A50股指期货对我国内地股市波动性影响实证研究

An Empirical Study of A50 Stock Index Futures' Impact on Stock Market's Volatility in China

股指期货异地上市不仅会对本土股票市场和衍生品市场产生多方面的影响,而且涉及到本土市场金融定价权等一系列问题。本文通过建立ARMA-GARCH和ARMA-EGARCH模型,研究了新加坡富时A50股指期货的推出对我国股市的影响,结果发现股指期货异地上市减缓了信息向我国股市的传递速度,并且使得旧信息对股票市场影响的持续性增强。面对股指期货异地上市带来的影响,加强跨市场监管才是解决问题的关键所在;此外还应加快完善本土股指期货制度,保护本土市场定价权,降低异地上市股指期货对本土的影响。

Stock Index Futures overseas listing will not only affect the local stock market and derivative market, but also involve a series of financial problems, such as pricing power contest. In the paper, we investigate the impact of the FTSE A50 Index Futures＇ listing in Singapore on China stock market through ARMA-GARCH and ARMA-EGARCH model. Empirical results show strong evidence that overseas-listed index futures slow down the information transmission speed to China stock market, and strengthen the sustainable effects of the old information on local market. Faced with the impact of Stock Index Futures overseas listing, the key to solve the problems is enhancing cross-market surveillance. In addition, it is also important to improve the market environment, protect the market pricing right and decrease the impact of stock index futures overseas listing on local stock market.