股指期货对韩国股票市场的影响外文翻译

外文翻译原文TheimpactofstockindexfuturesontheKoreanstockmarketMaterialSource:/ehost/pdfviewer/pdfviewer?hid=15&sid=6d323da0-58fb-47c7-8da9-3208cc81ed87%40sessionmgr14&vid=8Author:HYUN-JUNGRYOOandGRAHAMSMITHThisarticleinvestigatestheimpactonthespotmarketoftradinginKOSPI200futures.Empiricalresultsshowthatfutures’tradingincreasesthespeedatwhichinformationisimpoundedintospotmarketprices,reducesthepersistenceofinformationandincreasesspotmarketvolatility.Thespotandfuturespricesarecointegratedandthereisbidirectionalcausalitybetweenthetwomarkets.Thelead-lagrelationisasymmetricwithweakerevidencethatthespotindexleadsfuturesandstrongerevidencethatthestockindexfuturesmarketleadsthespotmarket.Tradinginthesestockindexfutureshasgrownremarkably.Stockindexfuturesareperceivedasoneofthemostsuccessfulfinancialinnovationsofthe1980s.TradinginthemwasfirstintroducedinFebruary1982bytheKansasCityBoardofTradeintheUSAandotherdevelopedmarketssoonfollowed.Incontrast,muchofthefuturestradinginemergingmarketsarearelativelyrecentphenomenon.AlthoughKoreaisoneofthefastestgrowingemergingmarkets,itwasnotuntil3May1996thatafuturescontractbasedontheKoreaStockPriceIndex200(KOSPI200)wasintroducedontheKoreaStockExchange(KSE).Tradinginthesestockindexfutureshasgrownremarkably.Bytheendof1998,averagedailytradingvolumewas61279contracts(value1.39millionwons).AccordingtotheFIBV(1999),byDecember1998thestockindexfuturesmarketinKoreahadbecomethesecondlargestintheworldintermsoftradingvolume,aftertheChicagoMercantileExchange(CME).Theimpactofderivativetradingonspotpricevolatilityhasbeenwidelyinvestigatedfordevelopedmarkets.Forstockindexfutures,researchhasfocusedoncomparingspotpricevolatilityinperiodsbeforeandaftertheintroductionoffutures(forexampleEdwards,1988;Harris,1989;AntoniouandHolmes,1995).Inparticular,oneoftheprimaryconcernsofpreviousstudieshasbeentheissueofwhetherfutures’tradingdestabilizestheunderlyingspotmarket.Althoughsomestudiesfindincreasedvolatility,theweightoftheempiricalevidenceshowsnoincreaseinvolatilityfollowingtheintroductionoftradinginstockindexfutures.Amongothers,Freris(1990)examinedtheimpacteffectofHangSengIndexFuturesonthebehaviorsoftheHangSengIndexusingdatafortheperiodfrom1984to1987andfoundthattheintroductionofstockindexfuturestradinghadnomeasurableeffectonthevolatilityofthestockpriceindex.LeeandOhk(1992)examinedtheeffectofintroducingindexfuturestradingonstockmarketvolatilityinAustralia,HongKong,Japan,theUKandtheUSAusingdailyindexdataforperiodsofapproximatelyfouryearsspanningthestartoftradeinindexfutures.Theyfoundthatforthethreelargestmarkets,returnvolatilityincreasedsignificantlyafterthelistingofstockindexfutures.However,fortheAustralianmarkettherewasnosignificantdifference,andforHongKongstockreturnvolatilityactuallydecreased.Usinginternationalportfolios,theyfurtherfoundthatalthoughthecreationofstockindexfuturesgenerallyexertedavolatility-increasinginfluenceonthebehaviorsofcashmarketstockreturns,itmadethestockmarketrelativelymoreefficientbecausevolatilityshocksweremorequicklyassimilatedinthatmarket.Kamaraetal.