股指期货对现货市场的信息传递效应分析

本文研究了股票指数合约的交易对现货市场的影响以及股指期货是否有助于现货市场在信息传递速度与效率方面的提升.利用了GARCH模型,修正GARCH模型,TGARCH模型及极端值模型,通过对香港恒生H股指期货合约引入前后样本的实证分析发现,在期货合约未上市前,波动性干扰反应在时间上的持续性效果较持久.反之,在股价指数期货合约推出后,可以观察到波动性干扰因子的影响会更快速的反应到经济体系中,显示此时的波动过程更趋稳定.由此推论出期货交易的进行加速了信息传递的效率.亦即开放期货合约的交易,对于其标的现货市场的信息传递以及市场波动性,皆具有正面的贡献.

Effects of Futures Introduction on Market Volatility and Information Transmission

This paper provides some evidences in support of the information transmission hypothesis that the onset of Hong Kong Hengsheng H share index futures helps stabilize the volatility of spot market.We use daily data of H share index to estimate a GARCH model,a TGARCH model and an extreme-value model before and after futures trading.Before futures trading,the effects of volatility shocks tended to be more persistent.After futures trading,the volatility process becomes more stabilized such that shocks are more quickly reflected in the system and the system reverts to its normal state relatively quicker.The introduction of futures trading on market volatility and information transmission has positive effects in the underlying asset's market efficiency.