Information, Trading Demand, and Futures Price Volatility

We examine the relation between futures price volatility and trading demand by type of trader in the Standard & Poor's (S&P) 500-stock index futures market. We find that volatility covaries negatively with signed speculative demand shocks but is positively related to signed hedging demand shocks. No significant relation between volatility and demand shocks for small traders is found. Our results suggest that changes in positions of large hedgers destabilize the market, whereas changes in positions of large speculators stabilize volatility. Consistent with models with asymmetrically informed traders, we find that large speculators are likely to possess superior forecasting ability, large hedgers behave like positive feedback traders, and small traders are liquidity traders.     

我国股指期货与现货市场信息传递与波动溢出关系研究

股指期货与现货市场关系是监管者关注的重点问题。本文采用我国股指期货上市以来1分钟级高频数据,应用向量误差修正模型、方差分解、多元T-GARCH等,考察期现两市信息传递、波动溢出效应的影响。实证结果表明,尽管股指期货和股票市场之间短期内存在相互引导关系,但股票市场价格变动更多来自于自身影响,起主导作用,而且两市长期均衡收敛也是以股票市场占主导地位;两市存在显著的双向波动溢出,期货市场的波动溢出效应强于股票市场的波动溢出效应;两市场存在明显的非对称效应,期货市场对坏消息更为敏感,而现货市场对好消息更为敏感。     

International Equity Index and Currency Futures: Commodity Currencies or Emerging Versus Developed Markets?

Equity index futures in both emerging and developing markets that are net commodity exporters are strongly linked to their respective currency futures markets. Unconditional correlations among equity and currency futures are the highest for these net basic materials producers in both emerging and developed markets. Granger causality tests also indicate that stock market returns are more strongly related to currency futures returns for commodity-exporting countries. Additionally, conditional correlations among currency and equity futures returns are the strongest for commodity-producing countries in both emerging and developed economies. Volatility spillover analysis provides consistent results. The overall results indicate that the status of a country as a net importer or exporter of raw materials is more important to the relationship between equity and currency futures than whether it is an emerging or developed economy.     

韩国金融衍生品市场发展的经验及对我国的启示

近年来,韩国金融衍生品市场飞速发展,其独特的投资者结构和严格的管理与细致的服务,特别是股指期货、期权交易的成功经验,为我国即将开启的金融衍生品交易提供了很好的借鉴。本文主要介绍了韩国金融衍生品市场的发展历程,并总结了韩国发展金融衍生产品市场的特点。     

Reexamining intraday simultaneity in stock index futures markets

This note examines three empirical examples involving intraday dynamic relationships associated with stock index futures markets. Researchers often employ a vector autoregressive ( ) model to analyze such high frequency transactions data. While such a model can provide useful information regarding the nature of causal priority inherent in the data, it is not the proper model to investigate the structural relationships of interest, because it omits the contemporaneous interaction. On the other hand, a model specification which is altered to incorporate simultaneity may enable the data to reveal the structural relationships of interest.     

Intraday Empirical Regularities in Interest Rate and Equity Index Futures Markets, and the Effect of Macroeconomic Announcements

This paper focuses on the intraday behaviour of returns, volatility, volume and price reversals for the Short Sterling interest rate and FTSE100 stock index futures contracts traded on the London International Financial Futures and Options Exchange (LIFFE). It also examines the effect of scheduled macroeconomic announcements and interest rate changes on the intraday behaviour of the variables of interest. We find clear differences and similarities with US studies and between the interest rate and equity contracts, which have important theoretical implications. This new evidence helps discriminate between the theories seeking to explain these intraday patterns.     

波动率指数：基本原理和国际经验

随着金融投资全球化，如何提供更完善的风险管理产品成为交易所产品发展的特征之一。目前国际上许多交易所编制了波动率指数（VIX），并以此为标的提供新产品，为投资者提供波动率避险的工具。本文对波动率指数（VIX）的计算原理进行了梳理和比较，并对其表现进行了归纳总结，以供国内相关金融衍生品的设计和发展借鉴。     

The International Transmission of Arbitrage Information Across Futures Markets

Abstract:   This paper examines whether deviations from a domestic spot‐futures relation, as identified through mispricing series in stock index futures, spillover international boundaries. Such spillovers suggest that information from a mispricing series in one market conveys a signal of similar mispricing in another market. In the presence of arbitrage traders and in the absence of market frictions, mispricing series should be independent across international boundaries. The study employs a VAR analysis of stock index futures mispricing across three large futures markets – Australia, the UK and the USA. Using time zone differences, tests are conducted for the daily transmission of arbitrage information. The results reveal the relationship between mispricing series is bi‐directional. Based on this finding, a trading strategy is employed to examine the economic significance of apparent profits. The results show that some profits are possible after transaction costs but that a long horizon, probably beyond the scope of most traders, is required to exploit the spillover information.     

