基于面板政策评估方法的股指期货推出效应研究

doi:10.12005/orms.2018.0195

运筹与管理 ›› 2018, Vol. 27 ›› Issue (8): 162-171.DOI: 10.12005/orms.2018.0195

基于面板政策评估方法的股指期货推出效应研究

高扬^1,2,孙便霞³,王超^1,2

1.北京工业大学经济与管理学院,北京 100124;
2.北京现代制造业发展基地,北京 100124;
3.南方科技大学金融系,广东深圳 518055

收稿日期:2017-04-10 出版日期:2018-08-25
作者简介:高扬(1988-),女,山东烟台人,副教授,博士,研究方向:金融市场微观结构、金融结构;孙便霞(1982-),通讯作者,女,河南洛阳人,助理教授,博士,研究方向:金融市场微观结构、金融计量;王超(1986-),男,山东枣庄人,副教授,博士,研究方向:资产价格波动。
基金资助:
国家自然科学基金青年项目(61603010,71601091,61603011),国家自然科学基金面上项目(61773029)

Introduction Impact of Index Futures Based on Panel Data Evaluation Approach

GAO Yang^1,2, SUN Bian-xia³, WANG Chao^1,2

1.School of Economics and Management, Beijing University of Technology, Beijing 100124, China;
2.Research Base of Beijing Modern Manufacturing Development, Beijing 100124, China;
3.Department of Finance, Southern University of Science and Technology, Shenzhen 518055, China

Received:2017-04-10 Online:2018-08-25

摘要/Abstract

摘要： 本文采用Hsiao等(2012)提出的利用面板数据进行政策效果评估的方法,分别研究了上证50股指期货(IH)和中证500股指期货(IC)的推出对相应的股票市场波动的影响。研究区间为IH和IC的上市日2015年4月16日至8月底即中金所采取严格监管措施以抑制市场过度投机的时点,并以6月15日为界将之分为股灾前和股灾期两个时间段。实证结果表明,股灾前IH的推出并未显著影响其现货股指的波动,股灾期间增加了其现货市场的波动;IC的推出在股灾前已经显著地增加了现货股指的波动,股灾期间则大幅增加了现货股指的波动。对IH和IC进一步的回归分析结果指出,过度投机导致IC的推出引起对应的现货市场更大幅度的波动。在中金所采取严格监管措施前,IH和IC未能发挥股指期货的现货稳定器作用。

关键词: 股指期货, 股市波动, 面板数据方法, 2015中国股灾

Abstract: By adopting the panel data approach developed by Hsiao et al. (2012), the impacts of introducing the SSE 50 (IH) and CSI 500 index futures (IC) on their corresponding stock market volatility are examined respectively. The sample period ranges from Apr. 16 to Aug. 31 in 2015, and then we make a split with respect to Jun 15, naming the dates before crash and crash period respectively. Empirical results show that before crash the IH doesn’t influence the spot volatility significantly, while during crash period it does help fluctuate the spot volatility. For the IC, before crash its introduction has increased the spot volatility significantly, and during crash period the spot volatility largely increases. The further regression analysis of IH and IC concludes that excess speculation explains its role in magnifying stock price volatility for the CSI 500 index futures. Before the CFFEX released a series of regulation policies to depress excessive speculations of the index futures market, the IH and IC fail to function as the spot stabilizer.

Key words: index futures, stock market volatility, panel data approach, 2015 China’s stock market Crash

中图分类号:

F830.9

高扬,孙便霞,王超. 基于面板政策评估方法的股指期货推出效应研究[J]. 运筹与管理, 2018, 27(8): 162-171.

GAO Yang, SUN Bian-xia, WANG Chao. Introduction Impact of Index Futures Based on Panel Data Evaluation Approach[J]. Operations Research and Management Science, 2018, 27(8): 162-171.

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基于面板政策评估方法的股指期货推出效应研究

Introduction Impact of Index Futures Based on Panel Data Evaluation Approach

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