现货市场异常波动下股指期货交易限制对市场质量的影响分析

通过计算机仿真构建了基于投资者策略的跨市场金融平台,提出了异常波动下交易限制措施对市场质量的评价体系.从股指期货交易限制的角度,研究在现货市场异常波动期间管制措施对期货和现货市场质量的影响,并比较在不同的市场结构下管制措施的有效性.研究发现,对于股指期货的交易限制措施在短期内有效,但中长期内无法发挥股指期货基本功能.另外,交易限制的短期效果在一个新进杠杆资金较少的市场上是最好的,而在中长期市场中适当增加的投机和套利活动能抵消交易限制措施的效果,为市场提供流动性,使市场更快恢复到原来的状态.因此,异常波动下的股指期货交易限制应该是临时性的,在市场企稳后应该及时逐步恢复原有的制度结构.

Analyzing the impact of stock index futures' trading limits on market quality during abnormal fluctuations in the spot market

We develop a cross-market simulation trading platform of stock and stock index futures based on investors' behavior, and propose an evaluation system during abnormal fluctuations. We analyze the impact of stock index futures' trading limits on market quality as well as the effectiveness on different market structure, where we find that strict trading limits are effective in short term, while barely effective in long term. In addition, the impact of trading limits in a less-leveraged market is the best in short term. However, proper amount of speculation and arbitrage activities may offset the impact of trading limits in long term, which provides liquidity necessary for the market. Thus, trading limits of stock index futures during abnormal fluctuations in the spot market should be temporary and must restore the original rules when market stabilized.