2015年沪深300股指期现价格互动关系回溯研究  

A Retrospective Research on Price Dynamics between CSI 300 Stock Index Spots and Futures in 2015

作　　者：王军[1] 刘卓然 WANG Jun;LIU ZhuoRan(China Agricultural University,Beijing 100083)

机构地区：[1]中国农业大学经济管理学院,北京100083 [2]中国农业大学中国期货与金融衍生品研究中心,北京100083

出　　处：《财贸研究》2019年第7期25-33,共9页Finance and Trade Research

摘　　要：采用向量误差修正模型、格兰杰因果检验、修正信息份额模型对2015年沪深300股指期货与股票指数的期现价格互动关系进行回溯性研究,结果显示:沪深300股指期货已具备完善的价格发现功能;常态下,价格发现是一个期现市场价格信息双向互动的过程,期货市场贡献较大权重;异常波动事件的发生削弱了现货对期货价格的反馈机制,使期货市场价格信息主导价格发现,造成市场微观结构失衡,助长异常波动的蔓延;股指期货交易限制性措施通过抑制期货市场上的过度投机,实现了市场微观结构的再平衡,阻止了股市异常波动的进一步扩大。为此,应充分认识股指期货市场的贡献与价值,制定股指期货交易限制措施"松绑路线图",拓展金融衍生品交易种类,以助力中国股指期货市场健康发展。By using vector error correction model,Granger causality test and modified information share model,this paper retrospectively researches the price dynamics between CSI 300 stock index spots and futures in 2015.The results show that the CSI 300 stock index futures have perfect price discovery function.Generally,price discovery is a bidirectional interactive process of price information in futures and spot market,and futures market price information contributes more weight.The occurrence of stock market crash weakens the feedback mechanism from spot to futures price,makes the price information of futures market dominate price discovery,causes the imbalance of market microstructure,and enlarges the scale of stock market crash.By restraining excessive speculation,stock index futures trading restriction policy realizes the rebalancing of market microstructure and prevents the spread of stock market crash.Therefore,this paper puts forward some suggestions to help the healthy development of the stock index futures market in China,such as fully understanding the contribution and value of the stock index futures market,gradually relaxing the stock index futures trading restriction policy,and expanding the types of financial derivatives trading.

关 键 词：股指期货 限制性交易措施 期现价格关系 

分 类 号：F832.5[经济管理—金融学]