(1992)investigatedtheeffectoffuturestradingontheS&P500onthestabilityoftheunderlyingindex.Theirresultssuggestedthat,althoughthevolatilityofmonthlyreturnsremainedunchanged,thevolatilityofdailyreturnsinthepost-futuresperiodwashigherthaninthepre-futuresperiod.Oneoftheimportantrolesattributedtofuturesmarketsisthatof‘pricediscovery’;thatis,thefuturesmarketreflectsnewinformationbeforethespotmarket.Ifnewmarketinformationdisseminatesinthefuturesmarketbeforethestockmarket,thentheintroductionofafuturesmarketincreasestheamountofinformationreflectedinthespotprice.Thismightbeexplainedbythefactthattradingfutureshastheadvantagesofahighlyliquidmarket,lowtransactioncosts,easilyavailableshortpositions,lowmarginsandrapidexecution.Thus,informedtradersmayfindtheycanactfasterandatlowercostinthefuturesmarketthantheycaninthecashmarket,resultinginalead-lagrelationshipbetweenfuturesandspotprices.Thelead-lagrelationbetweenmovementsofspotandfuturespriceshasbeenwidelyinvestigatedwiththemethodsusedvaryingacrossstudies.Forexample,Kawalleretal.(1987),Abhyankar(1998)andTangetal.(1992)usemodified/non-modifiedGrangercausalitytests.WhereasWahabandLashgari(1993),Flemingetal.(1996)andPizzietal.(1998)usecointegrationanderrorcorrectionmodels.However,irrespectiveofmethodology,theresultscanbesummarizedconcisely:marketinformationtendstodisseminateinfuturespricespriorto,andatgreaterspeedthan,instockprices.Alloftheresearchsofardiscussedfocusesondevelopedmarkets.Verylittleworkhasinvestigatedtheimpactofstockindexfuturestradinginemergingmarkets.Thisarticlecontributestothissparseliterature;itisthefirsttoexaminetheimpactontheKoreanspotmarketoftradinginfutures.Itfocusesonthreeaspects.First,theimpactoffuturestradingonpricevolatilityinthespotmarketisexamined.Second,itdiscusseslong-runequilibriumandshort-runadjustmentthroughtestsofcointegrationandcausality.Third,lead-lagrelationshipsareanalyzed.Thisarticlediffersfrompreviousstudiesthatuseclosingpricesforfuturesandspotprices,byusingdatawithmatchedclosingtimes.ThisisdesirablebecauseinKoreatradinginindexfuturesandtradinginstocksfinishatdifferenttimes.Byusingmatchedclosingtimes,oneavoidscomparingnon-synchronousclosingpricesofthespotindexandfuturescontracts,whichmightleadtoasignificantsourceoferror.TheimpactoffuturestradingonpricevolatilityintheunderlyingspotmarketindexisexaminedbyadoptingthegeneralizedARCH(GARCH)processinwhichtheconditionalvarianceofuattimetisdependentnotonlyonpastsquareddisturbancesbutalsoonpastconditionalvariances.Empiricalevidence,forexample,Bollerslevetal.