摘要
自2010年中国金融期货交易所推出沪深300股指期货,股指交易成为国内关注的又一热点。本文通过引入保证金流动性成本概念,构建描述市场保证金与市场波动性关系的数理分析模型,从而首先从理论角度得出保证金与市场波动性及流动性关系的一般性结论;继而运用S&P500股指期货的真实交易数据进行了实证检验,验证了理论模型结论的有效性。本研究分析并验证了如下结论:股指期货保证金水平对股指期货市场流动性有反向的影响,而对市场波动性则有着正向影响。
Since 2010 when the CSI 300 Index Futures was launched in China Financial Futures Exchange, stock index transaction has been widely watched in China. This paper builds a mathematical analysis model to describe the correlation between margin and volatil- ity by introducing the concept of margin liquidity cost. The relationship between margin and market volatility and liquidity is obtained from the theoretical point of view and then the validity of the theoretical model is verified through the S＆P 500 stock index futures transaction data. This study analyzes and verifies the following conclusion： the stock index futures margin has positive impact on the market liquidity of stock index futures, and has a reverse effect on the market volatility of stock index futures.
出处
《管理评论》
CSSCI
北大核心
2013年第5期35-41,共7页
Management Review
关键词
股指期货
保证金
流动性
波动性
stock index futures
margin
liquidity
volatility
