股市危机中股指期货应该限制交易吗——基于2015年股市危机的实证分析

Should Stock Index Futures be Restricted Trading in the Stock Market Crisis:Evidence from the 2015 Chinese Stock Market Crisis

利用上证50、沪深300和中证500股指期货合约及其相应指数的高频数据,克服了传统BEKK和DCC模型的不足,通过建立VECM-DCC-VARMA-AGARCH模型考察股市危机期间中国股指期货市场与股票市场之间的信息传导关系与风险传染效应。研究结果表明,股市危机期间股指期货具有很强的价格引导和风险传染效应,股指期货的持续波动加剧了股票市场的进一步波动。因此,提出风险传染效应与市值规模相关、非对称效应和非预期冲击效应与市值规模负相关、波动的风险传染效应与市值规模正相关。危机时期,应抑制股指期货市场上的过度投机,对股指期货采取限制开仓、提高交易保证金和交易手续费都是正确和切实可行的措施。建议监管当局健全股指期货和股票市场交易制度。

Using high frequency SSE 50 Index, d300 INDEX, CSI SmallCap 500 index and the corresponding stock index futures data in China, this paper investigates the linkage effect between Chinese three stock index futures markets and stock markets during crises. In this paper, we study the price transmission and risk contagion effect between these two markets during crises, using VECM-DCC- VARMA-AGARCH model. The empirical results show that there is strong price transmission and risk contagion effect from index futures market to stock market, and the prior volatility of stock index futures increases the volatility of spot index. This paper first proposed that the risk contagion effect is related to the market value, asymmetric effects and non-expected impact effects are negatively related to market value, and the risk contagion effect of volatility is positively related to market value. In the crisis period, the excessive speculation in stock index futures market should be suppressed, and limiting positions, improving the trading margin and transaction fees of stock index futures are correct and feasible measures. We suggest that the regulatory authorities to improve the stock index futures and stock market transaction system.