期刊论文

Does the“Loose”Policy of Stock Index Futures Improve the Pricing Efficiency of the Stock Market?

中文

管理评论

1003-1952

2022

34

4

52-61

湖南省自然科学基金项目（2019JJ40129）；

本校为第一机构

基于2016年1月—2019年3月中国A股市场数据,综合采用DID及多期DID法,通过整体政策效应、阶段政策效应检验及月度政策效应检验,比较分析了股指期货“松绑”政策对股票市场定价效率短期及长期影响。结果表明,由于后期正向影响持续时间显著短于前期负面影响时期,股指期货“松绑”政策对股票市场定价效率整体样本区间内呈现负面影响,但“先抑后扬”并呈现渐进式改善的趋势。

Based on the data of China’s A-share market from January 2016 to March 2019,this paper makes a combined use of DID and multi-period DID methods to comparatively analyze,by testing the effect of overall,perioidc and monthly policies,the short-term and long-term pricing efficiency of stock market under the“deregulating”policy of stock index futures.The results show that,since the duration of the positive impact in the later period is significantly shorter than the negative impact in the earlier period,the“deregulating”policy of stock index f...