我国股票市场共因子的价格发现——以上证指数、H股指数与H股指数期货为例  

The Price Discovery of Common Factor in China Stock Markets:Shanghai Index,H Index and H Index Futures

作　　者：李帅[1] 熊熊[1] 张维[1] 刘文财 寇悦[3] 

机构地区：[1]天津大学管理学院,天津300072 [2]上海期货交易所,上海200122 [3]香港中文大学会计系

出　　处：《系统工程》2007年第8期21-27,共7页Systems Engineering

基　　金：国家自然科学基金应急项目(70541006);天津社会科学基金资助项目(TJ05-TJ003);荣盛基金资助项目

摘　　要：随着越来越多的国有企业在香港市场发行H股股票,A+H的股票发行方式愈加普遍,A股市场与H股市场的指数构成趋于相似,两个市场有进一步整合的趋势。本文分别利用Hasbrouck的信息份额模型(I-S)与Gonzalo-Granger的永久短暂模型(P-T)分析了上证指数与H股指数、H股指数期货之间的价格发现机制。研究表明,上证A股综合指数对我国的股票市场共因子的价格发现起着主导作用,H股现货和期货市场对我国股票市场的共同有效价格的发现仅起次要作用。本文认为,我国股票市场的特定信息首先发生在境内,因此境内市场信息流动应该会引导境外市场,这同"本国/本地偏好"假说相一致。More and more State-owned Enterprises from China mainland list in Hong Kong Security market, including some A-share listed companies. A index and H index have similar Index constituting structure, and two market have common movement trend. This paper analyzes the price discovery mechanism of A index, H index and H index future using information-share model of Hasbrouck and Permanent Transitory model of Gonzalo and Granger. This study finds that Shanghai Stock index makes primary contribution to the price discovery. Hong Kong market just makes subsidiary contribution to the price discovery. The results show that information flows between markets mainly go out from the mainland market, because firm-specific information is likely to be dominated by home factors.

关 键 词：价格发现 本国偏好假说 共因子 H股指数期货 A股指数 

分 类 号：F830[经济管理—金融学]