股市的暴涨暴跌受多种因素的影响,从宏观层面看,本次股市
暴涨暴跌的根本原因是投资者对企业转型、国企改革的过高预期与
短期经济表现未达预期的矛盾;从微观层面看,股市暴涨暴跌的直
接原因是多空不均衡、杠杆不合理等股票市场制度缺陷
为了检验股指期货在股市异常波动时是否加剧了股价下跌,本
文采用Chen Hsiao et al. (2012)提出的一种面板数据政策效应评估
方法,实证分析了中证500股指期货制度的推出及变化对股市波动率
的影响,该方法克服了 GARCH和双重差分等经典模型严格的假设条
件。首先,通过观测调整拟合优度的变化选出与股指期货成分股相
对应的非指数股,构造反事实波动率路径;然后,通过对比实验组
与对照组的波动率,发现在股市暴涨暴跌阶段,股指期货制度的变
动对股股价波动率的影响并不显著;此外,对融资融券因素的分析
表明股指期货和融资融券具有协同作用
本文定量分析了股指期货和股价波动的关系,定性分析了股市
异常波动的原因。结果表明,股指期货股指并非股市暴跌阶段的
“元凶”,而且在股市平稳阶段股指期货有效降低了股价的波动。最
后,本文提出了完善风险对冲工具、优化杠杆结构和建立舆情反馈
机制等政策建议,以期为我国股指期货的发展提供借鉴和参考,尤
其在股市异常波动情况下,监管部门应谨慎对待股指期货,防止现
货市场“踩踏”
关键词:股指期货波动率暴涨暴跌政策效应评估 EMPIRICAL RESEARCH ON THE IMPACT OF CSI
500 STOCK INDEX FUTURES ON STOCK
VOLATILITY
ABSTRACT
The Chinese stock market had experienced “abnormal fluctuations”
from June to August in 2015, which was considered to be irritated by the
implementation of Stock Price Index Futures (SPIF); meanwhile, the China
Financial Futures Exchange (CFFE) implemented a series of measures,
including position limit reduction, increasing margin and transaction rate,
etc., to limit the interchange of Stock Index Futures. Though the Stock
Index Futures provide investors with a risk-hedging tool, its leverage effect
and short mechanism can breed the increase of speculation, thus
exacerbating market volatility.
The soaring and slumping stock market is affected by various factors.
On the macroscopic level, the root cause lies in the fact that the investors
have a high expectation of the transformation of the corporations and the
reform of the state-owned enterprises, which is unmatched by the short
term economic perforaiances; from the microscopic perspective, the direct
cause is attributed to the defects in the stock market system, such as the
imbalanced long-short mechanism and the unreasonable leverage mode.
In order to inspect whether the stock index futures has exacerbated the
falling stock prices when the stock market encounters abnormal
fluctuations, this paper adopts a panel data policy effect evaluation method
based on Cheng Hsiao (2012), and makes an empirical study on the impact
of the CSI 500 Stock Index Futures on the stock market volatility. This
method overcomes the disadvantage of the classical modes like GARCH
and difference-in-difference. First, through observing the changes of AGFI,
the non-index stocks corresponding to the stock index futures are selected
and the counter-fact volatility path is constructed; then, By means of comparison and contrast between the realized volatility and the predicted
volatility, we find that the impact of the Stock Index Futures alteration on
the stock price volatility is not dramatic; in addition, the analysis of the
margin trading factor demonstrates Stock index futures and margin trading
have synergy.
This paper approaches the relationship between Stock Index Futures
and the stock market volatility quantitatively, and makes a qualitative
analysis of the causes resulting in the abnormal stock market volatility.
With the conclusion that the Stock Index Futures is not the “culprit” that
leading to the soaring and plunging stock market, on the contrary, it can
effectively reduce the volatility of the share price when the stock market
functions well. Last but not least, this paper puts forward relevant political
suggestions, such as consummating the risk hedging tools, optimizing the
lever structure, and establishing the public opinion feedback mechanism,
etc” so as to provide reference for the development of the Stock Index
Futures in China, particularly, under the circumstances of abnormal
fluctuation of the stock market, regulatory authorities should be prudent on
the Stock Index Futures, avoiding the “stampede” of the spot market.
