沪深300股指期货、ETF基金与沪深300指数的价格发现功能研究

Research on price discovery function of HS300 Stock Index Futures,HS300ETF and HS300 Stock Index

期货和基金作为推动经济发展、促进资金融通和经济横向联系的重要方式,在我国发挥着重要的作用。基于向量误差修正模型、格兰杰因果检验、方差分解等方法,对我国沪深300股指期货、沪深300ETF基金与沪深300指数三者间的价格引导关系以及价格发现功能的强弱进行实证研究。结果表明:股指期货市场、ETF市场以及指数现货市场之间存在相互的价格引导关系;股指期货市场价格发现作用最强,ETF基金次之,指数现货最弱;但长期内股指期货对ETF市场的价格发现作用有限,而短期内ETF市场对指数现货市场的价格发现作用有限。

As an important way to improve the economic development, promote the financing and economic horizontal connection, the futures and fund play an important role in China. Based on the methods such as vector error correction model, Granger causality test, variance decomposition, the price lead relationship and the strong and weak of price discovery function among HS300 Stock Index Futures, HS300ETF and HS300 Stock Index are empirically studied. The results show that there are price lead relationship among the index futures, ETF and the index spot market; the index futures has the strongest effects on the price discovery followed by ETF and the index spot market; however, the index futures has limited price discovery function to ETF in the long run and ETF has limited price discovery function to index spot market in the short run.