严苛交易管制下期货市场套期保值效率的贝叶斯研究——基于中金所2015年管控行为自然实验

Bayesian Research on Futures Hedging Efficiency under Strict Transaction Regulations——Based on the Natural Experiment of CFFE’s Control Behavior in 2015

2015下半年,中国金融期货交易所对股指期货市场实施严苛交易管制。本文利用贝叶斯统计推断理论和Gibbs抽样方法,基于境内沪深300和境外新华富时A50股指期货不同阶段套期保值效率的比较,对"正常条件和严苛交易管制条件下,期货市场套期保值效率究竟会有什么变化"这一问题进行研究。实证结果表明:境内沪深300股指期货上市初期,套期保值效率不如更早上市的境外新华富时A50股指期货;经过交易机制的逐渐完善和交易成本的下降,境内沪深300股指期货的套期保值效率开始优于境外新华富时A50股指期货;自2015年下半年始,境内股指期货市场交易成本大幅上升,对交易行为的行政管制日益频繁和严厉,最终导致境外新华富时A50股指期货的套期保值效率再次显著优于境内沪深300股指期货。本文认为:境内和境外股指期货市场的竞争,核心并不在于上市地点,而在于宽松的监管环境和制度、较低的交易成本、较少的行政管制以及灵活的交易机制等。

In the second half of 2015,the China Financial Futures Exchange implement strict transaction regulation on the stock index futures market.This paper uses the Bayesian Gibbs method to compare the hedging efficiency of CSI 300 and FTSE A50 index futures at different stages to explore the impact of harsh transaction regulation on the hedging function of China A-share stock derivatives market.The empirical results show that the hedging efficiency of CSI 300 Index Futures is not as good as that of FTSE A50 Index Futures listed earlier.After the gradual improvement of trading mechanism and the decrease of transaction cost,the hedging efficiency of CSI 300 index futures is better than that of FTSE A50 index futures.However,in the second half of 2015,the strict transaction regulation on the domestic stock index futures market make the standard of abnormal transaction behavior more strict,and the administrative control on transaction behavior more frequent and severe.Therefore,the transaction cost increase dramatically and the transaction volume decrease dramatically.Event-ually,The hedging efficiency of FTSE A50 index futures is again significantly better than of the CSI 300 index futures.Combining with previous studies,this paper argues that the core of the competition of domestic and overseas stock index futures market is not the place of listing,but the relaxed regulatory environment and system,lower transaction cost,less administrative regulation and flexible trading mechanism.