摘要
本文利用2015年中国股市大幅下跌期间,对股指期货严格限制交易政策这一独特事件前后的高频数据,研究限制交易政策对股指期货与股票市场价格引导关系的影响。利用I-S模型和分位数回归方法的实证结果表明:限制交易政策实施前,股指期货对股票市场的价格影响更强,尤其表现在价格急剧下跌时期;限制交易政策显著增加了期货市场交易成本,从而降低了期货市场的信息份额,削弱了其对股票市场的价格影响,并且改变了期货价格对现货价格"助跌强于助涨"的影响模式,增强了股指期货在价格上涨时对股票市场的影响。研究结果一方面直接量化了期货交易成本变动对其价格发现功能的负面影响,另一方面也从价格引导关系的视角提供了股市危机时期股指期货限制交易政策监管效果的实证证据。
Should stock index futures be restricted during a stock market crisis,and how do such restrictions affect the relationship between stock index futures and the spot market? It is important to systematically evaluate whether these restrictive trading measures have sufficiently solid regulatory motivation and achieve their intended effects. To fulfil the above task,empirical research is required from multiple perspectives,including the price lead-lag relationship and the volatility spillover between stock index futures and spot prices. This study aims to quantify the impact of regulations restricting the trading of stock index futures on the relationship between stock index futures and spot prices in terms of the lead-lag relationship and price discovery function.We use the information share model( I-S model) proposed by Hasbrouck( 1995) to test the price discovery function of the stock index futures. To further test their effects on the stock market under different market conditions and whether stock index futures can play the role of boosting or depressing prices we also introduce a quantile regression method.Using high frequency data from the CSI 300 index and the corresponding stock index futures in China,this study investigates the influence of the restrictive trading regulations during the 2015 Chinese equity market crisison the relationship between the Chinese stock index futures market and the stock market. We divide the research sample into two stages,pre-and post-restriction,and examine the relationship between stock index futures market and spot stock market prices in three samples: the whole sample,pre-restriction,and post-restriction.Using the I-S,P-T,and quantile regression models,the empirical results show that before the trading restrictions were implemented,the stock index futures had a greater impact on stock market prices,especially during the sharp price decline. Because the large increase in transaction costs on the futures market reduced the information share and component share weightings of t
作者
许荣
刘成立
XU Rong;LIU Chengli(School of Finance,Chinese Financial Research Policy Center,Renmin University of China)
出处
《金融研究》
CSSCI
北大核心
2019年第2期154-168,共15页
Journal of Financial Research
基金
中国人民大学科学研究基金项目"中国财政金融政策前沿问题研究"(批准号:17XNQJ01)支持
关键词
股指期货
股票市场
限制交易
价格发现
Stock Index Futures
Stock Market
Restrictive Trading Regulations
Price Discovery
