股指期货、现货市场流动性之间的周期联动效应

Cyclical Co-movement Effect of Market Liquidity between Stock Index Spot and Its Futures

基于"价格尺度"与"时间尺度"等因素构建了股指期货市场流动性的新指标,并从周期性视角利用频谱分析法研究了股指期货、现货市场流动性之间的联动效应。选择2010年5月—2016年7月沪深300指数及其股指期货的日度数据进行实证,单谱分析表明股市流动性的主周期比股指期货市场流动性长1个多月,但两者的次周期比较接近;交叉谱分析发现两类市场流动性在2015年9月前后存在结构性差异,周期同步性由弱变强,交互敏感性由双向变为单向且影响程度也有所增强,领滞时间明显缩短。可见,调控政策的出台对两类市场流动性之间的周期联动关系影响显著。

The paper constructs a new index of the market liquidity of the stock index futures based on “price -scale” and “time-scale”, and investigates the co-movement effect between stock index spot liquidity and stock index futures market liquidity by using spectrum analysis from the perspective of cyclicality. The empirical analysis is conducted by using the daily data of CSI 300 stock index and its futures from May 2010 to July 2016. The single spectrum analysis shows that the main cycle of the stock market liquidity lasts over one month than stock index futures market liquidity while their minor cycles are very close. Meanwhile, the co-spectrum analysis reveals that there exist some structural differences between these two market liquidity types around Sept. 2015. The cycle synchronization has turned from weak to strong. The mutual sensitivity has turned from unilateral to bilateral and its effect has become enhanced. The lag-leading time becomes significantly shorter. Therefore, the regulatory policies have a dramatic impact on the cyclical co-movement between the two market liquidity types.