股指期货对现货市场信息效率影响的实证研究

The Impacts of Stock Index Futures on Informational Efficiency of Cash Markets:An Empirical Study

成熟股票市场的信息效率在股指期货刚推出时(第一年)的信息效率或提高或降低,而新兴市场普遍降低;随着股指期货的发展及逐渐成熟与稳定,成熟市场和新兴市场的信息效率均随着股指期货的不同发展阶段呈现"先下降后升高"的趋势,表明从长期来看,股指期货对现货市场具有促进作用,两个市场最终趋于长期的动态均衡。

A novel measure of market informational efficiency, Approximate Entropy （ApEn）, is introduced in this paper, with which an empirical study was undertaken to discuss the impacts of stock index futures on informational efficiency of underlying cash markets. Results indicate that informational efficiency of advanced markets increase or decrease at the beginning of the index futures development, but pervasively decrease in emerging markets. Along with different developing phases of stock index futures, especially in ma- ture and stable phase, a trend of cash market informational efficiency, ＂decrease firsdy, then increase＂, was found, which implies that stock index future could promote underlying cash markets in a long run, and aporoach to dynamical equilibrium.