摘要
基于2010年5月至2015年4月A股和股指期货的数据,结合倾向性得分匹配与差分回归等方法,分析股指期货投机者对股市波动的影响。研究发现:股指期货投机者总体上并未显著影响股市波动率;市场流动性较好时,股指期货投机增加伴随着股市波动率降低;市场流动性较差时,股指期货投机者对波动率没有明显影响。
Based on data from A shares and index futures from May 2010 to April 2015, this paper adopts the methods of propensity score matching （PSM） and differential regression in its analysis of the impact of index futures speculators on stock market volatility. It is found that index futures speculators don＇ t significantly influence the stock market volatility. Under good market liquidity, index futures speculation is negatively related to stock volatility while this negative relation disappears under weak market liquidity.
出处
《经济经纬》
CSSCI
北大核心
2018年第2期151-157,共7页
Economic Survey
基金
教育部人文社会科学研究项目(17YJC790177)
中央高校基本科研业务费专项资金资助项目(ZY1707)
关键词
股指期货
投机者
股票
波动率
Index Futures
Speculator
Stock
Volatility
