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中国香港市场H股指数期货和中国台湾加权指数期货上市前后现货市场价格波动性的变化,体现了期货交易、信息和现货市场价格波动性三者之间的内在关系。两个市场由于投资者结构存在巨大差异,指数期货的上市在短期内对现货市场的影响存在巨大差异。但是,从长期看可使现货市场价格波动性显著降低,指数期货的上市虽然使信息传递速度加快,在一定程度上导致现货价格波动频率加快,但期货市场价格发现功能的作用使得现货价格偏离理论价格的幅度降低,最终使得现货市场价格的波动减缓。
Changes in the spot market price volatility of the Hong Kong market H-shares Index Futures and the China Taiwan Weighted Index futures markets before and after listing reflect the intrinsic relationship between the futures trading, information and spot market price volatility. Due to the huge differences in investor structure between the two markets, the impact of the listing of index futures on the spot market in the short term is quite different. However, in the long run, the spot market price volatility can be significantly reduced. Though the listing of index futures accelerates the information transmission, to a certain extent, the spot price volatility accelerates. However, the function of price discovery in the futures market makes the spot price deviate from the theory The reduction in the price range will eventually slow down the spot market price.