股指期货额外30分钟交易时间真的没有价值吗?——来自中国准自然实验的经验证据

Does the Extra 30-Minutes Trading Time of Stock Futures Destabilize the Stock Market: A Quasi Natural Experimental Evidence from China

2016年1月,股指期货交易规则进行了大幅度调整,相对于股票现货额外的30分钟连续竞价交易时间被取消,股票指数期货和现货交易时间同步。交易时间的调整为我们研究股指期货额外30分钟交易时间是否加剧了现货市场的波动提供了一个准自然实验样本。本文借助EGARCH-X模型研究发现,在IF股指期货交易时间缩短前,额外30分钟的期货交易能够对冲昨日现货市场的上涨或下跌,吸收现货收盘阶段的各种消息和冲击,进而降低接下来的现货交易的波动率。借助VECM-GJR-BEKK模型,我们发现在2016年1月之前的9:30~15:00同步交易时间段,两个市场存在着双向波动溢出,9:15~15:15的期货与9:30~15:00的现货不存在双向波动溢出。在2016年1月之后,仅期货市场对现货市场存在单向波动传导,而现货市场无法对期货市场输出波动。因此,期货额外30分钟的交易时间是有价值的,本文建议尽快恢复股指期货盘后和盘前额外的30分钟交易时间,让市场有更多的时间来吸收冲击,平滑波动。

During the stock market crash in 2015, stock futures have been widely criticized, which accuse the extra 30 minutes trading time of stock futures misleading stock spots. The cancellation of the extra 30 minutes trading time which means the spots trade synchronously with the futures provides a quasi natural experiment to examine the criticisms. A VECM-GJR-BEKK model is employed to investigate the varying spillover effects between the futures and spots due to the cancellation of the extra trading time. Before the cancellation, the spots have spillover effects on the futures with extra 30 minutes trading time, while the futures with extra trading time have no significant spillover effects on the next day’s spots. The futures have spillover effects on the spots, but the opposite spillover effects don’t hold after the cancellation. The conclusion is that the futures shouldn’t be responsible for the 2015 stock markets crash. The policy implication is to restore the extra 30 minutes trading time of stock futures which could absorb the shocks during the inactive time of the spots, thus smooth the volatility of the spots.