管控股指期货的救市政策有效吗?——基于现货市场波动率的视角

Is the Control of Index Futures Effective?——from the Perspective of Spot Market Volatility

2015年中国股票市场出现异常波动,中金所出台了提高交易手续费及保证金比例等限制股指期货的救市政策。本文运用双重差分模型(DID),将沪深300及中证500指数成分股作为实验组,匹配相应的非成分股,研究限制股指期货政策对于不同组别股票波动率的影响。研究结果表明,对沪深300和中证500指数成分股,该政策短期内显著降低了股票现货市场的波动率;进一步研究发现,对那些噪音交易含量高的股票,政策的效果更明显。

In mid 2015, China＇s stock market experienced abnormal fluctuations. CFFEX has implemented policies such as increasing the transaction fees and margin to restrict index futures trading. This paper explores the policy＇s influence on the spot market volatility using Difference-in-Difference（DID） model. The results show that for both the CSI 300 index and the CSI 500 index, the policy significantly reduces the volatility of the spot market in the short term. The policy is more effective for stocks with a higher proportion of noise trading.