我国股指期货对股票市场定价的研究  

Study on stock market pricing of stock index futures in China

作　　者：徐磊[1] 倪旸[1] 杜朕威 

机构地区：[1]上海交通大学安泰经济与管理学院

出　　处：《价格理论与实践》2017年第12期102-105,共4页Price:Theory & Practice

基　　金：中国国家自然科学基金"中国股市崩溃风险研究"(编号71303155)

摘　　要：本文利用向量误差修正模型与信息份额模型,分别以沪深300、中证500股指期货为样本,探究了2015年股市异常波动期间我国股指期货市场与股票市场相互影响的方向性与显著性。发现在此期间,大多数时间股指期货都对指数影响显著且具有价格发现优势,中证500股指期货在价格发现上较沪深300更为强势,但我国股指期货制度不够完善,加剧了2015年股市的异常波动。对此,本文提出健全股指期货产品体系、提升机构投资者比例、逐步恢复股指期货市场等政策建议。This article uses the vector error correction model and the information share model to explore the direction of impact and significance between stock index futures market and stock market in 2015 when stock market abnormally fluctuates, by adopting the shanghai-shenzhen 300 index futures and the CSI 500 stock index futures as samples respectively. The result shows that during this period, the stock index futures have significant impacts on indexes and have the advantage of price discovery at most time. The CSI 500 stock index futures has larger advantage on the price discovery than the shanghai-shenzhen300 index futures. But the systematic imperfection of stock index futures market intensifies the abnormal fluctuation of stock market in 2015. So we make some systematic suggestions such as enlarging the product pool of stock index futures, increasing the proportion of institutional investors and gradually recovering the stock index futures market.

关 键 词：股指期货 价格发现 股市异常波动 向量误差修正模型 信息份额模型 

分 类 号：F832.51[经济管理—金融学] F724.5