摘要
中国沪深300指数期货合约于2010年4月16日在中国金融期货交易所正式挂牌交易,标志着我国证券市场的进一步完善。而股指期货的推出将会对股票现货市场产生哪些影响,这值得我们去探究。国内外学者从有效性、流动性、波动性等方面研究股指期货对现货市场的影响,得出了不尽相同的结论,实际上不同的市场微观结构特点,是股指期货发挥影响的重要基础。因此,本文首先研究美国、香港、印度以及中国证券市场的微观结构研究差异,通过投资者结构、国际化程度、信息与披露机制三个指标,对比分析这四个市场微观结构水平的完善程度,在这个基础上探究股指期货对股票市场的信息相对有效性影响。得出的结论是,市场微观结构较完善的市场,股指期货对股票市场的信息相对有效性影响较大,即市场在信息处理时,表现出较强的信息解读能力和理性价值回归能力；而市场微观结构水平不够完善的市场,信息相对有效性较弱,表现为较大的噪音交易比例和较强的市场波动。中国市场在推出股指期货以后,信息相对有效性有所增强,在面临重大事件或信息时,市场波动有所减弱,但是同时表现出较差的价格回归能力,因此其信息相对有效性还不是很强。究其原因,还是中国证券市场的微观结构还不完善,投资者中个人投资者比重还较大、国际化程度不高、信息与披露机制不完善等是最重要的制约因素。因此,努力改善微观结构将是有效发挥股指期货功能与作用的前提条件。
Hu-shen 300 index futures contracts was introduced on April 16,2010 in China financial futures exchange which shows that china's securities market make a further progress. What is the effect of the launch of stock-index futures and how does the stock-index future influence the stock market are worth to explore. Domestic and overseas scholars researched the role of stock-index future in the security market from effectiveness, liquidity, volatility and so on. And they concluded with different conclusions. In fact, the difference of market microstructure has different effect on the influence of the index futures. Therefore, this paper first study the difference of United States, Hong Kong, India and China's securities market microstructure, making the investors'structure, internationalization degree, information and disclosure as the most important index of the market microstructure. By comparing and analyzing of the mechanism of index futures affecting the stock market in these four market through microstructure level, explore how does the stock-index futures influence the information relative effectiveness. It is concluded that influence about information relative effectiveness of the stock index futures on the stock market is bigger, at the perfect market microstructure. Namely, this market in the information processing, show strong information unscramble ability and rational value regression ability; However, it will be a weak performance of information relative effectiveness, and show a larger proportion of noise trading and stronger market volatility when the market microstructure is imperfect. After the detrusion of the stock index futures in China, information relative effectiveness has been enhanced:facing with a major events or information, market volatility is weakened. But it also reflects poor price return ability, which means still a not very strong information relative effectiveness. According to the reasons investigation, the most important constraints are imperfect of microstructure of China's securities market, larger proportion of individual investors, low degree of internationalization and faultiness of information disclosure mechanism. Therefore, efforts on improving microscopic structure will be the prerequisite to effectively play stock index futures function.
引文
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朱宝宪.《投资学》[M].北京,清华大学出版社,2002
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4 Bollerslev.Generalized Autoregressive Conditional Heteroskedasticity, Journal of Economtrics,1986,37:307-327.
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6 Campbell J Y, Lo A W, MacKinlay A C. The Econometrics of Financial Markets. Princeton University Press, Princeton, New Jersey,1997.
Kahneman, D. and Tversky A., "Prospect Theory:Analysis of Decision under Risk", Econometrica, 1979,47:236-291.
8 Banz, R, W. "The Relationship Between Returns And Market Value Of Common Stocks", Journal Of financial Economics,1981,9,pp.3-18.
9 Debondt, W, And R, Thaler, "Does The Stock Market overreact?" Journal Of Finance,1985,40, pp.793-805.
10 Bernard, V and Thomas, J. k., Evidence that Stock Prices do not Fully Reflect the Implication of Current Earnings for Future Earnings, [J], Journal of Accounting and Economics,1990,volume 13, pp.305-341.
11 Grossman S, Stiglitz J. On the Impossibility of Informationally Effcient. American Economic Review,1980,70(3): 393-408.
12 Demsetz, Harold, The cost of transaction. Quarterly Journal of Economics,1968,82,33-53.
13 Ananth, Madhavan, Market microstructure:A Survev, Journal of Financial Markets.2000,3,205-258.
14 Bagehot,W."The Only Game in Town",Financial Analysts Journal 1971,22,12-14
Glosten,L.,and P.Milgrom,Bid,Ask,and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders[J].Journal of Financial Economics,1985,13:71-100.
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Grossman,Sanford's advice.see Merton H.Miller.Financial Innovation and Market Volatility.Cambridge MA:Basil Blackwell,lnc,1991,236.
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29 Jae H. Min, Mohammad Najand. A further investigation of the lead-lag relationship between the spot market and stock index futures:Early evidence from Korea[J].Journal of Futures Markets,1999(19):217-232
Ming-Yuan Leon Li.The dynamics of the relationship between spot and futures markets under high and low variance regimes[J].Applied Stochastic Models in Business and Industry,2009 (25):696-718.
Bessembinder,H.and Seguin,P.J.,"Future Trading Aetivity and Stock Priee Volatility",Journal of Finance,1992(47):2015-2034.
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Kuldeep Shastri, Ramabhadran S. Thirumalai, Chad J. Zutter.Information revelation in the futures market: Evidence from single stock futures[J].Journal of Futures Markets,2008(28):335-353.
36娄群,步妍,.股指期货推出对现货市场影响的实证研究——基于台湾加权股价指数的实践[J].甘肃金融,2008,(9).
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