指数化的效率与问题：回顾与展望

Indexation:Review and Prospect

随着投资全球化和金融创新的发展,特别是以指数为标的的期货及期权等衍生产品的出现,指数逐渐成为直接投资的金融工具,使全球指数及指数化衍生品市场交易量日益增加。而研究者的实证也显示了指数对市场的作用:指数及其衍生品能够降低市场交易成本、提高指数成分股流动性、指数衍生品对信息的反应效率比现货高。目前指数化面临的问题包括内幕交易与操纵,以及股指期货异地上市的法律纠纷。指数化的两个重要趋势是指数的迷你化和指数的深入衍生化。

With the development of financial innovation and investment globalization, specially, emergence of stock index futures and options make index become direct investment tools, there is increase volume of stock index and its derivatives products. Empirical study show index function to market, include： index and its derivatives products can reduce market trade cost, improve liquidity of constituent stock, information efficiency of index derivatives products higher than its spot stock. This indexation is facing on insider trading, manipulation, and law bother of cross listing index futures. At last, the main trend of indexation is mini contract index and the deeper derivatives products.