Should Stock Index Futures be Responsible for the 2015 Stock Market Crash?—An Empirical Analysis Based on Directional Spillover Models

2015年股灾期间，股指期货受到广泛批评。本文使用方向性波动溢出模型，研究了沪深300、中证500、上证50三种股票价格指数分别与IF、IC、IH股指期货之间的动态波动溢出效应。研究发现，股灾期间，IF对中证500、上证50确实有推波助澜的作用，但沪深300依然对IF有净(正向)波动溢出效应；2016年1月股指期货交易新规则推出以后，IF对沪深300、中证500、上证50都有净(正向)波动溢出效应。结论是，2015年股灾的爆发并不完全是由股指期货导致的，至少从净影响来看股指期货并没有加剧沪深300的波动；股指期货交易规则的调整并没有很好地平抑现货市场波动。对沪深300、中证500、上证50与IC，沪深300、中证500、上证50与IH的实证研究也支持这一结论。最后提出了一些完善股票交易规则和股指期货交易规则的政策建议。 During the 2015 stock market crash, stock index futures have been widely criticized. The dynamic volatility spillover effects between CSI 300, CSI 500, SSE 50 and IF, IC, IH index futures are examined respectively by using directional spillover models. The stock index futures should not solely responsible for the crash, which is especially true from the perspective of directional spillover effects between CSI 300 and IF. There are many transaction rule modifications for stock index futures including the introduction and suspension of circuit breakers, but those modifications destabilized the stock markets. Robustness analysis also supports the conclusions. Some policy implications and suggestions are given finally.