股指期货推出对现货市场价格影响的理论分析

A Theoretical Study of the Dynamic Effects of the Introduction of Stock Index Futures on the Stock Market Price

本文构建一个由策略交易者、趋势跟随者、流动性提供者以及套利者组成的多期多市场决策模型,分析在股指期货推出时间给定的条件下,推出前后大盘价格的变动。我们发现,股指期货的引入对股票现货市场的短期效应受市场跟风行为的强弱,即羊群效应大小的影响。当跟风程度较弱时,股指在期货推出前短期下跌,推出后继续下跌;而当跟风程度较强时,股指在期货推出前短期上涨,推出后则下跌。由于国内投资者具有很强的跟风倾向,该模型预测股指期货在推出前短期内将抬高大盘,推出后则压低大盘。另外,股指期货的推出也可能降低市场的波动性。

This paper develops a multi-period and multi-market decision model with a strategic trader, many trend followers, a liquidity provider, and an arbitrager between stock index cash and futures markets. It studies the price dynamics of the stock market when all investors know the timing of the introduction of Stock Index Fu- tures （SIF）. The paper shows that the short term effects of introducing SIF contract on the stock market is mainly determined by the strength of the herding behavior. When the herding behavior is weak, the stock market decreases before as well as after the introduction of SIF. However, when the herding behavior is strong, the stock market rises before introducing SIF but falls after its introduction. Because of the strong herding tendency in Mainland of China, the authors predict that the stock market increases before the introduction of SIF, but decreases afterwards and the introduction of SIF may decrease the market volatility under certain conditions as well.