股指期货会带来瀑布效应吗?——来自次贷危机的证明

Will Stock Index Futures Bring About the Waterfall Effect Right? ——Evidence from the Sub-prime Mortgage Crisis

布雷迪报告认为股指期货的瀑布效应是1987年美国股灾的重要原因。然而,在这次美国次贷危机引发的全球金融危机中,尽管世界股票现货和期货市场都出现了大幅暴跌,但无论是简单数量统计还是计量分析,都没有发现瀑布效应存在的证据。相反,股指期货为现货市场稳定发挥了积极的促进作用,对现货市场的过度反应起到了一定修正功能。

Brady reports that the waterfall effect of stock index futures in 1987 is an important reason why the U. S. stock market crashed. However, in the global financial crisis resulted from American sub -prime mortgage crisis, despite the world＇s stock spot and futures markets have all experienced a significant fall, but neither simple quantitative statistical nor econometric analysis has found evidence for the existence of waterfall effect. In contrast, index futures have played an active role in maintaining the stability of the spot market, and a certain correction function on the over- reaction with spot market.