IF1005股指期货合约与沪深300指数的价格发现研究  

A Study of the Price Discovery between the Index Future 1005 and the CSI 300 Stock Index

作　　者：熊熊[1] 鲁洋[1] 刘文财[2] 

机构地区：[1]天津大学管理与经济学部,天津300072 [2]中国金融期货交易所,上海200122

出　　处：《长沙理工大学学报（社会科学版）》2010年第6期38-43,共6页Journal of Changsha University of Science and Technology：Social Science

基　　金：国家自然科学基金项目(70971096;70801043);教育部新世纪优秀人才支持计划项目(NCET-07-0605);中国期货行业协会联合研究计划(GT200702);天津社会科学基金(TJ05-TJ003)

摘　　要：股指期货对现货市场的价格形成究竟会不会产生影响,通过什么样机制产生影响,影响程度如何等问题成为其上市包括监管机构、市场人士与媒体普遍关心的问题。论文利用P-T模型分析了IF1005与沪深300股指的价格发现过程,发现了在合约生命期内,平均来看,股指期货在价格发现过程中起主导作用。但在市场处于不同走势中,期货与现货在价格发现过程中主次地位有一些差异。股市上涨过程中,期货起主导作用,股市下跌过程中,现货起主导作用。The issues such as whether the Stock Index Futures would have an impact on the price formation process of the spot market,by which the trading mechanism,and which level of the influence and so on,are generally concerned by Regulators,Market participants and the Media.By using the Permanent-Transitory Model,we analyse the Price Discovery between the Index Future 1005 and the CSI 300 Stock Index,and found that the Stock Index Futures play a leading role in the price discovery process by the average term.Meanwhile in the different trends of the market,there are some differences of the Stock Index Futures and spot between primary and secondary status in the price discovery process.Usually,the Futures played a leading role in the price discovery process in the rising trend,and the spot played a leading role in the price discovery process in the downing trend.

关 键 词：股指期货 价格发现 P-T模型 

分 类 号：F830.9[经济管理—金融学]