股指期货推出对中国股票市场波动性的影响研究——基于沪深300股指期货高频数据的实证分析

本文利用沪深300股指期货的高频数据,研究了股指期货推出对中国股票市场波动性的影响。结果表明:在股指期货合约交割日,总体上不存在到期日效应;在中长期,股指期货推出则确实增加了现货市场的波动,但随着时间的推移,这种影响在减小。另外,股指期货对现货市场波动起到引导作用,其冲击持续的时间更长、强度更大。本文政策含义在于,随着时间的推移,股指期货开始平稳有效运行,对现货市场起到重要引导和价格发现的作用,但由于股指期货的高投机性,加强对其监管仍然十分必要。

The Impact of Introduction of Stock Index Futures on China’s Stock Market Volatility:Empirical Analysis based on High-Frequency Data of HS300 index futures

Based on the high frequency data of SHSZ300 index futures, we study the influence of the introduction of stock index futures on China’s stock market volatility. The results show that:in the expiration day of stock index futures contract, there is no expiration-day effect. In the middle and long run, the introduction of index futures indeed increases the volatility of cash market, but such influence is decreasing. And the fluctuation of index futures, whose shock duration is longer and intensity is stronger, may lead to market crash. The policy implication is that the SHSZ300 index futures now run well, but due to its high speculation, strengthening supervision seems necessary.