摘要
文章利用沪深300股指期货2013-2019年的交易数据,以2015年股市震荡期间中金所出台的限制股指期货交易的监管政策为自然实验背景,比较限制交易政策实施前后及松绑后套利活动和噪声交易对股指期货套保效率的影响,进而从微观主体交易行为层面探究股指期货套保效率的影响机制。研究发现,限制政策实施前,套利活动和噪声交易均能显著降低套保效率;限制政策实施后,套利活动对套保效率的降低作用变得更为显著,而噪声交易则被抑制,对套保效率产生正向影响但并不显著;限制政策松绑后,套利限制减弱,套利活动不再降低套保效率,但并不能显著提高套保效率,而噪声交易则能够显著提高套保效率。这一研究结果与有限套利理论不完全相符,投资者情绪驱动的噪声交易并不总是会扭曲资产价格降低套保效率,这表明我国股指期货市场处于不稳定状态,套利机制有待完善。本研究为监管机构合理引导投资者行为,提高我国金融市场效率,促进金融市场的健康、稳定发展提供一定参考。
Using the trading data of CSI 300 stock index futures from 2013 to 2019 and the regulatory policy issued by the CFFEX to restrict stock index futures trading during the turbulence of stock market in 2015 as a natural experimental background,the authors compare the effect of arbitrage activities and noise trading on the efficiency of stock index futures hedging before and after the implementation of the policy of restricting trading and after the deregulation,and then explores the mechanism of stock index futures hedging efficiency from the perspective of micro subject trading behavior.It is found that arbitrage activities and noise trading significantly reduced the hedging efficiency,before the implementation of the restriction policy;after the implementation of the restriction policy,the effect of arbitrage activities on the reduction of hedging efficiency became more significant,and noise trading was suppressed,which had a positive but not significant impact on hedging efficiency;after the policy was loosened,the restriction on arbitrage was weakened.Although arbitrage activities no longer reduced hedging efficiency,it still could not significantly improve the hedging efficiency but noise trading could significantly improve hedging efficiency.The result is inconsistent with the theory of limited arbitrage.Noise trading driven by investor sentiment does not always distort asset prices and reduce hedging efficiency,which indicates that China's stock index futures market is in a state of disorder and the arbitrage mechanism needs to be improved.This study provides some reference for regulators to reasonably guide investors'behavior,improve the efficiency of China's financial market,and promote the healthy and stable development of the financial market.
作者
张世玉
高志
ZHANG Shiyu;GAO Zhi(School of Finance,Anhui University of Finance and Economics,Bengbu,Anhui 233000)
出处
《上海立信会计金融学院学报》
2022年第5期3-18,共16页
Journal of Shanghai Lixin University of Accounting and Finance
基金
安徽财经大学研究生科研创新基金项目(ACYC2020119)。
关键词
股指期货市场
套保效率
噪声交易
套利活动
限制政策
Stock index futures market
Hedging efficiency
Noise trading
Arbitrage activity
Restrictive policies
