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
RESEARCH ON THE INFLUENCE OF CHINESE STOCK INDEX FUTURES TRADING RESTRICTIONS ON PRICING EFFICIENCY——From the Perspective of Market Information Transmission

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。
Abstract： 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 policy implication of the paper is that policy makers should liberalize the trade restrictions and increase the degree of market openness furtherBesides, it is important to consider the effect of the USstock index futures market in regulating local markets and the USmarket impact should not be ignored by local investors