(1992),Huangetal.(1995)andRyoo(2001),findsthatreturnsinstockmarketsexhibitheteroscedasticity.Therefore,followingHolmes(1996),aGARCHrepresentationwouldseemtobeanappropriatemeansbywhichtocapturemarket-widepricevolatility.Considerthemodel:（1）（2）whereRs,tisspotpricereturns,thechangeinthelogarithmofthespotpriceindexinperiodt,Rp,tisreturnsonthemarketproxyvariable(forwhichthereisnoassociatedfuturesindex),utisanerrortermrepresentingunexplainedpricechangesandψtistheinformationsetavailableattimet.Sincetheproxyvariablecoversmarket-wideinfluencesonpricechanges,theerrortermcapturestheimpactoffactorsspecifictothemarketonwhichthefuturescontractiswrittenanditsvariance,ht,providesameasureofmarket-widepricevolatility:（3）Byestimatingthemodelforperiodspre-andpost-futurestradingandcomparingtheparametersofthevarianceequations,itispossibletodeterminehowfuturestradingimpactsonvolatility.Thecoefficientα1relatestoday’spricechangestoyesterday’smarket-specificpricechangesandasthesedependonthearrivalofinformationyesterday,α1canbeviewedasa‘news’coefficient.Ifincreasesα1followingtheintroductionoffuturestrading,thissuggeststhatfuturestradingresultsininformationbeingimpoundedintospotpricesmorerapidly.Conversely,ifαldecreasesinthepost-futuresperiod,thissuggeststhatinformationisimpoundedintospotpricesmoreslowly.EngleandBollerslev(1986)andEngleandMustafa(1992)showedfortheGARCH(1,1)model,thatthepersistenceofvolatilityshocksdependsprimarilyonα1+β1.Anincrease(decrease)inα1+β1followingtheintroductionoffuturestradingindicatesincreased(decreased)persistenceofvolatilityshocks.TheKoreaStockPriceIndex200(KOSPI200)istheunderlyingstockindexfortradedfuturesandoptionscontractsontheKSE.TheKOSPI200isacapitalization-weightedindexthattracksthecontinuouspriceperformanceof200activelytraded,largecapitalizationcommonstockslistedontheKSE.Thesesharesaccountforapproximately70–80%ofdomesticmarketcapitalizationsotheindexreflectsoverallmarketperformance.Inordertoavoidunintendedbias,theconstituentstocksarerigorouslyrevisedovertime.Thebasefigurewassetat100.00asof3January1990.TradingofKOSPI200futuresisimplementedunderanorder-driven,continuoustradingsystem.Sincetradingisexecutedthroughacomputerizedsystem,thereisnophysicaltradingfloor.KOSPI200futuresexpirefourtimesayear,inMarch,June,SeptemberandDecember.ThelasttradingdayisthesecondThursdayofeachcontractmonth.Oneindexpointequals500000Koreanwonandsettlementofthecontractisincash.Therearetwotradingsessions,morningandafternoon.Until5December1998,bothstockandstockindexfuturescontractsweretradedonweekdaysbetween9:30a.m.and11:30a.m.inthemorningsession.Intheafternoonsession,stocksweretradedfrom1:00p.m.until3:00p.m.andindexfuturesweretradedbetween