股指期货抑制股市正反馈交易的效果及作用机制分析——对全球主要市场的实证检验

Analysis on Stock Index Futures' Inhibiting Effect on Positive Feedback Trading in Spot Markets and Its Mechanisms:An Empirical Study on Global Main Markets

普遍存在的正反馈交易行为,加剧股市波动,必须加以有效治理。本文以正反馈模型为基础,对包括新兴市场在内的全球10个代表性指数进行实证检验。结果表明,上市股指期货能够有效抑制股市正反馈交易,这补充和完善了Antoniouetal.(2005)的工作。本文进而分析了股指期货发挥作用的五条渠道,并认为上市股指期货能够进一步完善内在稳定机制。

The positive feedback trading exists globally and destabilizes the spot markets, and it should be governed effectively. Based on the feedback trading model, this paper makes empirical analysis on ten representative indexes including emerging markets, and finds out that index future helps reduce the impact of positive feedback trading. Also, this paper supplements and improves the paper of Antoniou （2005）. Moreover, this paper analyzes five main channels which index future plays its role, and considers that launching index future can promote the stabilization of local stock markets.