股指期货交易政策、投资者行为与市场质量

doi:10.16381/j.cnki.issn1003-207x.2021.1621

摘要/Abstract

摘要： 本文研究了在股指期货市场交易政策逐渐松绑这一背景下，投资者股指期货交易行为和股票市场质量的变化特点，以及投资者行为与市场波动性、流动性的相互关系。通过描述性统计、差异性检验和回归检验等方法发现：股指期货交易政策越宽松，投资者长期交易(套期保值)越多、隔夜交易(投机交易)越少，市场整体层面越活跃；股指期货交易越活跃，股票市场波动性越强，随着政策的放松其对波动性的抑制作用有所增强；流动性与股指期货整体活跃程度之间存在“交易转移效应”，与套期保值活跃程度之间存在“增量效应”。综合上述结果，交易政策对投资者越具有吸引力，股指期货越易于发挥其应有作用和基本功能、改善股票市场质量。

关键词: 股指期货；交易政策；市场质量；投资者交易行为

Abstract: With the gradual relaxation of trading policy in the stock index futures market, this paper studies the changing characteristics of the investors’ trading behavior in the stock index futures market and the quality of the stock market, as well as the relationship among the investors’ behavior and the volatility and liquidity of the spot market. Based on the daily market data of CSI300 stock index futures and CSI500 stock index futures and their underlying indexes from September 7, 2015 to September 6, 2019, the following two parts are studied: First, build indicators to reflect the activity of investors using stock index futures for different types of transactions, and then study the impact of policy changing on trading behavior. Second, establish simultaneous equations to study the relationship among investors’ trading activity, stock market quality and the trading policy in the stock index futures market. Through descriptive statistics, difference test and regression test, it is found that: Firstly, the looser the trading policy, the more active the investor’s long-term trading (hedging), the less active the investor’s overnight trading (speculation), and the more active the stock index futures market on the whole level. Secondly, although the more active the stock index futures trading, the stronger the volatility of the stock market, the restraining effect of stock index futures on volatility has also increased with the gradual easing of trading restriction. Thirdly there is “transaction transfer effect” between the overall trading activity of stock index futures and the liquidity of the stock market. At the same time, there is “incremental effect” between the hedging activity and liquidity. In summary, the more attractive the trading policy is to investors, the easier it is for stock index futures to play its due role and basic function and improve the quality of stock market. In contrast to the pre-existing studies, it focuses on the main-board and the small and medium-sized board markets at the same time, and phasically characterizes the role played by index futures in recent years under the Chinese financial system, providing empirical support for regulators to further develop and open index derivatives.

Key words: stock index futures; trading policy; market quality; investors’ trading behavior

中图分类号:

F830

刘慕涵, 熊熊. 股指期货交易政策、投资者行为与市场质量[J]. 中国管理科学, 2023, 31(7): 126-139.

LIU Mu-han, XIONG Xiong,. Stock Index Futures Trading Policy, Investors’ Behavior and Stock Market Quality[J]. Chinese Journal of Management Science, 2023, 31(7): 126-139.

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