本文選題：監(jiān)管限制 + 跨市場風(fēng)險��； 參考：《中國管理科學(xué)》2017年09期

【摘要】：本文探討了在市場之間聯(lián)系愈發(fā)緊密情況下,針對單一市場"圍堵"式的臨時監(jiān)管限制措施可能引發(fā)的跨市場風(fēng)險。以2015年股指急劇下跌后對股指期貨交易加大管制為背景,本文發(fā)現(xiàn),一系列限制措施出臺后,股指期貨市場出現(xiàn)整體流動性萎縮,現(xiàn)貨市場則出現(xiàn)了較為顯著的收益率與成交量的正反饋效應(yīng),造成極端下跌事件的自我實現(xiàn)。本文認為,對股指期貨交易的過度限制,使得機構(gòu)投資者在下跌行情中無法通過期貨對沖風(fēng)險,加劇了現(xiàn)貨市場拋售壓力,引發(fā)了現(xiàn)貨市場極端下跌事件。因此,監(jiān)管層在設(shè)計和運用監(jiān)管限制時應(yīng)當審慎、全面分析目前的市場關(guān)聯(lián)結(jié)構(gòu)變化,避免政策的失靈和不恰當政策帶來的風(fēng)險。
[Abstract]:This paper explores the possible cross market risk caused by the temporary regulatory restrictions on a single market "containment" under the increasingly close links between markets. The background of increasing control of stock index futures trading after the sharp fall of the stock index in 2015 is the background. This paper finds that after a series of restrictions are introduced, the stock index futures market has an overall flow. In the spot market, the spot market has a more significant positive feedback effect on the rate of return and volume, which causes the self realization of the extreme fall event. This article holds that the excessive restrictions on stock index futures trading make institutional investors unable to hedge against wind risk in the fall market, exacerbating the spot market selling pressure and triggering the spot market. There is an extreme decline in the market. Therefore, regulators should be careful when designing and applying regulatory restrictions to comprehensively analyze current changes in market related structures to avoid policy failures and risks caused by inappropriate policies.
【作者單位】： 上海交通大學(xué)安泰經(jīng)濟與管理學(xué)院;
【基金】：國家自然科學(xué)基金資助項目(71271136)
【分類號】：F724.5

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