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| 股指期货对现货市场信息效率影响的实证研究 | |
| 引用本文： | 缪晓波,冯用富,刘学,王娜,李瑛.股指期货对现货市场信息效率影响的实证研究[J].四川大学学报(哲学社会科学版),2008(6). |
| 作者姓名： | 缪晓波 冯用富 刘学 王娜 李瑛 |
| 作者单位： | 1. 西南财经大学,证券与期货学院,四川,成都,610074 2. 中国证监会,四川监管局期货部,四川,成都,610041 3. 中国邮政储蓄银行,四川省分行,四川,成都,610016 4. 中国工商银行,四川省分行,四川,成都,610016 |
| 基金项目： | 教育部人文社会科学研究基金重点研究基地重大研究项目"过渡期后中国出口贸易摩擦预警研究" |
| 摘 要： | 成熟股票市场的信息效率在股指期货刚推出时(第一年)的信息效率或提高或降低,而新兴市场普遍降低;随着股指期货的发展及逐渐成熟与稳定,成熟市场和新兴市场的信息效率均随着股指期货的不同发展阶段呈现"先下降后升高"的趋势,表明从长期来看,股指期货对现货市场具有促进作用,两个市场最终趋于长期的动态均衡。 |
| 关 键 词： | 股指期货 现货市场 信息效率 近似熵 |
The Impacts of Stock Index Futures on Informational Efficiency of Cash Markets: An Empirical Study |
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| MIAO Xiaobo,FENG Yongfu,LIU Xue,WANG Na,LI Ying.The Impacts of Stock Index Futures on Informational Efficiency of Cash Markets: An Empirical Study[J].Journal of Sichuan University(Social Science Edition),2008(6). | |
| Authors: | MIAO Xiaobo FENG Yongfu LIU Xue WANG Na LI Ying |
| Institution: | MIAOXiaobo1,FENGYongfu1,LIUXue2,WANGNa3,LIYing4 |
| Abstract: | A novel measure of market informational efficiency,Approximate Entropy(ApEn),is introduced in this paper,with which an empirical study was undertaken to discuss the impacts of stock index futures on informational efficiency of underlying cash markets.Results indicate that informational efficiency of advanced markets increase or decrease at the beginning of the index futures development,but pervasively decrease in emerging markets.Along with different developing phases of stock index futures,especially in mature and stable phase,a trend of cash market informational efficiency,"decrease firstly,then increase",was found,which implies that stock index future could promote underlying cash markets in a long run,and approach to dynamical equilibrium. |
| Keywords: | Stock Index Future Spot Market Informational Efficiency Approximate Entropy |
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