摘要
对沪深300指数期货与股指现货价格关联波动的统计分析表明,沪深300股指期货市场较好地发挥了套期保值和价格发现功能,按成交量加权设计的指数化套期保值策略是有效的;股指期货价格对利好消息的反应比对利空消息的反应更剧烈,股指现货价格则对利空消息的反应比利好消息的反应更剧烈,说明涨市应更重视股指期货市场的表现,跌市应更重视股指现货市场的表现。股指期货与股指现货之间差价的变化对期货和现货价格并不具备统计意义上的预测能力,那种认为期现基差变化可以预测股市涨跌的"经验"认识是不可靠的。
The statistical analysis to the price movement relationship between CSI300 futures price and stock index spot price showed that CSI300 futures market is efficient in price discovery and hedge. CSI300 stock index futures market is more sensitive to the good news, and the stock index spot market is more sensitive to the bad news. It means that we need pay more attention to futures market when the price is rising up, and pay more attention to spot market when the price is falling down. In the statistical sense, the basis fluctuation cannot predict the stock index futures and stock index price movements.
出处
《企业经济》
北大核心
2014年第7期168-171,共4页
Enterprise Economy
基金
国家社会科学基金项目"基于投机视角的农产品期货定价机制研究"(批准号:13BJL065)
