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中国股指期货市场的价格发现能力研究——基于小波多分辨分析的视角

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摘要 运用小波多分辨分析、线性和非线性Granger因果检验方法,分析我国沪深300股指期货和沪深300股票指数之间价格引导关系的结果表明：从短期来看,在1～2天的短期交易周期中,股指期货是股指现货的单向Granger原因,股指期货具有一定的价格发现功能；随着交易周期的加长,股指期货和股指现货之间不存在线性和非线性的Granger因果关系.这表明从长期趋势来看,目前我国股指期货的价格发现功能并没有得到有效发挥.
作者 钱燕
机构地区 苏州大学东吴商学院
出处 《金融教学与研究》 2013年第5期37-41,共5页 Finance Teaching and Research
关键词 股指期货 价格发现 小波多分辨 因果检验
分类号 F224 [经济管理—国民经济] F832.5 [经济管理—金融学]
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参考文献17

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二级参考文献43

  • 1刘博文,房振明.我国股指期货与现货价格发现效率实证研究--基于沪深300模拟期货数据[J].大连理工大学学报（社会科学版）,2008,29(3):25-29. 被引量：13
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2013年 第5期

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