沪深300股指期货对股市定价权影响研究

Impact of CSI 300 Stock Index Futures on the Price Discovery in A-share Market

境外交易所推出的中国概念股指期货交易通过抢占我国股市定价权,对我国金融安全可能造成威胁。本文以新加坡新华富时A50股指期货为样本,通过信息份额模型和共同因子模型对比分析我国沪深300股指期货推出前后,境外上市的中国概念股指期货与我国A股沪深300指数之间价格发现贡献度的变化,来考察本土沪深300股指期货对我国股市定价权竞争的影响。研究发现:沪深300股指期货的推出提升了A股市场的定价效率,提高了沪深300指数的价格发现贡献度。同时,本文还将沪深300股指期货交易直接引入定价权竞争分析框架作进一步分析,研究结果表明沪深300股指期货提升并巩固了我国本土市场在股市定价权竞争中的主导地位。

The paper discusses the influences of CSI 300 stock index futures on the price discovery competition between Xinhua A50 stock index futures and mainland market. Using both information shares approach and common factor weights approach, the paper finds that the price discovery contribution of CSI 300 stock index has increased after the launch of CSI 300 stock index futures. Furthermore, the price discovery between CSI 300 stock index, CSI 300 stock index futures and Xinhua A50 stock index futures are also estimated. The estimations show that with the inclusion of both the A-share stock market and the newly established domestic index futures market, the mainland market dominate the price discovery process.