| 股指期货与股票现货市场竞争关系研究——来自中国的经验证据 |
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| 引用本文： | 姚亚伟,廖士光.股指期货与股票现货市场竞争关系研究——来自中国的经验证据[J].证券市场导报,2011(9). |
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| 作者姓名： | 姚亚伟 廖士光 |
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| 作者单位： | 上海师范大学金融学院;上海证券交易所研究中心; |
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| 摘 要： | 本文利用模拟生态学中种群间动态关系的Lotka-Volterra模型,对沪深300股指期货同股票现货市场在交易规模方面的竞争关系进行实证分析。研究结果表明,沪深300股指期货推出初期,股指期货市场与股票现货市场在交易规模方面存在竞争性的交易转移效应;随着股指期货市场相关规则的不断健全和完善,股指期货市场与股票现货市场在交易规模方面由竞争关系转变为共存关系,出现交易引资效应。同时,研究还发现,股指期货市场与股票现货市场之间关系由竞争性转变为共存性的重要原因是股指期货市场监管力度的加大,股指期货市场投资者结构的优化,以及股指期货市场期现套利交易的盛行。
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| 关 键 词： | 股指期货 Lotka-Volterra模型 交易转移效应 交易引资效应 |
A Research on the Competition Between the Stock Index Futures Market and the Spot Market |
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| Yao Yawei,Liao Shiguang.A Research on the Competition Between the Stock Index Futures Market and the Spot Market[J].Securities Market Herald,2011(9). |
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| Authors: | Yao Yawei Liao Shiguang |
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| Institution: | Yao Yawei,Liao Shiguang |
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| Abstract: | Using the Lotka-Volterra model for dynamic relationship between populations in simulated ecology,we conducted the empirical analysis of the competition in trading size between Shanghai and Shenzhen 300 Stock Index futures and the spot market.The results show that when Shanghai and Shenzhen 300 Stock Index futures was just introduced,stock index futures market and stock spot market had competitive trade diversion effect in trading sizes,while with the gradually improvement and perfection of the stock index f... |
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| Keywords: | stock index futures lotka-volterra model trade diversion effect trade introducing capital effect |
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