中国股指期货存在交割日效应吗? ——基于指数和个股视角的研究

股指期货既可以实现投机或对冲的目的，又能低成本地改变风险敞口，在资本市场中具有举足轻重的作用。从探讨现行交割制度的合理性和指导投资者行为的角度出发，股指期货交割日当天是否会对现货指数的交易量、波动率和价格等造成影响，值得关注。指数层面，沪深300指数在交割日当天11∶05-11∶10的交易量达到非交割日的135倍，波动率约为非交割日的15倍；个股层面，大市值成分股和小市值成分股在交割日当天11∶05-11∶10的交易量和波动率分别比非交割日高17%和10%以上，同时价格反转现象显著。其中，市值最大的股票波动贡献率最大。综合来看，中国股票市场存在较明显的交割日效应，且此效应对大市值成分股更为显著。

Expiration Day Effects of CSI 300 Index Futures: Evidence from Index and Individual Stocks

Stock index futures play an important role in the capital market， in a sense that it can not only be utilized for speculation or hedging， but also lower the costs of adjusting risk exposure. The volume， volatility and price of CSI 300 index may be influenced by the expiration day of stock index futures. Thus， studying the expiration day effects is of great significance for exploring the rationality of current delivery system and guiding investor behaviors. This paper starts from the index perspective and uses CSI 300 index data from Jan.， 2011 to Dec.， 2014 to analyze the volume， volatility and price effects. Furthermore， by focusing more on individual stocks， this paper aims to reveal hidden facts that are covered at index level.  Unlike most research results that expiration day effects appear in the last two hours which determine settlement price， this paper finds that the CSI 300 index experiences larger volume and volatility at 11∶05-11∶10 on expiration days， with mild price effects. (1) Volume: the average percentage trading volume of stock index at 11∶05-11∶10 on expiration days is significantly higher than that of the day after expiration days or five days after expiration days. Results of individual stocks show that the abnormal volume concentration on expiration days is common to all stocks， regardless of its market value or whether or not a constituent stock. (2) Volatility: both the CSI 300 index and individual stocks exhibit extraordinary significant fluctuations at 11∶05-11∶10 on expiration day， towards the same direction. The magnitude of comovement between individual stocks and index increases as well. Specifically， the volatility of top decile constituent stocks in market value is more affected than other stocks. (3) Price effects: the frequency of price reversals on expiration days is 5625%， significantly higher than that of non-expiration days. Price effects for individual stocks are even more significant. The top decile constituent stocks in market value have lower average price reversals and tendency of reversals than mid-cap stocks. This indicates that expiration day effects have a greater impact on small and medium-sized investors， because they usually trade individual stocks， while institutional investors trade ″a basket of stocks．″ The innovations of this research are as follows: (1) We expand the study of CSI 300 index to individual stocks level， and further classify constituent stocks and non-constituent stocks by their market value， which is an improvement on the previous research. (2) We use parametric tests， nonparametric tests and regressions to eliminate potential weekend effects comprehensively， and examine the volume， volatility and price effects of expiration days to reach solid conclusions. (3) The use of five-minute high frequency data makes it easier to capture the abnormal behaviors of intraday stock index. The practical contributions of this paper are as follows. For regulators， it provides theoretical support and empirical evidence for ad hoc regulations on stock index futures; for investors， it gives guidance to small and medium-sized investors for optimization of investment behaviors． 