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股指期货能否显著提升股票现货市场有效性,对于健全完善高效的现代金融市场体系具有重要意义。本文从分析师评级修正是否引起股票收益率漂移的角度,以2010年2月沪深300股指期货发布为前后时间分割点,以分析师评级修正事件为样本,通过自然实验的方法探究股指期货这一市场做空机制推出是否改善了A股市场有效性。研究发现:(1)股指期货的推出在一定程度上降低了分析师评级修正的信息含量,提高了市场有效性;(2)股指期货给市场以重要的做空渠道,改善了A股市场定价过高的状况;(3)在市场释放做空压力的特殊市场状况下,分析师调高评级相对于调低评级的增量效应增强,但这并不与市场有效性改善的结论相悖。这些结论有助于增进人们对股指期货功能、市场微观结构和信息效率的认识,对完善金融市场监管、加强市场风险管理有指导意义。
Whether stock index futures can significantly improve the effectiveness of the stock spot market is of great significance for the sound and efficient modern financial market system. This article from the analyst rating correction caused stock drift rate from the point of view, in February 2010 Shanghai and Shenzhen 300 stock index futures release as the timing before and after the split point, the analyst rating correction events as a sample, natural stock index futures through this method to explore this A market short mechanism introduced to improve the effectiveness of the A-share market. The research found that: (1) The introduction of stock index futures to a certain extent, reduced the analyst rating correction information content, improve the market effectiveness; (2) stock index futures market to the important short channel to improve the A-share market pricing (3) Under the special market conditions of releasing market pressure, the incremental effect of the analyst’s rating adjustment on the rating downgrade has been enhanced. However, this does not contradict the conclusion that the market efficiency is improving. These conclusions help to enhance people’s understanding of the functions of stock index futures, the market microstructure and the efficiency of information, and have guiding significance for improving the supervision of financial markets and strengthening market risk management.