沪深300股指期货市场中的宏观经济信息发布与价格发现

Macroeconomic announcements and price discovery in the CSI 300 stock index futures market

利用沪深300股指期货、现货市场1分钟高频数据,采用信息份额模型(IS模型),研究在有宏观经济信息发布时沪深300股指期货市场价格发现的日内效应及其影响因素.实证结果表明,在宏观经济信息发布时期,期货市场的信息份额会增加,这可能来源于期、现货市场交易机制、交易者构成、指数形成方式的不同.此外,工业企业利润累计同比和贸易顺差信息发布对价格发现作用有显著的影响,而CPI等"价格"类信息对价格发现的影响并不显著.

Based on the high-frequency data of CSI 300 stock index and stock index futures, using information share model, this study examines the intraday price discovery effects of index futures and its influencing factors. The empirical results show that the price discovery effects of CSI 300 index futures market increase during the releasing of macroeconomic announcements, which may be derived from different trading mechanisms, different trader constitution and the index formation ~nethods. In addition, the profits of industrial enterprises and the trade surplus play significant roles on the price discovery, while the CPI and other price information is not significant.