基于VECM-PT-IS模型的我国三大股指期货价格发现功能对比研究

Comparison on Price Discovery of Three Stock Index Futures Based on VECM-PT-IS Model in China

为比较沪深300、上证50与中证500股指期货的价格发现能力强弱程度,选取了高频数据进行实证研究,首先,运用协整分析与因果检验方法,建立向量误差修正模型,比较三个股指期货与现货市场之间的价格动态调整关系;其次,运用公共因子模型中的永久短暂模型和信息份额模型计算三大指数期货市场对新信息的融入比例;最后运用脉冲响应分析和方差分解,分析各自短期内的动态反应过程和长期中的价格波动贡献度。研究发现:三个股指期货与现货之间均具有双向引导关系;中证500和沪深300股指期货的价格发现功能较强;上证50股指期货市场的价格发现功能相对其他两个市场而言较弱,并针对此差异给出相应的解释,提出了完善价格发现功能的对策建议。

To make comparison between price discovery of the HS300,SZ50 and ZZ500stock index futures,this paper begins with the co-integration analysis and causality test based on the high frequency data.Then vector error correction model is used to study the dynamic adjustment relationship between future and spot market of the three index price and the speed of market reaction to new information.What＇s more,this paper uses permanent transitory model and information share model to analyze the proportion of new information in the three markets.Finally,impulse response analysis and variance decomposition are used for the analysis on their short-term dynamic response process and long-term contribution of price fluctuation.Conclusions are as follows：Firstly,there exists the bi-directional leading relationship between the three futures and the future market accounting for a higher proportion of new information.Secondly,the HS300 and ZZ500index futures markets have strong price discovery function.Finally,price discovery function in the SZ50 index futures market is relatively weak comparing to the other two markets.This paper ends in the corresponding explanation for this difference and the suggestions on perfecting the price discovery function.