摘要
股指期货对现货市场的波动有潜在的影响,其影响途径可分解为三种效应:信息传递效应、交易行为效应、市场结构效应。信息传递效应具有促进现货市场信息效率的作用,但这种作用的发挥受到了一定的限制。交易行为效应分解为程序交易、期货投机与期货操纵。市场结构效应包括引起现货市场投资者结构及流动性的变化。三种效应对现货市场的波动产生了深刻的影响,对这种影响的评价要结合市场微观结构、市场状况、投资者结构等因素综合考察。
Stock index future has a potential influence on the volatility of spot market, which produces three effects： information transmission effect, trade behavior effect and market structure effect. Information transmission effect has the ability to improve the information efficiency, but it can only play a limited role. Trade behavior effect includes program trade, future speculation and future manipulation. Market structure effect involves the changes of spot market investors. Three effects bring about deep influence on the volatility of spot market. The market micro-structure, market situations and investor structure should be considered together when valuing the influence.
关键词
股指期货
现货市场
信息传递效应
交易行为效应
市场结构效应
Stock index future
Spot market
Information transmission effect
Trade behavior effect
Market structure effect
