正反馈交易、风险溢出与瀑布效应——基于沪深300现货指数与期货指数联动作用的经验研究

Positive Feedback Trading,Risk Spillover and Cascade Effect ——An Empirical Analysis of the Interactive Effects Between CSI 300 Stock Index and Futures Index

利用VAR模型和ARCH系列模型,对2015年沪深300现货指数及期货指数之间的联动关系进行了计量检验,研究结果表明:正反馈交易行情下,沪深300指数现货市场与期货市场之间形成了风险溢出和波动积聚的联动反应,并在流动性约束的条件下不断循环和加剧,最终引发了股指断崖式下跌的"瀑布效应"。进一步的分析揭示:市场交易主体的结构失衡、交易制度的不完备、噪声交易者的"羊群行为"及监管措施的反应滞后是"瀑布效应"形成的重要原因。

The VAR model and a series of ARCH models were used to test the interactive effects between CSI 300 stock index and futures index in 2015. The results showed that under the positive feedback trading quotation, the risk spillover and fluctuating accumulation are formed between Shanghai and Shenzhen 300 index spot market and index futures market ,which recycle and intensify under the constraint of liquidity, ultimately leading to the violent falling of stock indexes （i. e.,cascade effect）. The further analysis revealed that the important reasons for forming the cascade effect are structural imbalance of market traders, imperfect trading system,“herd behavior” of noise traders and delayed reaction of regulatory measures.