股指期货价格发现能力研究──基于高频数据沪深300的实证分析

Empirical Research on Price Discovery Ability of HS300 Stock Index Futures Based On High Frequencies Data

为探寻我国股指期货市场的价格发现能力,利用沪深300股指期货与指数现货的一分钟高频数据进行了实证分析,从新信息的反应速度来看,通过向量误差修正模型、Granger因果检验、脉冲响应分析的结果表明,股指期货市场对新信息的反应速度快于现货市场;从价格发现能力度量方面,使用I-S模型和P-T模型实证结果表明,沪深300股指期货市场在信息传递中居于主导地位,是价格发现过程最主要的驱动力量。

To examine the price discovery ability of stock index futures market,this paper uses the one-minute high frequency data of HS300 stock index futures for empirical analysis.In the reaction rate of new information aspect,using VECM,Granger causality test,impulse response analysis,the results show that the index futures market reflects new information more quickly than the spot market.In the measurement of price discovery ability aspect,with I-S model and P-T model,the empirical results suggest that HS300 stock index futures has a dominant status in information transmission and is a main driving force in price discovery process.