基于非同步交易的国内外期货市场价格发现贡献度研究

The Contribution of Price Discovery between Domestic and Foreign Futures Markets Based on Non-synchronous Trading Information

针对我国期货市场与国际成熟期货市场交易时间的非同步性,本文给出了基于非同步交易的信息共享模型,并对国内、外主要期货市场之间的价格发现贡献度进行了实证研究。研究结果显示:基于非同步交易的信息共享模型可以很好地刻画非同步期货市场之间的价格发现贡献度;并且,国外发达市场的价格发现贡献度要明显大于国内市场,由此表明国外期货市场的价格发现仍居于主导地位,这进一步支持了价格发现被期望在较低交易成本市场发生的交易成本假说。

This paper analyses the contribution of price discovery between domestic futures market and foreign mature futures market based on non-synchronous trading information. The empirical results show that the non-synchronous information share method can describe the contribution of price discovery in non-synchronous trading markets, the contribution of the mature international futures market is more than that of domestic futures market, and the price discovery takes place mostly in the futures market.