股指期货投机者与股票市场波动率——来自沪深300指数期货的经验证据

Index Futures Speculators and Stock Market Volatility——Evidence from CSI 300 Index Futures

基于2010年5月至2015年4月A股和股指期货的数据,结合倾向性得分匹配与差分回归等方法,分析股指期货投机者对股市波动的影响。研究发现:股指期货投机者总体上并未显著影响股市波动率;市场流动性较好时,股指期货投机增加伴随着股市波动率降低;市场流动性较差时,股指期货投机者对波动率没有明显影响。

Based on data from A shares and index futures from May 2010 to April 2015, this paper adopts the methods of propensity score matching （PSM） and differential regression in its analysis of the impact of index futures speculators on stock market volatility. It is found that index futures speculators don＇ t significantly influence the stock market volatility. Under good market liquidity, index futures speculation is negatively related to stock volatility while this negative relation disappears under weak market liquidity.