沪深300股指期货与现货的价格发现分析——基于频带分解的视角

Research on Price Discovery between HS300 Index Spot and Futures Markets: A Frequency Decomposition Perspective

运用集合经验模式分解方法(EEMD)对沪深300股指期货与现货价格进行频带分解,并在重构不同周期长度的波动分量的基础上,应用向量自回归、Granger因果检验分析指数期货与现货在对应短周期、中周期波动分量与长期趋势分量间的引导关系,结果表明:指数期货与现货间的价格发现关系具有随着波动成分周期长度不同而变化的结构化特征;在短周期波动分量上,指数期货对现货存在较为有限的价格发现能力;而在中周期波动分量与长期趋势分量上,现货在价格发现中居主要地位。

In order to explore the price discovery between the corresponding intrinsic fluctuation com- ponents of stock index futures and spot markets in China, This paper decomposes HS300 spot and futures in- dex prices by using a newly developed time-frequency analysis method called Ensemble Empirical Mode De- composition （EEMD）. Based on the reconstruction of fluctuation components with different period lengths, the paper then employs Vector Autoregression model and Granger causality test to examine the lead-lag rela- tionships between the spot and futures prices for the short-and medium-period oscillations and long trend. E^pi6cal results indicate that the price discovery relationship between the stock index spot and futures mar- kets varies with the period length of the fluctuation component. For the short-period oscillation, futures mar- ket has a limited price discovery capability. However, spot market holds a dominant position in the price discovery process for the medium-period oscillation and long trend.