沪深300指数衍生证券的多市场交易与价格发现

Multi-market trading of HS300 index derivatives and price discovery of stock market index

中国正积极开发以沪深300指数为标的的多种衍生产品,希望形成多市场交易格局.论文采用信息份额模型和共因子模型研究了多市场交易对沪深300指数价格发现的影响.结果显示:股指期货对价格发现贡献度最高;与人们的直觉相悖,允许现金赎回的华泰柏瑞ETF基金的价格发现贡献度高于实物赎回的嘉实ETF基金.进一步的证据表明,股指期货和指数ETF基金各自的和相对的波动性是影响其相对价格发现能力的主要因素,而非流动性.最后,根据研究结论提出了进一步完善中国多层次指数衍生证券市场的相关建议.

The market for HS300 equity index comprises index futures and various ETFs which are growing rapidly. This paper explores the impact of multi-market trading on the price discovery process of HS300 index.We find that： The index futures contribute the most to price discovery,followed by the Huatai Bairui ETF which allows a cash redemption. Jiashi ETF（ which allows in-kind redemption only） contributes the least to price discovery,which is not consistent with our intuition. Furthermore,we show that volatility,instead of liquidity,as would be conjectured by the transaction-costs hypothesis,is the driving factor for relative price leadership between the index futures market and ETF markets. Finally,some advice which helps improve the multi-level index in China Securities Market has been suggested according to the research conclusion.