摘要
不同方向交易行为存在显著的信息差异,因此,其在市场间的信息传导也具有明显区别,但基于市场价格信息的研究并不能对其进行深入分析。本文以我国股指期货与现货为样本,研究衍生品合约方向性交易行为信息含量及其与现货市场间的信息传导机制。研究发现,期货交易行为对现货运行仅具有日内同向影响,说明其具有短期信息优势。而现货价格变动对期货买入卖出、开仓平仓交易行为影响的持续性和显著性均表现不同特征,这表明,期货交易具有稳定现货市场的积极作用和不同交易行为市场功能的区别,也说明了现货市场的主导作用。
Two-side or directional trading activity, such as buying, selling, opening, or closing a position, provides a new perspective to examine the information content and information transmission between the derivatives and the underlying markets. For example, an investor who establishes a long position in the stock index futures may possess some private positive information in the spot market; or his long position in futures market may be established in order to hedge his trading risk in the spot market. In this paper, we examine the information content implied from directional trading activity as well as the information transmission mechanisms between the spot and futures markets.
The existing literature about information transmission across different returns alone. However, market prices and returns are just the end results markets uses information on prices and of trading activity between buyers and sellers. Without further knowledge about trading directions, we cannot infer the motives of trading behaviors, nor can we analyze the functions of different directions of trading activity through the price information alone. In the Chinese financial market, the CSI300 index futures contracts have been traded for more than four years. Since then, the debate of whether or not and to what extent the establishment of the index futures market has stabilized the spot market has attracted attention from both academics and practitioners alike. Furthermore, the investor structure in Chinese markets has the unique characteristics for its high percentage of individual investors. Therefore, can the futures market compensate the absence of short selling rules in the spot market？ What is the information transmission mechanism from the spot market to the futures market, and vice versa？ What are the functions and effects of directional trading behaviors in the futures market？ These questions cannot be answered by using price information alone. Based on the research of directional trading activity and information transmission mechanisms between the futures market and spot market, this paper makes the first attempt to address these questions.
Our paper analyzes the information content of directional trading and its transmission mechanism between the futures and spot markets. We use the tick-by-tick data of CSI300 index futures contracts, including each transaction of all the contracts between January 4^th, 2012 and December 31^st, 2013, and the five minutes price dataset of CSI300 index with the same time span. Then all the tick trading is divided into buy-initial and sell-initial trading based on the method introduced by Lee ＆Ready （ 1991 ） , we also introduce the method how to divide the trading into opening transaction and closing transaction. Based on the above research about directional trading recognition, we use Grange causality test method to analyze the relationship between futures trading and stock price. We find that futures trading activity makes a positive impact on spot prices at the intraday trading frequency. This implies that futures traders may possess a very short-term information advantage over stock traders. On the other hand, however, the spot market exerts its effects on futures ence exhibits significant differences. For example, trading at both inter-day and intraday intervals, and the influtrading and closing positions of futures trading, but has much less provide new evidence that the futures market demonstrates ket still plays the dominate role. activity in the spot market significantly affects the selling influence on short selling activity of futures. Our results a stabilizing effect on the spot market, and the spot market still plays the dominate role.
This paper contributes to the existing literature on directional trading and information transmission mechanisms between the derivatives market and spot market. We provide further evidence of stabilizing function of the futures market and leading role of the spot market in China. The research also draws several advice on the construction of derivative markets, such as trading mechanism, investor structure.
出处
《经济管理》
CSSCI
北大核心
2014年第12期106-115,共10页
Business and Management Journal ( BMJ )
基金
国家自然科学基金项目"行为信号对市场化资源配置的影响及其监管研究"(71473157)
国家自然科学基金项目"资本市场错误定价对实体经济的影响及其监管研究"(71273164)
上海财经大学研究生创新基金"我国期货市场参与者结构
投资行为与市场效率研究"(CXJJ-2013-315)
关键词
双向交易机制
方向性交易
信息传导
股指期货
稳定作用
two-side trading mechanism
directional trading
information transmission
stock index futures
stabilizing effect
