股指期货到期日效应研究综述

An Overview on the Expiration-day Effects of Stock Index Futures

股指期货可能会对股票现货市场产生的影响,将在到期日更为集中地表现出来。因此,自1982年美国首先推出股指期货后,监管层、学术界和投资者高度重视并深入研究了股指期货到期日效应。本文将从到期日效应产生的原因、检验方法、市场表现和影响因素等方面对已有研究作一综述,从两个市场在这一特殊时刻的极端关系表现研究入手,进一步厘清股指期货与现货市场的关系。

The influences on stock market from stock index futures market are fully revealed at expiration day. Thus after its launch in America, governments, scholars and investors have paid much attention on the research of stock index futures＇ expiration-day effects. This paper makes a review on the research before from its reasons, test methods, market performances and influence factors. This is helpful to make clear the relation between stock index futures market and stock market by researching the special time＇ s special exhibition.