股指期货对股票市场的波动性影响研究:基于正反馈交易角度的分析

Study of the Impact on the Stock Market Fluctuation from the Stock Index Futures:Based on the positive feedback trading perspective

理论上,股指期货的推出可以抑制正反馈交易行为,从而平稳市场价格剧烈波动,为投资者提供了新的风险管理工具.我国沪深300股指期货推出至今,其对股票市场的影响,及其是否真的发挥降低证券市场波动性的作用等问题成为学术界研究的热点之一.以沪深300股指为研究对象,从正反馈交易行为是否减少的角度出发,使用非对称GARCH(1,1)模型,对比研究沪深300股指推出前后我国股票市场波动性的变化情况.研究结果发现沪深300股指尚不能很好发挥抑制市场波动的作用,仍需对股市进行长期持续的观察、验证,全方位发展我国的资本市场,提供多元化的投资工具,促进资本市场的发育成熟.

In theory, the stock index futures can inhibit positive feedback trading, avoid market price fluctuating violently, and provide a new risk management tool for investors. Since the CSI 300 index futures was introduced to the market, whether it could reduce the market fluctuation and have some influence to the market have been the hot issues in academic research. This paper takes the CSI 300 index futures as sample, and uses asymmetric GARCH （1, 1） model to study the changes of Chinese stock market fluctuation before and after the introduction of the CSI 300 index futures. Our results show that the CSI 300 index futures do not reduce the market fluctuation effectively. It is still necessary to keep observing the market. What＇s more, in order to promoting the development of capital market, enhancing the information allocation efficiency and providing diversified investment tools are very important.