股指与股指期货价格发现过程研究

Study on price discovery process between stock index and stock index futures

使用脉冲响应和一般因子分解模型检验了标准普尔500指数、道琼斯工业平均指数、香港恒生指数、日经指数和金融时报100指数现货市场和期货市场之间的价格发现过程.结果发现,期货市场在价格发现过程中占主导地位,并且随着期货市场的发展,期货市场在价格形成过程中的作用越来越大,起到了信息(定价)中心的作用.

This paper investigates the price discovery process between the stock index and the stock index futures by impulse respond test, information share model and the common factor decomposition model. The analysis includes the S＆P 500 stock indexes, Dow-Jones industrial average index, Hong Kong Hang Seng index, NIKKE1225, Financial Times Stock Exchange 100 index. The result shows the price discovery primarily originates from the futures markets. With the development of futures markets, the futures markets play a more important role during the price discovery process. And the index futures market acts as the information （pricing） center between the two markets.