分析了股指期货推出前后股票市场流动性的变化情况。实证结果为:①股指期货推出后,短期内股票市场的流动性由于“挤出效应”的存在而下降,但是长期来看,由于投机者和套期保值者的加入,场外增量资金大量流入股票市场和期货市场,其交易量和流动性有了较大的提高,现货市场和期货市场的交易量增加,同时存在“双向推动效应”。②股指期货推出后,股票市场的波动性不管是短期还是长期都没有显著的变化。
本文的结论将为我国股指期货的推出及推出后对股票市场质量的影响提供理论基础,为市场监管者制定相关政策和制度提供信息,为投资者做出投资决策提出参考。
As the risk management and the control effective tool, stock index futures have become the most rapidly subclass of financial derivatives in the recent years. The development of stock index futures in the emerging markets is particularly rapid. In the background of china is going to launch its own stock index futures, people from all walks of the market are very concerned about the impact of stock index futures on quality of stock market. In view of this, the paper reviews TWSE index futures development process for research, which is a closely related with the China’s Mainland market, using daily transaction as a sample before and after the launching time of stock index futures. And it analyses the variation of liquidity and volatility of stock market before and after the launching time of stock index futures starting from empirical angle.
The paper draws on research literatures of the mutual market, and makes an attempt to analyze the impact of liquidity and volatility of stock market. In the respect of research methods, since stock index futures series exhibit the self-related and heteroskedastic characteristics, which can not be studied by the traditional risk-return method, we introduce GARCH models as tools including GARCH and EGARCH models to make a empirical study of sub-example of stock index futures markets in the different development stages .Additionally, we analyze the impact of liquidity of stock market by using t test and Wilcoxon signed rank test. The results of empirical research:①Because of squeeze-out effect, stock index futures has decreased the liquidity of stock market in a short run. In a long run, stock index futures have increased the liquidity of stock market because of two-way push effect.②The volatility of stock market has not significant variation.
The conclusions of this paper can supply some theoretical basis for the launching of china’s stock index futures, provide information for market supervisors to constitute correlative policy or system, and offer reference for investors to make invest decision.
引文
[1] Amihud Y. , and Mendelson H. , Liquidity , Volatility and Exchange Automation[J],Journal of Accounting,Auditing&Finance,1988,3(4):369～396
[2] Bessembinder H.,Trade execution costs on Nasdaq and the NYSE:A post-reform comparison[J],Journal of Financial and Quantitative Analysis,1999,34:387~408
[3] Black F,Toward a Fully Automated Stock Exchange: Part I[J],Financial Analysis Journal,1971,27:28～35
[4] Breen W.J,Hodrick L.S., Korajczyk R.A.,Predicting Equity Liquidity[R],Working paper , Kellogg Graduate School of Management ,NorthwesternUniversity,2000
[5] Demsetz H,The cost of Transacting[J],Quarterly Journal of Economics,1968,(82):33～53
[6] Domowitz I,liquidity transaction costs and reintermediation in electronic markets[J],Journal of Financial Services Research,2002
[7] Garbade K.D,Silber W.L,Structural organization of secondary markets:Clearing frequency,dealer activity and liquidity[J],Journal of Finance,1979,34:577～593
[8] Grossman S J,Miller M H,Liquidity and market structure[J],The Journal of Finance,1988,43(3):617～633
