试析最小报价单位对股指期货市场流动性和波动性的影响

The Effect of Minimum Tick Size on the Stock Index Futures Market's Liquidity and Volatility

沪深300股指期货市场在上市运行近两年后,需要根据市场运行质量对最小报价单位等交易制度进行优化设计。在已有模型仅通过流动性或波动性等单一指标分析基础上,扩展为流动性与波动性相结合的分析模型,并采用股指期货市场高频数据进行计量分析,结果表明:降低最小报价单位能够提高市场流动性和减少市场波动性,但对市场波动性的影响更大。有鉴于此,决策者需要综合权衡市场流动性和波动性来优化最小报价单位的设置。

Since CSI 300 index futures market has been introduced about two years, it should optimize the policy design of minimum tick size according to the market quality. This article combined the liquidity and volatility to analyze the effect of minimum tick size and expanded the single indicator models; it built econometric models base on high frequency data. The empirical study re suits show that decreasing minimum tick size would improve market liquidity and reduced market volatility, and it has stronger impact on market volatility. So the policy designers should consider both market liquidity and volatility to optimize the setting of minimum tick size.