沪深300 ETF上市对股指期货价格发现功能动态变化的影响:考虑交易机制变化

The Effects of CSI 300 ETFs on Price Discovery Dynamics of Stock Index Futures:Considering Changes in Trading Mechanisms

本文研究了沪深300 ETF对股指期货价格发现动态性的影响.协整检验、永久短暂模型、信息份额模型、修正的信息份额模型等结果揭示,沪深300指数期货上市1年之后价格发现功能才逐步发挥,但价格发现能力非常不稳定,并且曾多次出现期货价格与现货价格不存在协整关系的现象.回归分析的结果提供了最早上市的几只沪深300 ETF的交易能有助于提升沪深300股指期货价格发现能力的证据,虽然不同ETF的影响不同以及不同时期影响会发生变化.股指期货宽松的持仓限额和较低的交易保证金会进一步增强股指期货的价格发现能力.相对地,融资融券放宽可以提升股票市场的价格发现能力.该结果支持了指数ETF可以促进股指期货的套利交易从而增强股指期货的价格发现能力的假设.

This paper studies the impact of the CSI 300 exchange traded funds(ETFs)on the price discovery dynamics of stock index futures.This paper adopts the rollingwindow estimation of cointegration test,permanent-transitory model(PT),information share model(IS),modified information share model(MIS).The results illustrate the great changes of price discovery ability of CSI 300 index futures since it begins to show some price discovery ability 1 year after launched.Moreover,the cointegration relationship between CSI 300 index futures and stock index does not exist in several periods.The results of regression models provide some evidence that the trading of CSI300 ETFs can improve the price discovery ability of index futures.When the regulatory authority deregulation of position limit and trading margin of stock index futures,the price discovery ability of stock index futures become enhanced.When the regulatory authority lowers the barriers of short selling and margin trading of stock market,the price discovery ability of stock market increase.The results support the hypothesis that index ETFs can facilitate arbitrage trading of stock index futures,thereby enhancing the price discovery ability of stock index futures.