[9] Harris L E,Liquidity, trading rules, and electronic trading systems[M],Monograph Series in Finance and Economics,Stern School of Business,New York,1990
[10] Hasbrouck J,Assessing the quality of a security market: a new approach to transaction-cost measurement[J],The Review of Financial Studies,1993,6:191～212
[11] Hui B,and Heubel B,Comparative Liquidity Advantages Among Major U.S. Stock Markets[D],Data Resources,Inc:Lexington,MA,1984
[12] Kyle A S,Continuous Auctions and Insider Trading[J],Econometrica,1985,53(6):1315～1335
[13] Kurserk,and Locke,1994,The effects of Amendments to Rule 80A on Liquidity,Volatility and Price Efficiency in the S&P 500 Futures,Journal of Finance Markets
[14] Lee Charles M,Mark J Ready,Inferring trade direction from intraday data[J],The Journal of Finance,1991,46:733～746
[15] Lippman S.A,McCall J.J,An operational measure of liquidity[J],American Economic Review,1986,76(1):43～55
[16] Mackinnon, G., & Nemiroff, H,Liquidity and tick size:Does decimalization matter[J],Journal of Financial Research
[17] Marsh Terry,Kevin Rock,Exchange Listing and Liquidity:A Comparison of the American Stock Exchange with the NASDAQ National Market System[R], Report,American Stock Exchange Transactions Data Research Project,1986
[18] Martin P,Analysis of the impact of competitive rates on the liquidity of NYSE stocks[R],Economic Staff Papers,Securities and Exchange Commission,1975
[19] Roll R,A simple implicit measure of the effective Bid-Ask spread in an efficient market[J],Journal of Finance,1984,39(4):1127～1139
[20] Schwartz R.A,Equity markets: Structure,trading,and performance,New York:Harper & Row,inc.1988
[21] Stoll Hans R,Inferring the components of the bid-ask spread:theory and empirical tests[J],The Journal of Finance,1989,44:115～134
[22] Subrahmanyam A , Circuit breakers and market volatility : a theoretical prospective[J],Journal of Finance,1994
[23] Susan Abbott Gidel,Stock Index Futures & Options,John Wiley & Sons,Inc,Journal of Futures Markets,pp,1988～2001
[24] Thompson,S., & Waller, M., Determinants of liquidity costs in commodity futures markets[J].Review of Futures Markets.
[25] [美]达摩达尔·N·古扎拉蒂,计量经济学基础(第四版)[M],北京:中国人民大学出版社,2005:807-813
[26]陈晗、张晓刚、鲍建平,股票指数期货—理论、经验与市场运作构想[M],上海:远东出版社,2001
[27]付强、曾长兴,股票期货推出对现货流动性及波动性影响[J],安信证券金融工程研究,2007
[28]韩冬,中国证券市场流动性风险研究[M],北京:社会科学文献出版社,2007
[29]刘逖,如何衡量流动性:理论与文献综述上[R],上海证券交易所,上证联合研究计划课题报告,2002,3:113～114
[30]柳江,中国证券市场流动性研究:[硕士学位论文],陕西:陕西师范大学,2004
[31]罗思远,股指期货研究文献综述[J],世界经济情况,2008,4
[32]莫杨,股票市场波动性国际比较[J],数量经济技术研究,2004,10
[33]屈文洲,中国股票市场流动性模式研究:[硕士学位论文],厦门;厦门大学,2001
[34]童光荣,计量经济学[M],武汉,武汉大学出版社,2006
[35]肖辉、刘文财,股票指数现货市场与期货市场关系研究[M],北京:中国金融出版社,2006:247-263
[36]徐旭初,股指期货的国际比较研究----模型、实证及中国课题:[博士学位论文],上海,复旦大学,2003
[37]薛薇,基于SPSS的数据分析[M],北京:中国人民大学出版社,2006
[38]张晓峒,计量经济分析[M],天津:南开大学出版社,2005
[39]中国期货业协会编,期货市场教程(第五版),北京:中国财政经济出版社,2007:370～400
[40]庄新田,刘洋,中国股票市场流动性实证研究[J],南方经济,2006,2:71～79
[41]赵立刚,中国股票市场流动性研究:[硕士学位论文],东北,东北大学,2005
[42]朱世武,郑淳,中国资本市场股权风险溢价研究[J],世界经济,2003,11
[2] Bessembinder H.,Trade execution costs on Nasdaq and the NYSE:A post-reform comparison[J],Journal of Financial and Quantitative Analysis,1999,34:387~408
[3] Black F,Toward a Fully Automated Stock Exchange: Part I[J],Financial Analysis Journal,1971,27:28～35
[4] Breen W.J,Hodrick L.S., Korajczyk R.A.,Predicting Equity Liquidity[R],Working paper , Kellogg Graduate School of Management ,NorthwesternUniversity,2000
[5] Demsetz H,The cost of Transacting[J],Quarterly Journal of Economics,1968,(82):33～53
