Pacific-Basin Finance Journal Volume 44, September 2017, Pages 13–26

中国股指期货的作用：来自价格发现和波动溢出的证据

作者：Hong Maio (Colorado State Univeristy, USA), Sanjay Ramchander (Colorado State Univeristy, USA), Tianyang Wang (Colorado State Univeristy, USA) , Dongxiao Yang (Shandong University, China)

摘要：2010年中国引进股指期货标志着国家金融市场的重要发展。然而，由于它在2015年股票市场崩盘时没有发挥“调整器”的作用而备受指责。本文检查了沪深300指数和期货指数之间的日内价格发现和波动溢出的关系。基于2010到2015年的数据发现，股指期货在价格发现方面发挥着重要作用，拥有67%的年化信息比例。尽管期货市场的价格发现作用很强，但因严格的交易规则限制而被减弱。而且，对波动溢出的调查发现显著的收益和波动从股票市场传向期货市场。尽管与交易规则相悖，但是证据显示这与中国独特的机构交易环境相关。

Role of Index Futures on China's Stock Markets: Evidence from Price Discovery and Volatility Spillover

Hong Maio (Colorado State Univeristy, USA), Sanjay Ramchander (Colorado State Univeristy, USA), Tianyang Wang (Colorado State Univeristy, USA) , Dongxiao Yang (Shandong University, China)

ABSTRACT

The introduction of stock index futures in China in 2010 marked an important development in the country's financial markets. It was however not without controversy as regulators blamed the futures market for its role in the stock market crash in 2015. This paper examines the intraday price discovery and volatility spillover relationship between the CSI 300 equity index and index futures in China. Results from the study, covering the period 2010–2015, reveal that index futures plays a dominant role in contributing towards price discovery, with an average yearly information share of about 67%. The price leadership of the futures market, although found to be strong, is diminished in the presence of stringent regulatory trading curbs that were put in place as a response to the crisis. Furthermore, investigation into volatility spillover documents significant return and volatility shocks transmitted from the stock market to the futures market. The evidence, which contradicts regulatory claims, is explained in the context of the unique institutional trading structure in China.

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X17302408

翻译：阙江静