沪深300指数期货的价格发现和波动溢出效应研究

Research on Price Discovery and Volatility Spillovers of China Hu-Shen 300 stock Index Futures

我国沪深300指数期货推出后,股指期货的价格发现功能以及对现货市场波动性的影响成为学术界的关注焦点。基于Johansen协整分析、向量误差修正模型和带有误差修正的双变量EGARCH模型,对沪深300指数期货市场和现货市场之间的价格发现功能以及互动关系进行了深入的研究和分析,结果显示:沪深300指数现货市场居于价格发现的主导地位;沪深300指数期货交易减弱了现货市场的条件波动。可见,虽然沪深300指数期货的价格发现功能并未得到应有的发挥,然而熨平股指波动的功能却得到了体现。

After the introduction of China Hu-Shen 300 stock index futures, the price discovery function and the impact of volatility to spot market of the stock index have been the academic focus. This paper studies the price discovery function and interaction between the futures and spot markets of Hu-Shen 300 stock indexes based on the Johansen co-integration analysis, Vector error correction model and bivariate EGARCH model with an error correction. The evidence suggests that most of the price discovery takes place at the spot markets; China Hu-Shen 300 stock index futures will weaken the conditional fluctuations of the spot market. Visibly, the price discovery function of Hu-Shen 300 stock index futures did not been due to play. However, its function of stock index volatility has been reflected.