股指期货不同推出方式对股票市场的影响

The Impacts on the Stock Market from Different Introduction Methods of Stock Index Futures

本文构建一个多期理论模型研究股指期货以非预期方式推出的影响。本文比较了它和按确定时间表推出这两种方式对股票现货价格、流动性以及波动性的不同影响。在无其他冲击环境下,我们发现按确定时间表推出期货,市场的流动性与波动性将增加,另外股市会在期货推出后短期下行。而以非预期的方式推出期货对市场的流动性与波动性的影响要低于前一种方式,且股市在期货推出后将短期上行,然后回调。如果管理层的目标是使股指期货推出对市场流动性和波动性冲击最小化,那么选择以非预期的方式推出更为合适。

This paper builds a multi-period model to analyze the impacts on the stock market when the stock index futures are introduced unexpectedly. The influences on stock prices, liquidity and volatility are compared between the expected and unexpected introductions of the index futures. Without exogenous shocks, we find that when the futures are introduced according to an announced schedule, the market liquidity and volatility will increase and the stock market will go down in the short run. While the impacts on the market liquidly and volatility will be smaller if the index futures are introduced unexpectedly and the stock market will go up in the short run. If the management objective is to minimize the impacts of the index futures on the market liquidity and volatility, an unexpected introduction method would be more appropriate.