我国沪深300股指期货仿真交易的价格发现分析被引量：36

Price Discovery Function of CSI 300 Index Futures Based on Mock Trading

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摘要利用协整检验、向量误差修正模型以及脉冲响应和方差分解的方法,研究了我国沪深300股指期货仿真交易市场对现货市场的价格发现能力。实证研究结果表明,我国仿真交易的沪深300股指期货对沪深300指数具有长期价格发现的功能,这种作用主要是通过股指期货价格与现货价格之间的协整关系来实现的;在短期内,现货指数对股指期货具有一定的价格发现作用,而且这种作用在不断加强。这表明,我国沪深300股指期货合约交易规则和制度设计是有效的。 This paper investigates the price discovery function of our CSI 300 index futures based on mock trading by the methods of cointegration test, vector error correction model, impulse response and variance decomposition. The results indicate that CSI 300 index futures is a long-run price discovery vehicle for the spot market, which works through the cointegration relationship between futures price and spot price, and spot index plays an increasingly important role in the short-run price discovery of index futures. It is concluded that the trading mechanism of our CSI 300 index futures contract is effective.

作者熊熊王芳

机构地区天津大学管理学院

出处《天津大学学报（社会科学版）》 CSSCI 2008年第4期321-325,共5页 Journal of Tianjin University：Social Sciences

基金教育部新世纪优秀人才支持计划基金资助项目(NCET-07-0605) 国家自然科学基金应急基金资助项目(70541006) 天津社会科学基金资助项目(TJ05-TJ003)

关键词沪深300股指期货价格发现协整检验误差修正模型 CSI 300 index futures price discovery cointegration test vector error correction model

分类号 F830.91 [经济管理—金融学]

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参考文献6

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