股指期货交易量与股指现货波动关系研究——来自香港恒生指数的实证

文章以香港恒生股票指数及其期货为样本,研究了股指波动性与指数期货交易量之间的关系。研究结果表明,它们之间存在单向因果关系,股指现货市场的日间价格波动并没有明显增加股指期货的交易,但股指期货的交易量却对指数现货的波动性产生延迟影响,这从一定程度上反映了香港市场股指期货主要被投资者用于套利而不是风险对冲的工具。

Study on the Relationship between the Volatility of Stock Index Spot and the Trading Volume of Stock Index Futures——Emipical Evidence from HongKong Hang Seng Index

Using the Hang Seng Index and its future as the sample,the author studies the relationship between the stock index volatility and the trading volume of stock index futures.The research finds that there is unilateral cause-and-effect relationship between them,the inter-day price fluctuation of stock index spot market has no significant effects on the increase of trading volume of stock index futures,and that the volume of stock index futures has a delayed effect on the stock index volatility.This reflects that the stock index futures are mainly used as not hedge instrument but arbitrage instrument.