东北大学学报（社会科学版）

东北大学学报（社会科学版） ›› 2022, Vol. 24 ›› Issue (5): 16-22.DOI: 10.15936/j.cnki.1008-3758.2022.05.003

• 经济与管理研究 • 上一篇    

股指期货市场正反馈交易的空间溢出效应

田树喜1，晏雪1，张博2   

  1. (1.东北大学工商管理学院，辽宁沈阳110169;2.中国人民银行沈阳分行，辽宁沈阳110013)
  • 修回日期:2021-08-18 接受日期:2021-08-18 发布日期:2022-10-03
  • 通讯作者: 田树喜
  • 作者简介:田树喜(1970-)，男，辽宁本溪人，东北大学副教授，经济学博士，主要从事金融衍生品市场研究。
  • 基金资助:
    教育部人文社会科学规划研究资助项目(20YJA72003)。

Spatial Spillover Effect of Positive Feedback Trading in Stock Index Futures Markets

TIAN Shuxi1， YAN Xue1， ZHANG Bo2   

  1. (1. School of Business Administration， Northeastern University， Shenyang 110169， China; 2. Shenyang Branch， People's Bank of China， Shenyang 110013， China)
  • Revised:2021-08-18 Accepted:2021-08-18 Published:2022-10-03
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摘要： 利用拓展的正反馈交易模型，对12个国家股指期货市场的正反馈交易进行了联合检验，结果表明，相关国家股指期货市场的正反馈交易存在显著的空间溢出效应。进一步对新冠肺炎疫情窗口期的计量检验表明，相关国家量化宽松的反危机措施虽然抑制了股市的下跌，但同时也加剧了股指期货市场背离经济基本面的上行正反馈，并通过利率渠道和通胀渠道得以强化扩散。因此，应警惕疫情下反危机措施“矫枉过正”而诱发的市场泡沫化风险。

关键词: 股指期货; 正反馈交易; 空间溢出效应; 量化宽松

Abstract: Using the extended positive feedback trading model， a joint test is made on the positive feedback trading in the stock index futures markets of 12 countries. The results show that there is a significant spatial spillover effect of positive feedback trading in the stock index futures markets. Further econometric test in the window period of the Covid-19 pandemic shows that the quantitative easing policies implemented in those countries have curbed the crash of stock markets， but also intensified the spatial spillover effect of positive feedback trading in the stock index futures markets through interest rate channel and inflation channel. Therefore， we should be alert to the risk of market bubble induced by the “overcorrection” of anti-pandemic measures during the Covid-19 period.

Key words: stock index futures; positive feedback trading; spatial spillover effect; quantitative easing

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