大涨大跌时股指期货交易活跃程度与关注度

Investor activeness and attention in stock index futures market when stock market surges or crashes

研究了限制交易背景下股市大涨或大跌时投资者在股指期货市场的行为.基于沪深300股指期货交易数据、新闻数据和论坛数据构建活跃程度和关注度指标,从多角度实证分析了二者的关系.结果表明:市场大涨或大跌时投资者会更活跃地进入股指期货市场,大涨和大跌对投资者活跃程度的影响具有一定的不对称性;关注度与活跃程度之间存在一定的协整关系和格兰杰因果关系;投资者关注度越高,投资越谨慎,投机交易的活跃程度越低.监管者应逐步放开交易限制来提高股指期货市场对投资者的吸引力和关注度;同时,增加信息的曝光、鼓励投资者参与讨论,利用关注度降低信息不对称性的作用来抑制恶意投机和过度交易.

This research studies investor behaviors when the stock market surges or crashes in the context of trading restriction.Indexes of investor activeness and attention are constructed respectively,using the trading data,news and forum data of CSI300 futures,and their relationship is empirically investigated.The results show that when the market surges or crashes,investors trade in the stock index futures market more actively.The effects of the surge and crash on investor activeness are asymmetric to some extent.Meanwhile,there are a co-integration relationship and a Granger causality between investor attention and activeness.The higher the investor attention,the less active the speculation in the stock index futures market.These results suggest that regulators should gradually liberalize the trading restriction to attract investors and their attention.Simultane-ously,by increasing the disclosure of information and encouraging investors to discuss,malicious speculation and overtrading could be restrained.