Could Stock Index Futures Stabilize the Underlying Equity Market in China
使用倾向得分匹配法，研究中国股指期货推出对沪深300成分股价格波动的影响，发现融资融券降低波动，但过度投机增加波动，整体稳定效应随时间增强。
Using the propensity score matching method,the paper examines the effect of the stock index futures since its introduction in Chinese market on the price volatility of the underlying CSI 300(Chinese Shanghai-Shenzhen Index 300) stocks,relative to the matched non-CSI 300 stocks.Employing both an event study approach and a Difference-in-difference model,it is found that the margin trading can significantly reduce the volatility of index stocks.Whereas,the introduction of CSI 300 futures trading with overspeculation increases the volatility in the underlying stock market Thus,with the permission of institutional investors' hedge accounting, the CSI 300 stocks experience lower spot price volatility than non-CSI 300 stocks.The volatility gap between the two groups of stocks declines over time.Overall,these results suggest that the stabilization effect of stock index futures on the underlying CSI 300 stocks will be more and more significant.