中国股指期货与现货市场间信息传递效应研究

As stock index futures and other derivatives prevail in the world's financial markets, it becomes increasingly important to understand the interrelationship between derivatives and the underlying markets. Although a large body of research has been devoted to this topic, previous literature mainly focused on developed markets. It is unclear to what extent these results are applicable to less developed markets. Since the release of the CSI 300 index futures in April 2010, research on the interrelationship between the index futures and spot markets in China has grown quickly. However, because of certain unique features of market structure and special financial regulation policies in China, models constructed for developed markets are not directly applicable to China. Moreover, due to data deficiency, previous analysis results are often not robust, i.e., the existing research has come to conflicting conclusions regarding the interrelationship between the futures and spot markets. In this study, we will collect trading data from a three year span, which is the standard window size for this type of research, to investigate the information transmission mechanism between the CSI 300 index futures market and the stock market. More specifically, we will examine this issue in four ways. First, whether futures price leads the spot price or the other way around? Second, did the release of the CSI 300 Index futures increase or decrease the volatility of the spot price and what is the volatility transmission mechanism between the two markets? Third, how does the trading of the CSI 300 index futures affect the liquidity of the component stocks and other non-component stocks? Fourth, to what extent the return and trading volume of the two markets interact with each other? There is no doubt that a thorough understanding of these four questions will be critical to both market participants and policy makers.

无论是在沪深300股指期货推出前的准备阶段还是在推出后至今的近三年时间里，中国股指期货与现货市场之间的信息传递关系一直为市场参与者、监管层和学术界所关注，成为中国金融市场改革和建设中一个亟待系统解答的问题。在本研究中，我们试图通过以下四方面全面深入地剖析两个市场间的信息传递效应。第一，沪深300股指期货和现货间的价格引领关系；第二，两个市场间存在怎样的波动性传递机制；第三，股指期货推出如何影响成份股和非成份股市场的流动性状况；第四，股指期货和现货市场之间存在着怎样的跨市场价量关系。由于中国金融市场结构和监管制度上的特殊性，以及以往可用于研究的数据不充分，现有的研究都未能就此给出全面系统的回答，在诸多领域还存在较大的研究空白。我们拟引入基于成熟资本市场的经典计量模型，并结合中国金融市场的特性对之加以改进，通过严格的理论和实证分析来对中国股指期货市场效率和功能作出全面的评价。

本研究结合我国股指期货市场和股票市场制度上的特殊安排、投资者结构、投资理念、投资氛围和历史交易数据所表现出的具体特征，通过对已有的计量模型进行改进和创新，根据沪深300股指和股指期货的高频数据，从数量关系上研究了中国股指期货市场与股票现货市场价格间的领先-滞后关系、波动传递效应以及跨期、现货市场的价量关系问题，从而对中国股指期货市场效率和功能作出科学的评价。. 具体来说，研究发现 （1）中国股指期货市场的收益率可预测滞后3个工作日内现货市场的收益率，也就是说对现货收益率具有引领作用。（2）我国股指期货市场的波动性对现货市场的传递效应在大部分时间不明显，但在股灾期间正溢出效应显著。（3）从跨市场量价关系来看，期货市场的未预期成交量会加剧现货市场的收益率波动，是现货市场收益率波动高持续性的主要原因；预期到期货市场的成交量能够在一定程度上解释收益率波动的持续性，且有助于缓解收益率波动的非对称性。. 另外针对高频金融数据的特性，本课题组还研究现有的时间序列分析工具在高频数据中的可适用性。因为平稳性检验的结果直接影响股指期货和股指之间关系的建模，本研究组着重研究了现有的平稳性检验的方法在应用到高频数据时可能产生的问题，得出以下结论：应用现有的KPSS平稳性检验，数据频率直接影响检验的结果。也就是说，即便产生样本数据的时序本身是平稳的，只要取样的频率达到一定程度，平稳性检验会否定平稳性假设，从而得出误导性的结果。在此发现的基础上，课题组对KPSS检验做了修正，并从理论和蒙特拉罗模拟两方面验证修正后的平稳性检验结果不再受数据频率的影响。