沪深300股指期现货市场的交易竞争与价格发现的关系研究

Study on the Relationship between Trading Competition and Price Discovery Based on the CSI 300 Stock Index Futures and Spot Markets

以我国沪深300股指期现货市场为研究对象,从交易规模方面采用Lotka-Volterra模型检验沪深300股指期现货市场的交易竞争,从交易价格方面采用向量自回归模型、向量误差修正模型检验沪深300股指期现货市场的价格发现速度,采用永久短暂模型和信息份额模型检验沪深300股指期现货市场的价格发现强度,据此分析沪深300股指期现货市场的交易竞争与价格发现的时变特征及内在关系。研究结果表明,我国沪深300股指期现货市场的交易竞争与价格发现均呈现出明显的时变特征,沪深300股指期现货市场的交易竞争能力与价格发现能力呈正相关关系。本文的研究结论从沪深300股指期现货市场交易竞争能力的动态性角度解释了其价格发现能力的时变性,从股指期现货市场的深层价量关系方面剖析了股指期现货市场微观结构。

Based on the data of the CSI 300 stock index futures and the CSI 300 stock index spot markets,the trading competition relationships between the stock index futures and spot markets are tested with the Lotka-Volterra model,and the price discovery relationships between the stock index futures and spot markets are tested with the VAR,VECM,PT and IS model.Furthermore,the relationships between trading competition and price discovery are studied.The conclusions are drawn as follows:there are significant time-varying characteristics in both trading competition and price discovery between the CSI 300 stock index futures and spot markets,the trading competition is positively correlated with the price discovery,and the dynamic trading competition can explain the time-varying price discovery between the CSI 300 stock index futures and spot markets.