高频类交易对股指期货市场的影响及探讨——基于近年股指期货市场规则调整的实证分析

The Influence of High Frequency Trading on Stock Index Futures Market in China:Based on an Empirical Analysis of Regulation Adjustment of Stock Index Futures Market in Recent Years

2015年中股票市场异常波动后,股指期货功能被推上风口浪尖,此后中金所调整交易规则,大幅调升交易手续费与保证金率,受此影响高频类交易受限显著,成交量相比受限前减少99%以上。本研究选取2011—2017年股指期货受限前后IF主力连续数据,消除股指本身影响后,通过引入虚拟变量的EGARCH模型分析股指期货交易规则调整后股指期货波动率变化,发现股指期货交易受限之后股指期货本身的波动放大,另外在高频类交易被显著限制的同时,体现套保功能的持仓量水平明显下降,表明市场套保与风险管理功能受到了限制。在定量研究的基础上,从市场实践维度定性分析了造成此现象的原因,并对市场与监管实践提供了一些研究支持与启示。

After the abnormal fluctuation of the Chinese stock market in 2015,the function of stock index futures had been highly controversial.Afterwards,CFFEX adjusted the trading rules,significantly raising the transaction fees and the margin rate,causing the high-frequency trades significantly restricted and a reduction of more than 99% of trading volume.This study selected the trading data of Index Future from2011 to 2017 and eliminating the influence of the stock index,by applying the EGARCH model,the study found that after the trading rules adjustment the volatility of stock index futures amplified.In addition,while high-frequency trading was significantly restricted,the level of stock index futures positions declined,indicating that market hedging and risk management functions reduced.Finally the study analyzed the causes of the phenomenon and provided some research supports and enlightenments to the market and regulatory practice.