股指期货是否抑制了股票市场的正反馈交易?——基于沪深300股票指数的实证检验

Have Stock Index Futures Reduced the Positive Feedback Trading of Stock Market?——An Empirical Analysis Based on CSI 300 Index

借助正反馈交易模型和EGARCH模型,引入股指期货交易的虚拟变量,对我国沪深300股票市场的正反馈交易进行了检验,结果表明:股指期货引入后股票市场在新信息冲击下的正反馈交易倾向受到抑制,但滞后信息冲击的影响依然显著,正反馈交易具有长期记忆特征。究其原因在于股指期货的引入虽然改变了股票市场的信息反应模式,但并没有提升市场的信息效率,即股指期货市场率先反映市场信息变化,但这种变化并未通过指数套利有效传递到股票现货市场,导致股票现货市场对新信息反应滞后,投资者决策更多依赖滞后信息,形成了正反馈交易的滞后显著特征。

Based on the positive feedback trading model and EGARCH model with stock index futures trading used as a dummy variable,the positive feedback effects of CSI 300 index market are tested.The test results show that the introduction of stock index futures has inhibited the positive feedback trading of CSI 300 stock market under the current information shock,but it has not eliminated the long-term dependence of positive feedback trading under the lagging information shock.The reason lies in that the introduction of stock index futures has changed the information response mode of the market,but it has not improved the information efficiency,that is,although the stock index futures market has played a leading role in responding to changes in market information,this change has not been passed onto stock market efficiently through the index arbitrage,which causes the lagging reaction of stock market to the new information.The investors decision-making relies more on the lagged information,resulting in a significant lagging effect of positive feedback trading.