摘要
股指期货对股票现货的影响,历来是学界研究的重点.本文使用Hsiao(2012)提出的面板数据政策评估方法,以沪深300和中证500股指期货“松绑”为视角,研究股指期货对股票现货波动性的影响.为了保证研究期间的对称性,本文选取2016年1月4日至2017年12月29日为研究期间.研究结果表明,沪深300和中证500股指期货在放宽限制交易措施以后,其成分股的波动性普遍增大,进一步的研究表明,股指期货增大了股票现货的波动性.研究结果为政府在市场情绪不稳定所导致的股市大幅波动以及在股市稳定后采取的“松绑”措施提供理论依据.
The impact of stock index futures on stock spot has always been the focus of academic research.Using the panel data policy evaluation method proposed by Hsiao(2012),this paper studies the impact of stock index futures on stock spot volatility from the perspective of“deregulation”of CSI 300 and CSI 500 stock index futures.In order to ensure the symmetry of the research period,this paper selects January 4,2016 to December 29,2017 as the research period.The results show that after relaxing the trading restrictions,the volatility of its constituent stocks generally increases.Further research shows that stock index futures increase the volatility of stock spot.The results provide a theoretical basis for the government to take“deregulation”measures after the stock market is stable.
作者
任家福
孙毅
REN Jiafu;SUN Yi(School of Economics,Qingdao University,Qingdao 266061,Shandong,China)
出处
《山西师范大学学报（自然科学版）》
2022年第4期98-103,共6页
Journal of Shanxi Normal University(Natural Science Edition)
关键词
股指期货
松绑
波动性
面板数据政策评估方法
stock index futures
untie
volatility
panel data policy evaluation method
