从中国股指期货境外的联动看我国股市定价权

Offshore Stock Index Futures' Influence on Mainland Stock Market

境外推出具有中国概念的股指期货交易,在一定程度上夺走了境内股票现货市场的定价权,并可能威胁我国金融安全。研究境外股指期货市场与境内A股市场之间的价格发现和波动溢出过程,有助于深化股指期货的价格发现理论,识别各个市场在价格发现中作用的大小。本文以香港H股指数期货与新华富时A50指数期货为样本,研究了境外异地上市股指期货与A股指数之间的价格发现、波动溢出等联动效应。研究发现:香港H股指数期货是大陆主要股指的Granger原因,其波动也会溢出到A股市场;新加坡新华富时A50指数期货对A股市场尚未发现明显的均值和波动溢出效应,相反,它更多地受到了A股市场的影响。最后,论文提出了我国控制A股定价权和开展股指期货的一些建议。

The paper discusses the influences of H stock index futures and FTSE/Xinhua AS0 stock index fu- tures on mainland stock market. The paper finds that offshore H stock index futures have significant influences on domestic A share market; there are cointegration between Hongkong H index futures and A stock index. Fur- thermore, H stock index futures granger causes domestic A stock index. However, Cbinese stock market uni-di- reetional influences on Singapore FTSE/Xinhua futures. At last, some suggestions are put forward.