1:00p.m.and3:15p.m.exceptionthelasttradingdayofeachcontractmonth,whenfuturestradingclosedat2:50p.m.OnSaturdays,bothstockandindexfuturesweretradedfrom9:30a.m.until11:30a.m.and11:45a.m.,respectively.Since7December1998,therehasbeennoSaturdaytradingandthemorningsessionforweekdayshasbeenextendedfrom9:00a.m.untilmid-day.Withtheintroductionofstockindexfuturestrading,thereweredailypricelimitsforfuturescontractsof±5%oftheprevioustradingday’sclosingprice.On2March1998thiswasrelaxedto±7%andon7December1998to±10%.Thereisalsoasystemofcircuitbreakers.Whenthepriceoftheprevioustradingday’smostactivecontractreaches±5%ofthatday’sclosingpriceforoneminute,thetradingofallfuturescontractsishaltedforthenextfiveminutes.Also,whentheKOSPIcontinues(foroneminute)tolose10%ormoreofitsvaluecomparedtothepreviousday’sclosingprice,futures’tradingishaltedfor20minutes.译文股指期货对韩国股票市场的影响资料来源:/ehost/pdfviewer/pdfviewer?hid=15&sid=6d323da0-58fb-47c7-8da9-3208cc81ed87%40sessionmgr14&vid=8作者：玄荣龙，格雷厄姆本文从影响现货市场的KOSPI200期货进行研究。实证结果表明，股指期货的交易增加了现货市场价格信息发现的速度，降低了信息的持久性，同时增加现货市场波动性。现货和期货价格之间存在协整的双向因果关系。研究表明现货市场和股指期货市场存在着不对称性，股票指数期货市场领先现货市场。股指期货被视为20世纪80年代的最成功的金融创新之一。1982年2月，股指期货首次由堪萨斯市教委在美国市场推出，其他发达市场紧随其后。与此相反，在许多新兴市场，期货交易是一种比较新的现象。虽然韩国是发展最快的新兴市场之一，但直到1996年5月3日，基于韩国证券交易所价格指数200（KOSPI200）的股指期货在韩国证券交易所推出。在这些股票指数期货的交易增长显著。到1998年底，平均每日交易量为61279的合同（价值139万韩元)。据国际证券交易所联会（1999年），根据到1998衍生工具交易对现货价格的影响已经被广泛运用到发达市场的研究中去。对于股指期货的研究主要集中在比较股指期货推出前后现货价格的波动性方面（例如Edwards,1988；Harris,1989;AntoniouandHolmes,1995）。特别是，以往研究的首要问题之一是是否期货交易对现货市场起到了本质上的影响。尽管一些研究发现买卖股票指数期货增加了现货是市场的波动性，但是大多是经验证据表明股指期货推出对波动性没有影响。其中，Freris（1990）对1984年至1987年之间的恒生指数进行研究，他发现恒生指数期货的引进对恒生价格指数的波动没有起到明显的作用。Lee和Ohk（1992）利用跨越了四年的每日股指期货数据，对在澳洲、香港、日本、英国和美国引入股指期货后股票市场波动性影响进行研究。他们发现对第三大市场来说，在股指期货推出之后，波动报酬率有了明显的增长。在澳大利亚市场上，波动报酬率没有显着差异，香港股市场却有着明显的下降。利用国际投资组合，他们进一步发现，虽然股指期货的产生对现货市场的股票收益率波动性的影响越来越大，这是因为波动变得越来越灵敏从而使得股市也随之变得更加有效。Kamara（1992）研究了以S&P500指数为标的物的股指期货的稳定性影响。他的研究结果表明，虽然每月回报的波幅维持不变，但是在股指期货买卖后期的波动收益率明显高于股指期货买卖前期。股指期货在期货市场上最重要的作用是价格发现，也就是说，股指期货对新信息的反应比现货市场更加超前。如果新的市场信息传播在期货市场之前，那么期货市场引入增加信息量将在现货价格中反映出来。这可能解释为交易期货具有流动性高，交易成本低，低保证金和快速交易的市场优势。因此，知情交易者可能会发现，他们可以比现货市场上更快做出反应和以更低的成本在期货市场交易，这是由于期货和现货价格之间的超前滞后关系造成的。各国学者们运用不同的方法，对现货价格和期货价格直接的超前滞后关系进行的调查研究。如Kawalle（1987年）和Abhyankar（1998年）使用修正或者未修的Granger因果关系进行检验。Wahab和Lashgari（1993），Fleming（1996）还有Pizzi（1998）等都使用协整和误差修正模型进行研究。然而，不论方法结果可以简要概括：市场信息在期货市场上的传播往往早于在现货市场。到目前为止，所有关于股指期货的研究都集中于发达的市场，只有很少一部分关于股指期货交易在新兴市场的影响研究。这篇文章对新兴市场关于这方面的研究做出了贡献，因为它是第一个研究韩国股指期货买卖对现货市场的影响论文。它主要集中在三个方面的研究：第一，期货交易对现货市场价格波动的影响的研究。其次，通过协整和因果关系检验讨论长期均衡和短期调整的研究。第三，超前滞后关系的分析。本文不同于过去使用期货收盘价格与现货价格数据，而是使用匹配的关门时间价格数据。这种研究方法是可取的，因为在韩国的股指期货和股票买卖交易在不同的时间完成。通过使用匹配的关门时间，它避免了因非同步收市而可能引起重要错误的现货指数和期货合约之间的比较。关于价格的相关现货市场交易期货指数的波动影响审查采用广义的ARCH（GARCH模型），在条件方差u不仅是过去时间t平方的干扰，也收到过去的条件方差的影响。例如，Bollerslev（1992