股指期货对股市波动性影响研究

Research on the Impact of Stock Index Futures on Stock Market Volatility

股指期货上市对股市波动的影响是国内外关注和争议的重要问题。本文选取沪深300股指期货及对应指数的日数据,通过构建计量模型,探寻“期-现”货波动规律及相关性,比较分析不同限制程度下,股指期货对股票市场波动性的影响。研究表明:沪深300股指期货价格发现功能的强弱与股指期货市场的限制程度直接相关。受中金所对股指期货交易限制的调整,交易活跃的股指期货市场能更有效地发挥期指对股指的价格引导作用,减缓股市的波动,稳定市场。

The impact of stock index futures listing on stock market volatility is an important issue of domestic and international attention and controversy. This paper selects the daily data of CSI 300 stock index futures and corresponding index, and builds the econometric model to explore the "period-current” volatility law and correlation, and compare and analyze the impact of stock index futures on stock market volatility under different restrictions. The research shows that the strength of the CSI 300 stock index futures price discovery function is directly related to the degree of restrictions in the stock index futures market. The stock index futures market, which is supported by policies and active in trading, can more effectively play the price guiding role of the index index on the stock index, slow down the stock market volatility and stabilize the market;while the stock index futures after the restricted trading will lose the price discovery function and aggravate the stock market volatility.