股指期货推出对股票市场影响的实证研究

The Empirical Study on the Influence of the Stock Market's Impact Under the Introduction of Stock Index Futures

1982年2月24日,世界上第一个股指期货合约——价值线指数期货合约(Value Line Index)在堪萨斯市农产品交易所上市交易.股指期货作为应用最广泛的金融期货之一,已有了近30年的历史.2010年4月16日我国股指期货也正式上市交易,这对我国金融市场来说是具有里程碑意义的.本文以股指期货推出前后沪深300指数普通收益数据和5分钟高频收益数据为样本,从描述性统计量对比和GARCH模型分析两个角度入手,研究我国股指期货对于股票现货市场波动性的影响.得出结论:第一、股指期货推出不会改变股票现货市场的长期趋势;第二、股指期货推出后市场的信息传递速度加快,股指期货发挥了其价格发现功能;第三、股指期货推出在长期减小了现货市场的波动,发挥了其规避风险、稳定市场的功能.

On February 24 th,1982,the first stock index futures contract,Value Line Index,was listed in the Kansas City Board of Trade.As one of the most applied financial futures,stock index futures have a history of nearly 30 years.On April 16th2010,China has its own stock index futures,which is of great significance to Chinese financial market.This paper takes the ordinary incomes of Hushen 300 Index before and after the launching of the stock index futures and the 5-minute high-frequency return data as samples;with the analyses of descriptive statistics and the GARCH models,the paper studies the influence of Chinese stock index futures on the volatility of the spot market.And the conclusion of this research includes：first,the launching of the stock index futures will not change the secular trend of the spot market;second,the stock index futures expedite the transfer of the information and perform the best function in price discovery;third,the stock index futures limit the volatility of the spot market,avoid the risks and stabilize the market.