股指期货限制交易对定价效率影响研究——基于跨市场信息传递视角的实证

摘要

从跨国金融市场信息传递的视角对中国2015年股灾中股指期货限制交易政策实施前后的中美市场实证分析表明:股指期货的限制交易政策极大地增强了美国市场对中国市场的影响,尤其是在下跌行情中的影响更大.分位数回归显示美国市场的交易活动对中国市场开盘价的影响呈"V"型特征,美国市场的微小波动都会引起中国市场的巨大波动,限制交易措施实施后,在下跌行情中来自美国市场的负冲击对中国市场的影响变得更大.这一实证研究的政策含义在于:为了增强股指期货市场的定价效率,金融监管层在市场稳定后应放开股指期货的限制交易,并通过降低准入门槛和合约大小等措施提高市场的开放程度.此外,监管层和国内投资者不能忽视美国股指期货对国内市场的影响.%From the perspective of information transmission in transnational financial markets, this paper analyzed the impact of the trade restrictions policy of Chinese stock index futures markets.Empirical conclusions are as follows:The spillover effect of U.S.stock index futures on Chinese stock index futures tends to enhance significantly after the trade restrictions of Chinese stock index futures markets, especially in the down market.Chinese index futures overnight return influenced by U.S.daytime return is reflected as a V-curve by using quantile regression model.The impact of the negative impact from the U.S.market on the Chinese market in a bear market has become greater after the implementation of the policy.The pol-icy implication of the paper is that policy makers should liberalize the trade restrictions and increase the de-gree of market openness further.Besides, it is important to consider the effect of the U.S.stock index fu-tures market in regulating local markets and the U.S.market impact should not be ignored by local inves-tors.