异常波动中股指期货和现货市场信息传导机制

Information transmission between futures and spot markets of the stock index in the abnormal market

实证分析了2015年中国股票市场异常波动前后,沪深300股指期货与指数现货市场的动态关系.利用1min高频数据和日数据,构建向量误差修正模型.结果表明,在正常的市场状态中,期货市场对偏离长期均衡关系的反应和调整速度比现货市场反应速度快;但是在2015年股票市场异常波动中,现货价格对偏离长期均衡关系的反应速度更快.此外,利用脉冲响应函数研究变量受到冲击时对系统的动态影响,发现在异常波动市场中,现货价格受自身冲击的影响大于受期货市场冲击的影响.可见,2015年股票市场现货价格的剧烈波动并不是由股指期货交易引起的,本轮市场异常波动的原因不应该归咎于股指期货.

This paper analyzes the dynamic interactions between CSI300 index and index futures prices before and after the market crash of 2015. Using vector error correction model based on the minute and daily data, it shows that, in normal markets, index futures adjusts faster than stock index to the equilibrium when facing dis- equilibrium errors, while stock index reacts faster in the abnormal market of 2015. Impulse response function analysis also points out that the impulse of stock index plays a larger role than the impulse of index futures on spot market price changes in abnormal markets. In conclusion, the abnormal fluctuation of stock index market in 2015 may not be caused by index futures wading, and index futures should not be blamed as the cause of the market crash.