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利用沪深300股指期货、现货市场1分钟高频数据,采用信息份额模型(IS模型),研究在有宏观经济信息发布时沪深300股指期货市场价格发现的日内效应及其影响因素.实证结果表明,在宏观经济信息发布时期,期货市场的信息份额会增加,这可能来源于期、现货市场交易机制、交易者构成、指数形成方式的不同.此外,工业企业利润累计同比和贸易顺差信息发布对价格发现作用有显著的影响,而CPI等“价格”类信息对价格发现的影响并不显著.
This paper uses the information share model (IS model) to study the daily effect of the CSI 300 stock index futures market and its influencing factors when the macroeconomic information is released, using the CSI 300 stock index futures and the spot market for 1 minute. This shows that the share of information in the futures market will increase during the period of macroeconomic information release, which may come from the futures and spot market trading mechanism, the composition of traders and the way of index formation.In addition, the accumulative profits of industrial enterprises and information of trade surplus Which has a significant impact on price discovery. However, the impact of price information such as CPI on price discovery is not significant.