股指期货交易对股票市场操纵行为的影响

The Influence of Stock Index Futures Trading on Stock Market Manipulation

本文探究了2015年9月中国金融期货交易所对于股指期货交易规则做出重大调整前后的区别,发现该调整增强了股指期货交易对于股票市场操纵行为的抑制作用,说明该调整具有一定程度的有效性。稳健性分析表明,剔除熔断机制的影响、控制内生性问题以及更换被解释变量指标后,实证回归结果依然成立;影响机制分析发现,股指期货交易通过降低信息不对称性和市场波动性,遏制了市场操纵行为的发生;进一步研究发现,沪深300主力合约对于市场操纵行为的影响程度要强于非主力合约,股指期货交易对创业板、中小板和主板的市场操纵影响程度依次降低,中证500、沪深300和上证50对市场操纵的抑制作用依次递减。

This paper explores the difference before and after the major adjustment of China Financial Futures Exchange to the trading rules of stock index futures in September 2015,and finds that this adjustment has strengthened the restraint of stock index futures trading on stock market manipulation behavior,indicating that the adjustment has a certain degree of effectiveness.Robustness analysis shows that the empirical regression results are still valid after excluding the influence of the circuit breaker mechanism,controlling the endogenous problems,and replacing the explained variable indicators.The analysis of the influence mechanism finds that stock index futures trading can curb information asymmetry and market volatility,then reduce the occurrence of market manipulation.The further research shows that the influence of CSI 300 main contracts on market manipulation behavior is stronger than that of non-main contracts,the degree of influence of stock index futures trading on the market manipulation of ChiNext,SME Board and the Main Board decreases successively,and the restraining effect of CSI 500,CSI 300 and SSE 50 on market manipulation decreases successively.