KEY WORDS: Stock Index futures Volatility The instability of
financial markets Policy evaluation
0 目录
第一章绪论 1
1.1选题背景及意义1.1.1国际股指期货的产生及发展1.1.2国内股指期货的发展1.2研宄内容及创新点1.2.1本文研究内容1. 2. 2本文创新点及不足文献综述2.1国外文献综述2.2国内文献综述2. 3研究方法综述2. 3. 1相关研究方法概述2. 3. 2面板数据政策评估方法2. 3. 3研宄方法总结第三章股指期货基础理论及暴涨暴跌成因分析3.1股指期货概述3.2股指期货基础理论3.2.1股指期货特征3. 2. 2股指期货功能3. 2. 2股指期货风险3.3中证500股指期货3.3.1中证500指数3. 3. 2中证500指数期货发展历程3. 3. 3中证500指数期货合约
21
3. 4股市暴涨暴跌原因分析
22
3. 4.1宏观经济层面
22
3. 4. 2金融市场制度缺陷
24
3. 4. 3监管层面
26
第四章实证研宄
27
4.1数据选取
27
4. 2控制组选择
29
4. 3实证分析
30 4. 4研宄结论
33
第五章股指期货发展的不足与政策建议
35
5. 1股指期货市场发展的不足
35
5.1.1股指期货投资门槛高
35
5. 1.2股指期货品种较少
35
5. 2政策建议
36
5. 2. 1统一监管配资业务,优化杠杆结构
36
5.2.2完善风险对冲工具,均衡多空
36
5. 2. 3提高机构投资者比例,倡导理性投资
36
5.2.4建立舆情反馈机制,规范上市公司行为
37
第六章总结与展望
38
6.1总结 38
6. 2展望 38
輯文献 40
致谢 44
附录 45
社期酿表论文
47
第一章绪论
第一章绪论
2010年我国正式推出沪深300股指期货和融资融券制度,从此我国股票市
场进入了多空双向交易的新时代。2015年正式推出中证500股指期货,同年6月
4日,IC1506成交额8057亿元。虽然国内股指期货交易制度己发展6年时间,
部分文献也证实了股指期货有稳定股价的作用,但其杠杆效应和做空机制会增加
投资者的投机行为进而加剧市场的波动
在2014年国企改革、IP0重启、沪港通推出、央行降息等一系列政策利好的
推动下,中国股市迎来了 2015年1月至6月的罕见牛市行情,上证指数在2015
年6月12日攀升至最高点的5166. 35。但是从2015年6月15日至2015年6
月29日,股市连续下跌至3875. 05, 8月18到26日上证指数从最高点4006. 34
下跌到2850.71,两次股灾期间监管层连发多重利好亦未能阻止空方大幅杀跌
2015年股市的两次大跌引发了社会对股指期货做空交易制度的广泛质疑,甚至
被认为是此次暴跌的罪魁祸首。与此同时,中金所采取了调整交易时间、限手、
提高费率等一系列限制股指期货交易的政策制度。不禁让人质疑,股指期货交易
制度是否在国内股市起到了稳定市场价格的作用这个问题的答案对进一步规
范股指期货交易制度,促进市场发展具有重要意义
关于股指期货和股价波动性的研宄,国外文献主要四种观点即增加了波动、
降低了波动、无显著影响和领先滞后关系。国内的文献大多认为股指期货降低了
股票市场的波动及两者之间具有领先滞后关系,如国内文献基于对沪深300股指
期的研宄,通过对比股指期货推出前后时间段的日均振幅和月均振幅变动,得出
沪深300股指期货显著降低了股票市场的波动。沪深300股指期货标的指数的标
的股多属于大盘股,对于中小盘股票的借鉴意义有一定的局限性,因此本文主要
研究中证500股指期货的推出对现货市场的影响,以便评价中小盘股票股指期货
对股市的影响
本文首先介绍研宄的背景及意义,对国内外股指期货相关的研宄进行文献综
述,回顾了股指期货的基础理论并分析了股市暴涨报的主要原因。通过对比分析
文献中政策效应相关的研究方法及其它行业的研宄方法,发现政策效应评估方法
[1]可以克服GARCH和双重差分等经典模型严格的假设条件,更适合研宄股指期货
政策变动对股价波动的影响,因此本文采用此方法对中证500股指期货进行了实
证分析。实证分析后发现,股指期货并非股市暴涨暴跌的“元凶”,接着对我国<
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