股指期货对股票市场效率的影响实证分析

The Impact of the Stock Index Futures on the Efficiency of the Market

通过分析香港恒生指数及其指数期货,研究发现,股指期货对现货价格具有价格发现作用。为防止伪回归问题对分析结果的影响,故采用协整检验和格兰杰(Granger)因果关系检验,就股指期货对市场效率的影响进行验证。研究结果显示,股指期货对现货指数确实存在价格发现功能。

This paper adopted Hang Seng index and Hang Seng index futures as the sample data for our research. Through analysis, we found that stock index futures has a function of pricing on the spot market. In order to prevent the impact of the pseudo-return issue on our reach, the author adopted the cointegration test and Granger causal test which may check the impact of the stock index futures on the efficiency of the market. The results showed that the stock index futures does possess the function of discovering the prices on the spot market.