仓位限额对股指期货价格发现的影响——基于上证50、沪深300和中证500的实证对比  

Effect of Position Limit on Price Discovery——Evidence from SSE 50,CSI 300 and CSI 500 Spots and Futures Markets

作　　者：许桐桐 王苏生[1] 彭珂 XU Tong-tong;WANG Su-sheng;PENG Ke(School of Economics and Management,Harbin Institute of Technology,Shenzhen,518055,Guangdong,China)

机构地区：[1]哈尔滨工业大学经济管理学院,广东深圳518055

出　　处：《华南理工大学学报（社会科学版）》2018年第4期45-55,共11页Journal of South China University of Technology(Social Science Edition)

基　　金：国家自然科学基金(71103050);国家社会科学基金(15BGL213);深圳市软科学基金(JCYJ20140417173156101)

摘　　要：采用1分钟高频数据,实证分析上证50股指期货、沪深300股指期货和中证500股指期货相对现货的价格发现能力,着重分析仓位限额对期货价格发现能力的影响。对价格序列进行区间划分,并进行平稳性、格兰杰因果关系和协整关系的检验;针对价格序列建立向量误差修正模型;运用改进的信息共享模型计算序列间的价格发现贡献度,并应用永久短暂模型进行稳健性检验。结果表明:股指期货的价格发现贡献度均大于现货的价格发现贡献度;仓位限额降低了股指期货的价格发现能力,而且对上证50股指期货的价格发现能力影响最大。Using 1-minute high frequency data,this paper explores the price discovery function of Chinese index futures markets,including SSE 50,CSI 300,and CSI 500 futures markets,and analyses the effect of position limit on price discovery. Granger causality tests,Johannsen cointegration tests and vector error correction model are employed to analyse the long-term relationship of futures and spots.Modified information share model is applied to measure the contribution to price discovery of futures markets and spots markets,and permanent transitory model is applied to test the robustness of the contribution to price discovery. The results show that futures market contribute the most to price discovery,and the price discovery of futures markets decreases when the position limit is carried out.

关 键 词：股指期货 价格发现 仓位限额 改进的信息共享模型 永久短暂模型 

分 类 号：F830.91[经济管理—金融学]