我国工业品期货价格指数与PPI关系的实证研究

通过应用协整检验和Granger因果关系检验的计量方法,对我国工业品期货价格指数与工业生产者出厂价格指数（PPI）的关系进行实证研究,研究表明我国工业品期货价格指数与PPI存在长期稳定的比例关系,并且我国工业品期货价格指数的变动引导PPI的变化。随后通过对我国工业品期货价格指数与PPI的交叉相关系数检验,进一步验证了工业品期货价格指数领先PPI变动,并且领先2个月,因此得出结论我国工业品期货价格指数可以对PPI变动进行预警,在一定程度上,可以作为我国宏观政策制定与调整的重要的先行指标。     

我国证券交易所推出股指期货的法律基础

股指期货的推出需要一定的条件,其中法律环境是重要条件之一.本文结合我国的具体法律制度,借鉴国外的立法经验,对当前我国证券交易所推出股指期货进行了法律可行性分析,并提出相关的法律建议与对策.     

股指期货与现货市场的关系研究

本文从市场结构、交易执行效率和市场信息传播三个方面,由浅入深地展开了期现货市场关系的梳理和分析。股指期货市场的出现,一是使得原本现货市场单轨运行的市场结构变为了期现货市场双轨运行的新结构,增加了市场稳定性;二是依托期货交易方式的独特机制,大大提高了交易执行效率;三是期货价格也因此包含了更多内容,促进了市场信息的传播与扩散。同时,股指期货的独特设计使得其非常适合在危机条件下充分发挥功能,是一个重要的风险管理工具,已经成为现代资本市场的重要组成部分和基础性的内在稳定机制。     

The spatial effects of information technology: Some literature

The conclusion emerging from comparing many studies is that information technologies can indeed encourage and also substitute for the physical movement of goods and people, with consequences for centralisation and decentralisation. Which of the two effects will appear in any given case appears to depend more on factors other than the choice of technology.     

Investor Trading Behavior and Sentiment in Futures Markets

This study investigates the effects of investor trading behavior and investor sentiment on futures market return. We find that the spot investor trading behavior, futures investor trading behavior, spot market sentiment, and futures market sentiment all have positive effects on daily futures returns in Chinese financial market. More importantly, we show that the effect of (spot) futures investor trading behavior has better explanatory power than (spot) futures market sentiment on futures returns. Further supporting our results, high investor trading behavior and high investor sentiment strengthen the positive relation between sentiment-returns and behavior-returns.     

股指期货推出对中国上市银行市值的影响分析

本文对股指期货推出后中国上市银行市值将可能发生的变化进行了分析.在考察国外主要股票市场推出股指期货前后市场走势的变化,以及对主要成分股股价的影响的基础上,对我国推出股指期货后可能对股票市场以及上市银行市值产生的影响进行预测,并对银行股的可操纵性进行分析.推出股指期货前后短期内,由于机构抢筹等原因,股票现货市场一般会出现较大波动,但长期中由于无风险套利行为的存在,市场走势仍由基本面决定.根据国际经验,中国上市银行市值在短期内会受到一定影响,但长期来看被市场作为操纵工具的可能性不大.     

期货市场的交易量与价格波动

本文检验了美国期货市场WTI原油、S＆P500指数和10年期国债品种的日内、日间价格波动与日内交易量、隔日交易量之间的关系,发现预期的日内和隔日交易量都有平抑期货市场价格波动的作用,非预期的隔日交易量与期货价格波动之间有正相关关系,非预期的目内交易量对价格波动的影响不显著。从信息对称性的角度分析,预期的交易量中含有更多信息,能抑制期货价格的偏离;非预期的交易量主要由信息反馈者提供,他们往往对期货价格的变动做出过度反应,从而加剧价格波动。     

股指期货推出对中国上市银行市值的影响分析

本文对股指期货推出后中国上市银行市值将可能发生的变化进行了分析。在考察国外主要股票市场推出股指期货前后市场走势的变化，以及对主要成分股股价的影响的基础上，对我国推出股指期货后可能对股票市场以及上市银行市值产生的影响进行预测，并对银行股的可操纵性进行分析。推出股指期货前后短期内，由于机构抢筹等原因，股票现货市场一般会出现较大波动，但长期中由于无风险套利行为的存在，市场走势仍由基本面决定。根据国际经验，中国上市银行市值在短期内会受到一定影响，但长期来看被市场作为操纵工具的可能性不大。     

股指期货合约存续期价格引导关系的时变性研究

针对股指期货非季月合约存续期较短这一特点,按一定的标准将股指期货非季月合约2个月的存续期划分为合约上市期、主力合约期、非主力合约期、合约交割期等阶段,采用单位根检验、协整检验、格兰杰因果检验、脉冲响应分析等方法,利用各阶段5分钟或1分钟高频交易数据对股指现货、股指期货主力合约、股指期货非主力合约的价格引导关系进行实证分析,得出的结论是股指期货非季月合约在其存续期内的价格引导能力具有明显的时变性特征,股指期货和现货市场的跨市场监管者和交易者需要根据股指期货合约价格引导关系的时变性来合理制定自身的监管策略和交易策略。