股指期货与股指现货市场间的价格发现能力探究被引量：139

The Research on Price Discovery Ability between Stock Index Futures Market and Stock Index Spot Market

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摘要为探寻我国股指期货市场与股指现货市场间的价格发现能力,本文利用一分钟高频数据进行了实证分析。研究结果表明:股指期货价格和股指现货价格之间存在协整关系和双向价格引导关系,股指期货对股指现货的引导力度相对较大、股指期货领先股指现货7分钟,而股指现货领先股指期货2分钟;从冲击反应来看,股指期货对股指现货的冲击速度较快且持久,股指现货对股指期货的冲击相对比较迟缓且短暂;从价格发现程度来看,股指期货市场具有较强的价格发现能力,在信息传递中居于主导地位,是价格发现过程的主要驱动力量。 To examine the price discovery ability between the stock index futures market and the stock index spot market in China, the every minute＇s high frequency data of Hushen 300 index futures and the Hushen 300 index are investigated empirically. The results show that there are both cointegration relationship and the bi - directional price lead relationships. The lead from stock index futures to stock index is comparatively stronger. In the impulse reflection aspect, the response speed of the stock index to the stock index futures is quicker and the response times is permanent. Moreover, the price discovery ability of the stock index futures is stronger, and the stock index futures market has a dominant status in information transmission and is a mainly driving force in price discovery process.

作者华仁海刘庆富

机构地区南京财经大学金融学院复旦大学金融研究院

出处《数量经济技术经济研究》 CSSCI 北大核心 2010年第10期90-100,共11页 Journal of Quantitative & Technological Economics

基金国家自然科学基金项目(70873055 71073026) 教育部人文社会科学规划项目(09YJC790044 08JA790064) 江苏省教育厅高校哲学社会科学基金项目(08SJB7900011)的资助

关键词股指期货价格发现引导关系贡献度 Stock Index Futures Price Discovery Lead Relationship Contribution

分类号 F830.9 [经济管理—金融学]

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参考文献22

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二级参考文献37

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