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本文利用日内15分钟交易数据,对大陆与台湾股指期货的价格发现功能进行了比较,发现沪深300股指期货和现货间存在双向价格引导关系,但在信息传导效率上,期货领先现货,对台湾市场而言,仅存在期货对现货的单向引导关系;期货市场在长期价格发现功能中占主导地位,但台指期货的主导作用要强于沪深300股指期货。文章从投资者结构、合约设计、交易制度等影响因素分析了两岸股指期货价格发现功能的差异,并提出改善大陆股指期货价格发现功能的建议。
This article uses intraday 15-minute transaction data to compare the price discovery functions of mainland and Taiwan stock index futures and finds that there exists bidirectional price-guided relationship between the futures of Shanghai and Shenzhen Stock Futures and the spot stock. However, on the efficiency of information transmission, futures lead the spot market to Taiwan In the market, there is only one-way guiding relationship between futures and spot market. Futures market dominates the long-term price discovery function. However, the leading role of Taiwanese index futures is stronger than that of Shanghai and Shenzhen 300 index futures. The article analyzes the differences in price discovery function of stock index futures on both sides of the strait from the factors of investor structure, contract design and trading system, and puts forward suggestions on how to improve the price discovery function of mainland stock index futures.