股票指數期貨交易的引進對股票指數波動率的影響——以中國市場為例

Abstract

自1982年美國市場引進股票指數期貨以來，愈來愈多的國家在股票市場中引進了期貨交易。但股票指數期貨交易的引進是否會對現貨市場產生衝擊與影響？如果有又會是什麽樣的影響？本研究參考Antoniou, Holmes與Priestley（1998）的研究，以中國股票市場為例，探討股票指數期貨的引進對現貨市場報酬率的波動率的影響，并通過對股票指數期貨引進前後波動率對新資訊的不對稱反應程度研究，探討股票指數期貨是如何改變現貨市場的動態機制以降低其不對稱程度的。研究結果顯示股票指數期貨的引進會降低現貨市場報酬率的波動率及波動率對新資訊反應的不對稱性，但關於波動率對新資訊反應的不對稱性是從現貨市場轉移到了期貨市場還是徹底消除，不同的市場給出了不同的解答。

Since the introduction of stock index futures trading in U.S in 1982, more and more countries introduced stock index futures into their financial markets. Whether the introduction of stock index futures trading had significant impacts on stock market and what kind of impacts are is the questions we concern. Based on the Antoniou, Holmes & Priestley (1998), this study uses the data in Chinese market to examine the impacts on stock index volatility after the introduction of stock index futures trading. By comparing the results of the asymmetric response of volatility to news in prefutures and postfutures sub-periods, we discuss how the introduction of stock index futures trading changes the market dynamics as to reduce the asymmetries. The results suggest that the introduction of stock index futures trading will reduce the level of stock market volatility and the level of stock market volatility asymmetries over a 3-year period, but different markets provide different consequences of whether the asymmetries is transferred from spot market to futures market.