股指期货与股票市场效率研究

【作者】 朱海燕；

【导师】 戴晓凤；

【作者基本信息】 湖南大学 ， 金融学， 2003， 硕士

【摘要】 股票市场的效率可分为三种：外部的资金配置效率、定价效率和市场内部的运行效率，其中，定价效率是把股票市场内部运行效率导向外部资金配置效率的“指示器”。股票市场的最终目标是合理配置资金，而资金能否得到有效配置则取决于定价效率和运行效率的高低。定价有效率是指股票价格能及时、准确、迅速地反映市场信息；运行效率反映了股票市场的组织功能及服务功能的状况，主要表现是完成交易所需费用低、时间短，规避风险及资本形成能力强，市场运行稳健。 股指期货是在股票市场低效运行的情况下产生的，它对股票市场的效率产生了深远的影响。本文主要采用了规范研究方法对该问题进行了系统分析。股指期货能发现股票市场未来价格的变动趋势。股指期货的价格包含了大量的信息，这些信息通过股指期货市场与股票市场间的套利机制能及时传递到股票市场，增加了股票价格的信息含量，从而提高了股票市场的定价效率；股指期货引入后，增加了股票市场规避价格风险的能力，提高了股票市场的流动性，促进了资本形成，并有利于保持和增强股票市场的稳定性，因此提高了股票市场的运行效率。 我国股市目前股价严重脱离股票的真实价值，系统性风险较突出，市场效率低下，因此股指期货的引入是必须的。但股指期货对股票市场效率的提高是一个渐进的过程，取决于股票市场的发展程度。我国股市信息披露制度不健全、交易制度存在缺陷、庄家炒作现象严重，这些因素会制约股指期货对股票市场效率的推动，本文依次对这些问题进行了分析，并提出了切实可行的改进和预防策略，希望能给决策层和投资者带来启示。更多还原

【Abstract】 Stock market efficiency can be categorized as external allocation efficiency of fund, pricing efficiency and internal operation efficiency. Pricing efficiency is the indicator which leads internal operation efficiency to external allocation efficiency of fund. The ultimate object of the stock market is to properly allocate fund. Whether the fund can be distributed efficiently or not relies that pricing efficiency and operation efficiency are high or low. Pricing efficiency means that the stock price can immediately and correctly reflect market information. Operation efficiency mirroring the state of organization and service of the market implicates the cost is lower and the time is shorter when making transaction, the capacities of avoidance of risk and capital formation are stronger, and the operation of stock market is steadier.Stock index futures emerged when stock market was less efficient and it profoundly impacted on the efficiency of stock market. This article systematically analyzes the issue using theoretical research means. Stock index futures can find out the trend of changes in future price of stock market. The price of stock index future contains large amount of information which can be transmitted to stock market by the arbitrage mechanism between future market and stock market. This increases the contents of stock price and then improves the pricing efficiency of stock market. Since stock index futures strengthen the ability of avoidance of price risk, improve the liquidity, enhance the steadiness of stock market, they increase the operation efficiency of stock market.On Chinese stock market, stock price critically separates from real value of stock and systematic risk is higher. Because of low efficiency of stock market, introduction of stock index futures is necessary. The process in which stock index futures improve the efficiency of spot market depends on the level of development of stock market. The imperfect system of information disclosure, the exchange mechanism halts and serious banker phenomena in stock market will restrict the improvement of stock market efficiency due to the introduction of stock index futures. This article will analyze these problems in turn and propose reasonably improvable and preventative strategies.更多还原