股指期货主力合约转换与价格发现能力研究  

Study on the Relationship between the Main Index Futures Contract Transference and the Price Discovery Capacity

作　　者：林祥友[1] 王明邦 邵雪灵 LIN Xiang-you;WANG Ming-bang;SHAO Xue-ling(Business School,Chengdu University of Technology,Sichuan Chengdu 610059,China)

机构地区：[1]成都理工大学商学院,成都610059

出　　处：《重庆工商大学学报（社会科学版）》2018年第4期1-10,共10页Journal of Chongqing Technology and Business University：Social Science Edition

基　　金：四川省软科学研究计划项目(2015ZR0228)"沪港通对A+H交叉上市公司股价同步性的影响研究";四川省教育厅人文社科重点项目(14SA0036)"股指期货主力合约转换的判别法则优化研究";国家大学生创新创业训练计划项目(201710616120)"互联互通机制下沪深港股市竞争关系的动态演化研究"

摘　　要：以持仓量最大作为判断股指期货主力合约的标准,分析主力合约转换与价格发现能力变化的内在规律。采用向量自回归模型和向量误差修正模型检验主力合约转换前后新旧主力合约之间的价格引导关系,采用永久短暂模型和信息份额模型测度主力合约转换前后新旧主力合约的价格发现贡献度,从而研究主力合约转换对价格发现能力的影响。研究结果表明,在主力合约转换后,新旧主力合约的价格引导关系的方向发生明显逆转,新主力合约的价格引导能力明显增强;新旧主力合约的价格发现贡献度显著变化,新主力合约的价格发现贡献度显著提高。By using the maximum open interest as the standard of judging the main index futures contract,this paper studies the inner regularities between the main index futures contract transference and the price discovery capacity. Based on the VAR model and the VECM model,the lead-lag relationship between the old main contract and the new main contract is studied. And with the PT model and IS model,the price discovery contribution of the old main contract and the new main contract are measured. Thus studies the influence of the main contract transference on the price discovery capacity. This study shows that after the transference,there is a significant reversion in the direction of the lead-lag relationship between the old main contract and the new main contract,and the price discovery capacity of the new main contract is greatly enhanced. Another significant change is the contribution degree of price discovery capacity of the old main contract and the new main contract,which means the new main contract has a greater price discovery contribution.

关 键 词：股指期货 主力合约 价格引导关系 价格发现贡献度 

分 类 号：F830.9[经济管理—金融学]