CAJ | 학술논문

中国金融期货交易所于2010年4月16日正式启动沪深300指数期货交易。本文考察2008年初至2011年10月的日内和跨日股指交易数据，发现股指期货的推出显著改善了反映股票市场运行质量的多个指标。股指日内5分钟波动率在股指期货推出后下降了37％，而指数成分股的日对数交易量的方差下降了40％。基于EGARCH模型的参数估计显示，股票市场的市场深度和价格信息度在股指期货推出后显著提升；股指日回报率的条件方差下降了约40％。这些结果说明，沪深300指数期货的推出提升了股票市场的流动性和价格发现能力，并进而提高了交易量的稳定性，降低了价格波动性。本文的研究为确认股指期货改善了我国资本市场结构并有利于深化我国资本市场改革提供了重要佐证。
중국금융기화교역소우2010년4월16일정식계동호심300지수기화교역。본문고찰2008년초지2011년10월적일내화과일고지교역수거，발현고지기화적추출현저개선료반영고표시장운행질량적다개지표。고지일내5분종파동솔재고지기화추출후하강료37％，이지수성분고적일대수교역량적방차하강료40％。기우EGARCH모형적삼수고계현시，고표시장적시장심도화개격신식도재고지기화추출후현저제승；고지일회보솔적조건방차하강료약40％。저사결과설명，호심300지수기화적추출제승료고표시장적류동성화개격발현능력，병진이제고료교역량적은정성，강저료개격파동성。본문적연구위학인고지기화개선료아국자본시장결구병유리우심화아국자본시장개혁제공료중요좌증。
China Financial Futures Exchange launched the trading of HS300 index futures on April 16, 2010. This paper examines the intraday and daily trading data of HS300 index component stocks for the period of Janu- ary 2008 through October 2011, and finds a number of stock market quality measures to be improved as a con- sequence to the launching of HS300 index futures. The post-launching intraday standard deviation of 5-minute index returns declined by 37% from its pre-launching estimate, while the variance of logarithmic share volume of the index component stocks declined by 40%. The EGARCH based analyses show significant improvement of the market depth and price informativeness of the stock market due to the launching of index futures ; the condi- tional variance of daily HS300 index returns dropped 40%, ceteris paribus. These empirical results suggest that the launching of HS300 index futures enhanced liquidity and price discovery of the stock market, which resulted in more stable trading volume and reduced price volatility. This paper offers important evidence in support of the role of stock index futures on Limproving the structure and facilitating further reform of the Chinese capital mar- kets.