香港恒生指数期货价格发现功能的实证分析被引量：1

Demonstration Analysis of Price Discovery Based on the HIS Future

下载PDF

导出

摘要本文以香港恒生指数(HSI)和HSI期货为研究对象,通过对每个月到期的期货合约期内每日收盘价按成交量加权处理得出的期货价格和到期日对应的现货价格这两个时间序列数据从两个阶段和合约期限长短两个角度进行了数量化的分析,运用协整理论检验了HSI期货与HSI之间的长期关系,并给出了它们的误差修正模型(ECM),最后采用Granger因果关系检验了期货市场的价格发现功能.

作者姚荣辉毕沙沙

机构地区北方工业大学经济管理学院

出处《中国管理科学》 CSSCI 2007年第z1期327-331,共5页 Chinese Journal of Management Science

关键词 HSI期货价格发现协整检验误差修正模型 GRANGER因果检验

分类号 C931 [经济管理—管理学]

引文网络
相关文献

参考文献8

1[1]Cox,Chades,C.Futures Trading and Market Information[J].Jour-nal of Political Economy,1976,84(6),1215-1237.
2[2]Garbade.K.D.aIld Silber.W.L..Price Movements and Price Dis-covery in Futures and Cash Markets[J].Review of Economics an d Statistics,1983,(65):289-297.
3[3]Engle,R.F.and Granger,C.W.J.Cointegration and Errnor Correc-tion Representation,Estimation and Testing[J].Econometrjcal987,55:25l-276.
4[4]Hasbrouck J.One Security,Many markets:detemining the contribu-tions to price discovery[J].Journal of Finance,1995,50:1175-1199.
5[5]Kawaller I,Koch P,Koch T.The temporal price relationship between S&P 500 futures and the S&P 500 index[J].Journal of Finance.1987.42:1309-1329.
6[6]Chiang Raymond,Fong Wai-Ming,Relative Informational Emcien-cy of Cash,Futures and Options Markets:The Case of An Emerging Market[J].Journal of Banking and Finance,200l,25:355-375.
7肖辉,鲍建平,吴冲锋.股指与股指期货价格发现过程研究[J].系统工程学报,2006,21(4):438-441. 被引量：76
8王柱,王欣荣,吴冲锋.每日结算价确定方法与股指期货价格发现效率的关系——以HSI指数期货为例[J].系统工程理论方法应用,2006,15(4):299-304. 被引量：2

二级参考文献30

1谢文良.价格发现、信息传递、与市场整合—台股期货市场之研究[J].Journal of Financial Studies,2002,10(3):1-31.
2Moore W H,Lanoue D L.Domestic politics and US foreign policy:A study of cold war conflict behavior[J].Journal of Politics,2001,65(2):376-396.
3Gonzalo J,Granger C W.Estimation of common long_memory components in co_integrated systems[J].Journal of Business and Economic Statistics,1995,13:1-9.
4Huang R.Price Discovery by ECNs and NASDAQ Market Makers[R].Working Paper,Nashville,TN:Vanderbilt University,2000.
5Roope M,Zurbruegg R.The intra_day price discovery process between the Singapore exchange and Taiwan futures exchange[J].Journal of Futures Markets,2002,22:219-240.
6Chu Q C,et al.Price discovery on the S&P 500 index markets:An analysis of spot index,index futures,and SPDRs[J].International Review of Financial Analysis,1999,(8):21-34.
7Brockman P,Tse Y.Information shares in Canadian agricultural cash and futures markets[J].Applied Economics Letters,1995,2:335-338.
8Booth G G,So R W,Tse Y.Price discovery in the German equity index derivatives markets[J].The Journal of Futures Markets,1999,19:619-643.
9Kim M,Szakmary A C,Schwarz T V.Trading costs and price discovery across stock index futures,and cash markets[J].The Journal of Futures Markets,1999,19:475-498.
10Fama E.Efficient capital markets:a review of theory and empirical work[J].Journal of Finance,1970,25:383-417.