引入境外投资者提升中国PTA期货国际定价影响力研究

Research on the Effect of Introducing Foreign Investors on Enhancing the International Pricing of PTA Futures in China

2018年11月30日,中国PTA期货实施引入境外投资者政策,对提高期货市场流动性及运行效率发挥积极作用。本文利用溢出指数模型度量中国PTA期货市场的国际定价影响力。在此基础上,运用多元线性面板回归模型分析引入境外投资者政策对中国PTA期货市场国际定价影响力的提升作用。结果表明:引入境外投资者政策显著促进了中国PTA国际定价影响力的提升,期货市场深度也显著提升了中国PTA期货的国际定价影响力;期货市场投机程度、市场波动率与中国PTA期货市场国际定价影响力之间均显著负相关。基于以上研究结论,得出如下政策启示:继续推进引入境外投资者政策,进一步拓宽期货市场开放范围;提升期货市场深度,促进期货市场的流动性提升;加强期货市场监管,抑制市场过度投机和市场过度波动,维护期货市场平稳健康运行。

On November 30,2018,China PTA futures market implemented the policy of introducing foreign investors,which has played a positive role in improving the futures market liquidity and running efficiency.This article uses the spillover index model to measure the international pricing influence of China's PTA futures market.On this basis,it uses a multiple linear panel regression model to analyze the enhancing effect of introducing foreign investor policies on the international pricing influence of China's PTA futures market.The re-sults indicate that the introduction of foreign investor policies significantly promotes the improvement of China's PTA international pricing influence,and the depth of the futures market also significantly enhances the international pricing influence of China's PTA futures;The de-gree of speculation in the futures market and market volatility have a significant negative impact on the international pricing influence of China's PTA futures market.Based on the above research conclusions,policy implications can be drawn:continuing to promote the intro-duction of foreign investor policies and further expand the scope of futures market opening;Enhancing the depth of the futures market and promoting the liquidity of the futures market;Strengthening the supervision of the futures market,curbing excessive speculation and volatili-ty in the market,and maintaining the stable and healthy operation of the futures market.