期貨引進對現貨市場所造成之衝擊-以中國股市為証

The Effect of the Introduction of Futures Contract on the Spot Market Volatility : Evidence from Chinese Stock Market

許皓程(Hao-Cheng Hsu)

指導教授 ： 蕭榮烈

國立臺北大學/商學院/國際企業研究所/碩士(2012年)

摘要

本研究將探討在2010年4月16日，中國推出的首檔金融期貨商品-「滬深300
股指期貨」，在此期貨引進後對於其標的「滬深300指數」所產生之影響，另外由於
中國所具有的特殊市場特性，本研究也另行探討了此期貨對於標的資產中亦有發行
B股的投資組合所造成之影響，應用雙變量EGARCH模型，樣本期間為2007年4月16
日至2011年12月7日，共計有1134筆的日資料。

實證結果指出，中國在首檔金融期貨商品-「滬深300股指期貨」推出之後，可
能造成了其標的「滬深300指數」的波動度下降，而且，這樣的影響並不只侷限在
標的市場內，對於標的資產中亦有發行B股的投資組合而言，其波動度也在期貨推出
後顯著下降了，可能的解釋是由於中國股市在金融期貨交易制度開始之後，使得其市場機能的運作更加有效率、更加健全，也因此造成現貨市場的波動度下降；此外，研究亦發現在長期之下，期貨價格將受到來自現貨價格的單一方向影響，此結果可能表示中國市場存在著現貨主導期貨價格的情形。

關鍵字

期貨引進 ； 滬深300股指期貨 ； 波動度 ； 中國股市 ； 雙變量EGARCH

並列摘要

This study mainly investigates the impact of SHZ300 index futures trading, the first financial Futures contract introduced in Mainland China, on its underlying asset after it is listed. In light of the uniqueness in Chinese stock market, this study also goes one step forward to discuss its impact on the B-share portfolio, which is constructed by the companies also issue B-share in the underlying asset. By applying bi-variate EGARCH model, the daily data used in this paper are from April 16, 2007 to December 7, 2011.

The empirical result demonstrates the fact that SHZ300 index futures trading may decrease its spot market volatility. Moreover, such impact is not only limited to the underlying market. The result also shows that B-share portfolio volatility decreased after the introduction of futures. The possible explanation is that market will function in a more efficient and sound manner after financial futures trading is initiated in China, thus causing stock market volatility decreased.

並列關鍵字

Introduction of Futures ； SHZ300 index futures ； Volatility ； Chinese Stock Market ； bi-variate EGARCH

參考文獻

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