沪深300股指期货市场功能发挥的经验研究

An Empirical Study of the Market Function of Shanghai and Shenzhen 300 Stock Index Future

2010年4月16日,沪深300股指期货正式启动。现选取沪深300股指期货上市前后各两年(2008年4月15日-2012年4月16日)的期货、现货价格数据和交易量数据,通过分解交易量的方法,运用EGARCH模型检验沪深300股指期货的市场稳定功能;运用VECM模型检验其价格发现功能。结果显示,推出两年后,沪深300股指期货确实在一定程度上发挥了市场稳定与价格发现的功能。总体而言,沪深300股指期货虽然仍有改善的空间,但它却是我国在金融衍生品交易领域的一次成功尝试。未来我国进一步推出其他类型的金融衍生品,应当充分借鉴沪深300股指期货的成功经验。

On April 16th 2010,Shanghai and Shenzhen 300 stock index future was launched. In order to test whether it has performed well in stabilizing the volatility or price discovery in these two years,in this paper,we will do some empirical study on this subject. We select the newest daily price and volume of trade data in both future and stock markets( from April 15th 2008-April16th 2012). Through analyzing the volume of trade,we examine the impact of the launch of HS300 on stabilizing the volatility in EGARCH model; besides VECM model is used to text the function of price discovery and it turns out that HS300 has done well in both price discovery and stabilizing volatility in some extent. In general,although far form perfection,HS300 is a successful attempt in the field of Financial Derivative Instrument,whose experience should be used for reference if other new Financial Derivative Instruments are to be launched in the future.