摘要
研究股指期货交易对股市跳跃风险的影响,不仅对完善金融市场监管,加强市场风险管理有着重大意义,而且有助于增进人们对股指期货功能、市场微观结构和信息效率的认识。本文基于5分钟的高频数据研究了沪深300股指期货交易对股市跳跃风险的影响。首先,我们利用非参数方法检测沪深300指数价格Levy跳跃;然后将Levy跳跃分解为大跳和小跳,并考察股指期货推出前后它们各自的强度、幅度以及跳跃活跃指数的变化;最后检验跳跃风险与股指期货交易活跃程度之间的Granger因果关系。研究主要发现:(1)股指期货交易不会增加大跳强度,相反会平抑大跳幅度,从而减少现货市场大跳风险;(2)由于投机交易,股指期货交易会增加小跳强度,因而增加现货市场小跳风险;(3)现货市场跳跃风险对期货市场交易行为存在反馈影响,但不同幅度的跳跃产生的影响不同。本文研究结果显示,股指期货推出对于股市跳跃风险的影响具有双刃剑的作用,我国股指期货功能有待健全。
The understanding of the impact of stock index futures trading on the stock market jump risk has great implication in improving financial regulations and risk management. It also helps to understand the function of futures markets, market microstructure and information efficiency. Based on the 5 -minute high-frequency data, this paper investigates the effects of CSI 300 index futures trading to the jump risk of the spot market. We first use a nonparametric method to detect Levy-type jumps in CSI 300 index, and then decompose them into big and small jumps. And the changes of the jump intensity, jump size as well as jump activity index, before and after the launch of the index futures, are investigated to evaluate the impact of the index futures trading. We further examine the Granger causality relationship between jumps and trading activities in futures markets. The main findings are summarized as follows ： （ 1 ） Index futures trading doesn＇t increase the intensity of big jumps, in contrast, it mitigates the size of big jumps and thus reduces the spot market jump risk;（2）Index futures trading increases the intensity of small jumps due to the speculative trading in the futures market, hence increases the jump risk; （3）The spot market jump risk generates a feedback effect to the trading activities in the futures market, but jumps with different sizes generate different impact. The results of this study imply that the impacts of futures trading on the jump risk are double-edged, and the efficiency of Chinese futures market needs to he further improved.
出处
《经济研究》
CSSCI
北大核心
2015年第1期153-167,共15页
Economic Research Journal
基金
国家自然科学基金"非线性协整模型的有效估计
检验及其应用"(71201137)的资助
