Su Min
College of Economics and Management, Taiyuan University of Technology, Taiyuan, China.
Heliyon. 2023 Mar 9;9(3):e14429. doi: 10.1016/j.heliyon.2023.e14429. eCollection 2023 Mar.
Stock index futures have been around for more than 12 years in the Chinese market, but there are conflicting viewpoints on the role of Chinese stock index futures in the market. Many crises, including COVID-19, have heightened the financial system's vulnerability and instability. Do China's stock index futures play a role in stabilizing the market and discovering prices in turbulent times? This study employs a combination of VEC, PT, and IS methodologies to investigate the lead-lag relation and price discovery ability of stock index futures markets. By evaluating price interactions in three different scenarios, we reveal that stock index futures play a prominent role in price discovery, particularly in markets with excessive volatility. However, their impact on price discovery is weaker during stable market conditions. To the best of our knowledge, this study is the first to categorize the Chinese stock market into different states, providing valuable insights into the price discovery function of stock index futures. Our findings have important implications for policymakers and investors, as they highlight the need for increased attention to market manipulation and excessive speculation during volatile market conditions to protect the interests of investors.
股指期货在中国市场已经存在了12年多，但对于中国股指期货在市场中的作用存在相互矛盾的观点。包括新冠疫情在内的许多危机加剧了金融体系的脆弱性和不稳定性。中国的股指期货在动荡时期对稳定市场和发现价格是否发挥作用？本研究采用向量误差修正模型（VEC）、脉冲响应函数（PT）和信息份额模型（IS）相结合的方法，研究股指期货市场的领先滞后关系和价格发现能力。通过评估三种不同情景下的价格相互作用，我们发现股指期货在价格发现中发挥着显著作用，尤其是在波动性过大的市场中。然而，在市场稳定时期，它们对价格发现的影响较弱。据我们所知，本研究首次将中国股票市场划分为不同状态，为股指期货的价格发现功能提供了有价值的见解。我们的研究结果对政策制定者和投资者具有重要意义，因为它们强调在市场动荡时期需要更加关注市场操纵和过度投机，以保护投资者利益。
