| 期货交易规则变化对期现两市关联性的影响研究 |
| A study on the influence of stock index future trading rules change on the relationship between stock and spot markets |
| 摘要点击 34 全文点击 0 投稿时间：2025-09-26 修订日期：2026-03-09 |
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| 中文关键词 交易规则 股指期货交易行为 现货价格跳跃 |
| 英文关键词 Trading rules; Transactions of Index Futures; Spot price jumps |
| 基金项目 安徽省哲学社会科学规划项目（AHSKY0D04） |
| 投稿方向 金融工程 |
| 作者 | 单位 | 邮编 | | 王明涛 | 上海财经大学（金融学院) | 200433 | | 瑞彪* | 上海财经大学（金融学院) | 200433 |
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| 中文摘要 |
| 本文以中国股指期货交易规则调整为背景，基于沪深300股指期货与现货1分钟高频数据，应用Logit模型研究了股指期货交易行为对现货价格跳跃的影响，以及不同交易规则下该影响的差异。结果表明：股指期货交易行为对现货价格跳跃具有持续性预测作用；期货套期保值行为可降低现货价格跳跃风险；交易成本（如保证金与手续费）的提高会增强期货交易对跳跃的预测作用；交易限额（如持仓与开仓限制）的放松仅在适度范围内有利于提升预测效果。交易规则的调整对套期保值降低跳跃风险的作用未呈现特定规律。研究结果可为制定科学的期货交易规则、管理现货跳跃风险及深化期现市场认知提供参考。 |
| 英文摘要 |
| This study examines the impact of stock index futures trading behavior on spot price jumps and how this relationship varies under different trading rules, using 1-minute high-frequency data of the CSI 300 index futures and spot market. Logit models were employed to analyze the predictive role of futures trading, and Fisher’s permutation tests were conducted to compare different regulatory periods. The findings indicate that futures trading behavior has a persistent predictive effect on spot price jumps. Hedging through futures can reduce spot jump risk. Higher trading costs, such as margins and fees, strengthen the predictive power of futures trading on jumps. Relaxing trading limits, including position and daily order limits, enhances prediction only within an appropriate range. Adjustments to trading rules do not show a consistent pattern in influencing the risk-mitigation effect of hedging. The results offer insights for designing effective futures trading regulations and managing spot market jump risks. |
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