印度外汇期货推出对即期外汇市场的影响研究

On the Impact of the Launch of India's Foreign Exchange Futures on the Spot Foreign Exchange Market

本文在以往研究的基础上,运用EGARCH模型与格兰杰因果关系等计量方法对比外汇期货推出前后即期汇率的波动及流动性,并得到以下结论:一是印度外汇期货推出后投机活动对即期市场的波动率没有显著影响;二是外汇期货推出后现货市场的买卖价差减小,说明外汇期货市场有助于降低交易成本与提升现货市场的运行效率。

Based on the previous researches,the article uses EGARCH model and econometric methods such as Granger causality to compare the volatility and mobility of the spot exchange rate before and after the launch of foreign exchange futures,and reaches the following conclusions:first,the speculation introduced by the launch of India's foreign exchange futures has no significant impact on the volatility of the spot market;second,after the launch of foreign exchange futures,the bid-ask spread in the spot market is reduced,indicating that the foreign exchange futures market helps reduce the transaction costs and improve the operating efficiency of the spot market.