[6] Domowitz I,liquidity transaction costs and reintermediation in electronic markets[J],Journal of Financial Services Research,2002
[7] Garbade K.D,Silber W.L,Structural organization of secondary markets:Clearing frequency,dealer activity and liquidity[J],Journal of Finance,1979,34:577～593
[8] Grossman S J,Miller M H,Liquidity and market structure[J],The Journal of Finance,1988,43(3):617～633
[9] Harris L E,Liquidity, trading rules, and electronic trading systems[M],Monograph Series in Finance and Economics,Stern School of Business,New York,1990
[10] Hasbrouck J,Assessing the quality of a security market: a new approach to transaction-cost measurement[J],The Review of Financial Studies,1993,6:191～212
[11] Hui B,and Heubel B,Comparative Liquidity Advantages Among Major U.S. Stock Markets[D],Data Resources,Inc:Lexington,MA,1984
[12] Kyle A S,Continuous Auctions and Insider Trading[J],Econometrica,1985,53(6):1315～1335
[13] Kurserk,and Locke,1994,The effects of Amendments to Rule 80A on Liquidity,Volatility and Price Efficiency in the S&P 500 Futures,Journal of Finance Markets
[14] Lee Charles M,Mark J Ready,Inferring trade direction from intraday data[J],The Journal of Finance,1991,46:733～746
[15] Lippman S.A,McCall J.J,An operational measure of liquidity[J],American Economic Review,1986,76(1):43～55
[16] Mackinnon, G., & Nemiroff, H,Liquidity and tick size:Does decimalization matter[J],Journal of Financial Research
[17] Marsh Terry,Kevin Rock,Exchange Listing and Liquidity:A Comparison of the American Stock Exchange with the NASDAQ National Market System[R], Report,American Stock Exchange Transactions Data Research Project,1986
[18] Martin P,Analysis of the impact of competitive rates on the liquidity of NYSE stocks[R],Economic Staff Papers,Securities and Exchange Commission,1975
[19] Roll R,A simple implicit measure of the effective Bid-Ask spread in an efficient market[J],Journal of Finance,1984,39(4):1127～1139
[20] Schwartz R.A,Equity markets: Structure,trading,and performance,New York:Harper & Row,inc.1988
[21] Stoll Hans R,Inferring the components of the bid-ask spread:theory and empirical tests[J],The Journal of Finance,1989,44:115～134
[22] Subrahmanyam A , Circuit breakers and market volatility : a theoretical prospective[J],Journal of Finance,1994
[23] Susan Abbott Gidel,Stock Index Futures & Options,John Wiley & Sons,Inc,Journal of Futures Markets,pp,1988～2001
[24] Thompson,S., & Waller, M., Determinants of liquidity costs in commodity futures markets[J].Review of Futures Markets.
[25] [美]达摩达尔·N·古扎拉蒂,计量经济学基础(第四版)[M],北京:中国人民大学出版社,2005:807-813
[26]陈晗、张晓刚、鲍建平,股票指数期货—理论、经验与市场运作构想[M],上海:远东出版社,2001
[27]付强、曾长兴,股票期货推出对现货流动性及波动性影响[J],安信证券金融工程研究,2007
[28]韩冬,中国证券市场流动性风险研究[M],北京:社会科学文献出版社,2007
[29]刘逖,如何衡量流动性:理论与文献综述上[R],上海证券交易所,上证联合研究计划课题报告,2002,3:113～114
[30]柳江,中国证券市场流动性研究:[硕士学位论文],陕西:陕西师范大学,2004
[31]罗思远,股指期货研究文献综述[J],世界经济情况,2008,4
[32]莫杨,股票市场波动性国际比较[J],数量经济技术研究,2004,10
[33]屈文洲,中国股票市场流动性模式研究:[硕士学位论文],厦门;厦门大学,2001
[34]童光荣,计量经济学[M],武汉,武汉大学出版社,2006
[35]肖辉、刘文财,股票指数现货市场与期货市场关系研究[M],北京:中国金融出版社,2006:247-263
[36]徐旭初,股指期货的国际比较研究----模型、实证及中国课题:[博士学位论文],上海,复旦大学,2003
[37]薛薇,基于SPSS的数据分析[M],北京:中国人民大学出版社,2006
[38]张晓峒,计量经济分析[M],天津:南开大学出版社,2005
[39]中国期货业协会编,期货市场教程(第五版),北京:中国财政经济出版社,2007:370～400
[40]庄新田,刘洋,中国股票市场流动性实证研究[J],南方经济,2006,2:71～79
[41]赵立刚,中国股票市场流动性研究:[硕士学位论文],东北,东北大学,2005
[42]朱世武,郑淳,中国资本市场股权风险溢价研究[J],世界经济,2003,11