沪深300股指期货价格发现实证研究  

Empirical Research on the Price Discovery of CSI300 Stock Index Futures

作　　者：许自坚[1] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031

出　　处：《西南交通大学学报（社会科学版）》2012年第3期127-131,共5页Journal of Southwest Jiaotong University(Social Sciences)

基　　金：教育部人文社会科学基金资助项目(12YJA790110);中央高校基本科研业务费专题项目(A0920502051113-67)

摘　　要：自沪深300股指期货推出以来,其对股票市场的影响,特别是其价格发现功能,已成为研究者关注的热点。以5分钟高频数据建立向量误差修正模型,并通过IS和PT模型分析股指期货与现货指数各自在价格发现中的贡献度,结果表明:股指期货与现货指数之间存在长期的协整关系,在价格发现过程中股指期货占据主导地位。To examine the price discovery ability between the CSI300 stock index futures market and the underlying spot index in China,the author uses 5 minute high frequency data to establish vector error correction model,analyzes short-term and long-term price discovery between CSI300 stock index futures and the underlying spot index,and adopts IS and PT models to calculate their information share.The empirical results show that there exists longterm cointegration relationship between stock index futures and the underlying spot index,and futures are more likely to occupy the dominant position in price discovery,which can also be proved by the contribution of price discovery.

关 键 词：沪深300指数 股指期货 股票指数 价格发现 期货市场 现货市场 套期保值 投资组合 

分 类 号：F832.51[经济管理—金融学]