中国股指期货市场与股票市场波动的动态关系——基于流动性因子的实证研究

Dynamic Relationship between Stock Index Futures Market and Stock Market Volatility:Based on Empirical Studies of Liquidity Factors

本文借鉴Bessembinder和Seguin建立的模型从价量角度实证研究了沪深300股指期货市场交易活动因素对股票市场波动的影响。实证结果表明,股指期货市场预期成交量对股票市场波动的影响显著,且预期成交量对股票市场波动有正向影响,股指期货市场持仓量对股票市场波动的影响不显著;股票市场预期成交量与非预期成交量对股票市场波动均有正向影响,且影响程度高于股指期货市场预期成交量。这说明自沪深300股指期货合约上市以来,股指期货市场顺利运行,其中,套期保值者交易活动对股票市场波动无影响,而股指期货市场整体交易活动则对股票市场波动有正向影响。

Learning from the model built by Bessembinder and Seguin, from the point of view of price- volume, this paper empirically examine the Shanghai-Shenzhen 300 stock index futures market trading activity factors impacting on the stock market volatility. The empirical results show that the expected volume in the stock index futures market has a significant positive impact on the stock market volatility, but positions in the stock index futures market has not significant impact on the stock market volatility. The expected and unexpected trading volume of the stock market have a significant positive impact on the stock market volatility and it is higher than expected trading volume of the stock index futures market in terms of degree of influence. Model results show that stock index futures market is running smoothly, hedgers trading activity has a smaller impact on the stock market volatility and overall trading activities of the stock index futures market has a positive influence on the stock market volatility since the 300 stock index futures contracts has listed.