Stock index futures play an important role in the capital market, in a sense that it can not only be utilized for speculation or hedging, but also lower the costs of adjusting risk exposure. The volume, volatility and price of CSI 300 index may be influenced by the expiration day of stock index futures. Thus, studying the expiration day effects is of great significance for exploring the rationality of current delivery system and guiding investor behaviors. This paper starts from the index perspective and uses CSI 300 index data from Jan., 2011 to Dec., 2014 to analyze the volume, volatility and price effects. Furthermore, by focusing more on individual stocks, this paper aims to reveal hidden facts that are covered at index level. Unlike most research results that expiration day effects appear in the last two hours which determine settlement price, this paper finds that the CSI 300 index experiences larger volume and volatility at 11∶05-11∶10 on expiration days, with mild price effects. (1) Volume: the average percentage trading volume of stock index at 11∶05-11∶10 on expiration days is significantly higher than that of the day after expiration days or five days after expiration days. Results of individual stocks show that the abnormal volume concentration on expiration days is common to all stocks, regardless of its market value or whether or not a constituent stock. (2) Volatility: both the CSI 300 index and individual stocks exhibit extraordinary significant fluctuations at 11∶05-11∶10 on expiration day, towards the same direction. The magnitude of comovement between individual stocks and index increases as well. Specifically, the volatility of top decile constituent stocks in market value is more affected than other stocks. (3) Price effects: the frequency of price reversals on expiration days is 5625%, significantly higher than that of non-expiration days. Price effects for individual stocks are even more significant. The top decile constituent stocks in market value have lower average price reversals and tendency of reversals than mid-cap stocks. This indicates that expiration day effects have a greater impact on small and medium-sized investors, because they usually trade individual stocks, while institutional investors trade ″a basket of stocks.″ The innovations of this research are as follows: (1) We expand the study of CSI 300 index to individual stocks level, and further classify constituent stocks and non-constituent stocks by their market value, which is an improvement on the previous research. (2) We use parametric tests, nonparametric tests and regressions to eliminate potential weekend effects comprehensively, and examine the volume, volatility and price effects of expiration days to reach solid conclusions. (3) The use of five-minute high frequency data makes it easier to capture the abnormal behaviors of intraday stock index. The practical contributions of this paper are as follows. For regulators, it provides theoretical support and empirical evidence for ad hoc regulations on stock index futures; for investors, it gives guidance to small and medium-sized investors for optimization of investment behaviors.
蒋岳祥 宫蕾 龙怀钢. 中国股指期货存在交割日效应吗? ——基于指数和个股视角的研究[J]. 浙江大学学报(人文社会科学版), 2016, 2(4): 170-180.
Jiang Yuexiang Gong Lei Long Huaigang. Expiration Day Effects of CSI 300 Index Futures: Evidence from Index and Individual Stocks. JOURNAL OF ZHEJIANG UNIVERSITY, 2016, 2(4): 170-180.