中证1000股指期货市场价格发现功能研究

Study on the Price Discovery Function of CSI 1000 Stock Index Futures

本文以现货市场与股指期货市场为研究对象,选取中证1000指数和中证1000股指期货的5分钟高频交易数据为样本数据,通过采用ADF单位根检验、协整检验、Granger因果检验、脉冲响应分析以及方差分解等方法,分析了中证1000股指期货价格发现功能。结果表明:中证1000股指期货虽然上市时间较短,但已具备价格发现功能,期货与现货市场的价格相互引领,同时在价格发现功能中发挥主导作用的是股指期货市场。因此,应重视期货市场的价格发现功能作用,以形成中证1000指数市场高效的价格体系。

This paper aims to explore the price discovery function of CSI 1000 stock index futures by employing ADF unit root test,co-integration test,Granger causality test,impulse response analysis,and variance decomposition,using the 5-minute high frequency trading data of CSI 1000 index and CSI 1000 stock index futures as sample data.The results indicate that although with short listing period,the CSI 1000 stock index futures already developed price discovery function,and the prices of futures and spot markets guide each other,in which futures market plays a leading role.Therefore,it’s concluded that the price discovery function of the futures market should be attached more significance to form an efficient price system in the CSI 1000 index market.