CAJ | 학술논문

本文借鉴Bessembinder和Seguin建立的模型从价量角度实证研究了沪深300股指期货市场交易活动因素对股票市场波动的影响。实证结果表明，股指期货市场预期成交量对股票市场波动的影响显著，且预期成交量对股票市场波动有正向影响，股指期货市场持仓量对股票市场波动的影响不显著；股票市场预期成交量与非预期成交量对股票市场波动均有正向影响，且影响程度高于股指期货市场预期成交量。这说明自沪深300股指期货合约上市以来，股指期货市场顺利运行，其中，套期保值者交易活动对股票市场波动无影响，而股指期货市场整体交易活动则对股票市场波动有正向影响，
본문차감Bessembinder화Seguin건립적모형종개량각도실증연구료호심300고지기화시장교역활동인소대고표시장파동적영향。실증결과표명，고지기화시장예기성교량대고표시장파동적영향현저，차예기성교량대고표시장파동유정향영향，고지기화시장지창량대고표시장파동적영향불현저；고표시장예기성교량여비예기성교량대고표시장파동균유정향영향，차영향정도고우고지기화시장예기성교량。저설명자호심300고지기화합약상시이래，고지기화시장순리운행，기중，투기보치자교역활동대고표시장파동무영향，이고지기화시장정체교역활동칙대고표시장파동유정향영향，
Learning from the model built by Bessembinder and Seguin, from the point of view of price- volume, this paper empirically examine the Shanghai-Shenzhen 300 stock index futures market trading activity factors impacting on the stock market volatility. The empirical results show that the expected volume in the stock index futures market has a significant positive impact on the stock market volatility, but positions in the stock index futures market has not significant impact on the stock market volatility. The expected and unexpected trading volume of the stock market have a significant positive impact on the stock market volatility and it is higher than expected trading volume of the stock index futures market in terms of degree of influence. Model results show that stock index futures market is running smoothly, hedgers trading activity has a smaller impact on the stock market volatility and overall trading activities of the stock index futures market has a positive influence on the stock market volatility since the 300 stock index futures contracts has listed.