作　　者： ; ;

机构地区： 中山大学岭南学院

出　　处： 《经济学报》 2016年第1期131-148,共18页

摘　　要： 股指期货是投资者获利和避险的良好工具,然而合理的投资策略需要有对市场环境的正确判断。上海银行间同业拆放利率(SHIBOR)作为一种市场化利率,反映了市场无风险利率水平和资金面的松紧程度,它对我国股指期货市场的影响是怎样的?文章利用2010年4月—2013年7月我国股指期货主力合约连续日数据,从SHIBOR和股指期货关联性的角度实证研究发现:股指期货与SHIBOR的变动具有反向相关关系;两者存在双向非对称的正的波动溢出效应,且以SHIBOR对股指期货的波动溢出为主。SHIBOR上升且波动剧烈时股指期货市场空头较为有利,反之,SHIBOR下降且波动剧烈时股指期货市场多头较为有利。将SHIBOR变动分解为预期和非预期成分后研究发现,SHIBOR对股指期货市场的影响主要是由短期资金面松紧程度和资本的跨市场流动这一渠道实现的,而其通过改变未来现金流的折现率对股指期货市场的影响并不明显。SHIBOR的走势和波动程度已成为我国股指期货市场参与者的重要参考因素。 Stock Index Futures are favourable approaches for investors to earn profits and hedge against risks.However,making a reasonable investment decision needs sound judgment about the market environment.SHIBOR,which is a type of marketable interest rate that can reflect the level of market risk-free interest rate and the degree of tightness of funds face.So how does it influence domestic Stock Index Futures market?With empirical studies on correlation between SHIBOR and Stock Index Futures,we use daily data from April 2010 to July 2013,and find out:Stock Index Futures tend to have a negative correlation with SHIBOR,and they have a two-way asymmetric positive volatility spillover effect,in which SHIBOR takes a greater role.Stock Index Futures market goes short obviously when SHIBOR increases sharp while the market goes long evidently when SHIBOR decreases sharp.After decomposing SHIBOR into expected and unexpected parts,we find that SHIBOR influences the Stock Index Futures market by short-term tightness of funds face and trans-market capital flow instead of change of discount rate.SHIBOR's trend and fluctuation level have become important reference factors considered by domestic Stock Index Futures market participants.

关 键 词： 股指期货 钱荒 波动性溢出

领　　域： [经济管理] [经济管理]