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本文利用沪深300股指期货主力合约和现货指数的日内高频数据,创新性地采用递归协整和公共因子模型方法对股指期货价格发现功能的动态变化进行了深入研究,发现在股指期货运行之初,股指期货市场与现货市场并不具有稳定的协整关系,股指期货不具有价格发现功能。随着市场的不断完善,从2010年6月初开始,期现货市场之间开始存在稳定的协整关系,股指期货开始具有价格发现功能,且价格发现功能不断增强。但从截止到2012年9月17日的高频数据来看,期货市场在价格发现中的贡献度一直低于现货市场,这表明在价格发现过程中,起主要作用的是现货市场,而并非期货
Based on the intra-day high-frequency data of Shanghai-Shenzhen stock index futures contract and spot index, this paper uses recursive co-integration and public factor model to study the dynamic changes of stock index futures price discovery function. It finds that in the stock index futures operation At first, the stock index futures market does not have a stable co-integration relationship with the spot market, and stock index futures do not have the price discovery function. With the continuous improvement of the market, from the beginning of June 2010, the stable co-integration relationship exists in the spot market, and the stock index futures begin to have the function of price discovery, and the function of price discovery has been continuously enhanced. However, from the high-frequency data as of September 17, 2012, the contribution of the futures market to the price discovery has always been lower than that of the spot market. This shows that in the price discovery process, the main function is the spot market, not futures