2015年股灾期间,股指期货受到广泛批评。本文使用方向性波动溢出模型,研究了沪深300、中证500、上证50三种股票价格指数分别与IF、IC、IH股指期货之间的动态波动溢出效应。研究发现,股灾期间,IF对中证500、上证50确实有推波助澜的作用,但沪深300依然对IF有净(正向)波动溢出效应;2016年1月股指期货交易新规则推出以后,IF对沪深300、中证500、上证50都有净(正向)波动溢出效应。结论是,2015年股灾的爆发并不完全是由股指期货导致的,至少从净影响来看股指期货并没有加剧沪深300的波动;股指期货交易规则的调整并没有很好地平抑现货市场波动。对沪深300、中证500、上证50与IC,沪深300、中证500、上证50与IH的实证研究也支持这一结论。最后提出了一些完善股票交易规则和股指期货交易规则的政策建议。 During the 2015 stock market crash, stock index futures have been widely criticized. The dynamic volatility spillover effects between CSI 300, CSI 500, SSE 50 and IF, IC, IH index futures are examined respectively by using directional spillover models. The stock index futures should not solely responsible for the crash, which is especially true from the perspective of directional spillover effects between CSI 300 and IF. There are many transaction rule modifications for stock index futures including the introduction and suspension of circuit breakers, but those modifications destabilized the stock markets. Robustness analysis also supports the conclusions. Some policy implications and suggestions are given finally.
股指期货,股票指数,2015年股灾,方向性波动溢出模型, Stock Index Futures Stock Index 2015 Stock Market Crash Directional Spillover Models股指期货该为2015年股灾负责吗
1987年股灾后,美国发布了《布雷迪报告》,很大程度上将股灾归罪于股指期货。报告中指出股指期货的两类交易行为:组合保险和指数套利是此次股灾的罪魁祸首,为了防范类似事件的再次发生,报告中提出了“熔断机制”这一监管措施来规范市场交易行为。Becketti and Roberts [22] 认为股指期货并没有在美国1987年的股灾中扩大市场的波动,而在这之后实行的一系列措施,如提高保证金和“熔断机制”等并不能起到很好的防范作用。Antoniou and Garrett [23] 利用1987年10月股灾期间指数期货与现货数据,重点探讨了股灾期间股指期货市场的作用,结果发现股指期货没有起到推波助澜的作用,反而发挥了稳定现货市场的作用。Darrat等 [24] 利用1987~1997年的S & P500交易数据结合EGARCH模型进行了实证研究,结果表明期货市场并没有引发现货市场的大幅波动,反而是现货市场的波动引发了期货市场的震荡。
周先平,李 标,沈国旭. 股指期货该为2015年股灾负责吗—基于方向性波动溢出模型的实证分析Should Stock Index Futures be Responsible for the 2015 Stock Market Crash?—An Empirical Analysis Based on Directional Spillover Models[J]. 金融, 2017, 07(02): 98-110. http://dx.doi.org/10.12677/FIN.2017.72012
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