沪深300股指期货的价格发现功能研究  

Price Discovery of the CSI 300 Index Futures

作　　者：刘静一[1] 蔡君刚[1] 简志宏[1] 

机构地区：[1]华中科技大学经济学院,湖北武汉430074

出　　处：《武汉理工大学学报（信息与管理工程版）》2013年第5期775-779,共5页Journal of Wuhan University of Technology：Information & Management Engineering

基　　金：国家自然科学基金资助项目(71171090)

摘　　要：将交易成本引入到一般向量误差修正模型(VECM)中,建立了时变门限先验向量误差修正模型(TVECM),利用公共因子权重法计算了期货市场的价格贡献度,对我国沪深300股指期货的价格发现功能做了相对系统全面的实证研究。研究表明,不考虑交易成本和考虑交易成本但不存在套利机会时,股指期货在期限市场之间的价格发现过程中起着绝对主导作用;考虑交易成本且存在套利机会时,两者的价格发现功能相差不大;市场的波动性而非流动性是价格发现的决定性因素。The transaction costs were introduced in a general vector error correction model （ VECM ） to build a pre - speci- fied time -varying threshold vector error correction model （TVECM）. The price contributions of index futures market was calcu- lated using common factor weights method. A comprehensive empirical research on price discovery of the CSI 300 index futures was completed. Results indicate that without transaction costs or with transaction costs but no arbitrage opportunity, the futures market plays an absolutely dominant role in the process of price discovery. When considering transaction costs and arbitrage op- portunity, there is no explicit difference between index futures and spot markets. It was also found that the volatility, rather than the liquidity, is the driving factor for the price discovery.

关 键 词：股指期货 门限向量误差修正模型 公共因子 

分 类 号：F830.94[经济管理—金融学]