着眼于股指期货对现货市场微观结构的影响, 基于2015--2017年三次股指期货交易机制重大调整前后两个月的1分钟高频数据, 利用ACD-EGARCH模型对不同市场波动率背景下的股指期货是否改善现货市场微观质量进行了实证研究. 文章的主要结论为:股指期货在不同市场波动率背景下均能降低现货市场波动率, 且新进入的投机者比信息交易者贡献更高的波动率; 而只在平稳市背景下, 股指期货能增强现货市场流动性, 在波动市背景下, 股指期货吸引的信息交易者超过现货市场增加的非信息交易者, 现货市场流动性减弱. 建议在 平稳市背景下恢复股指期货的常态化交易, 但需要防范利好消息和投机者入市对市场波 动率的冲击风险.

The research focuses on the impact of stock index futures on the microstructure of the spot market. With high-frequency data during two months before and after three policy adjustments of stock index futures from 2015 to 2017, this paper analyzes whether stock index futures improve the micro-quality of the spot market in the context of different market volatility on the basic of ACD-EGARCH model. The main conclusions are: Stock index futures can reduce the volatility of the spot market no matter the spot market is volatile or stable, and new speculators contribute higher volatility than information traders. While only when spot market is stable, stock index futures can enhance the liquidity of the spot market. When spot market is volatile, stock index futures attract more traders from spot market than the increment of spot market traders brought by stock index futures. So it is better to liberalize stock index futures than to keep limitation, while potential risk also needs to be prevented by speculators growth and good news shock.