滬深300股指期貨上市對現貨指數波動性的影響

Abstract

2010年4月16日，滬深300指數期貨在中國金融期貨交易所上市，这是中國大陸資本市場發展的里程碑，它促進了中國大陸金融市場的發展與完善，改變了中國大陸資本市場缺乏避險機制的舊貌。 本文在總結了前人研究的基礎上，以中證500指數、巨潮小盤指數和香港恒生指數作為控制市場因素的代理變數，使用股指期貨推出前的回歸係數，構造出沒有股指期貨可能的滬深300指數波動率，並由此求得滬深300股指期貨上市對現貨指數在不同時間的影響。本文研究發現，股指期貨上市並不直接影響現貨指數的波動率，但股指期貨上市後，現貨指數的波動率在隨時間變大。與股指期貨推出後的平均波動率1.306353相比，現貨指數波動率在股指期貨上市後每年約增大3.46%。股指期貨的相關變數也會影響現貨指數的波動率。基差和期貨的交易量增大現貨指數波動率；短期交易量變大減小現貨指數波動率。

On April 16, 2010, the China Financial Futures Exchange formally introduced CSI 300 index futures contracts, it is a milestone in the development of China’s capital market, it promoted the development of Chinese financial market, changed the China capital market lacks want safety mechanism. The thesis reviews previous studies, let the CSI 500 index, the CNI small cap. index and the Hang Seng index as the proxy variable to control the market factors, using the regression coefficient of prefutures period, construct the counterfactual predictions for the postfutures period. Thus, we get the treatment effects of the introduction of futures trading. Our results provide empirical evidence that the introduction of CSI 300 index futures does not directly affect the volatility of the spot index, but the spot index volatility is bigger with time after the introduction of CSI 300 index futures. Compared to the average volatility in the postfutures period, 1.306353, the spot index volatility increases about 3.46% a year after the introduction of CSI 300 index futures. Variables related to index futures also affects the volatility of spot index. Basis and futures trading volumes increase the spot index volatility, the change of futures trading volumes reduce the volatility.