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价格发现机制与股指期货市场的运行效率相关联。依据股指期货市场存在推出阶段的客观事实,推断该市场与股指现货市场之间的关系可能存在结构性变点。实证结果显示:在变点前,由于投资者的习惯性秉持等相关联原因,股指期货表现出对股指现货的日间引导关系。但由于机构投资未充分参与等原因,股指期货市场至今未成熟。相对而言,股指现货市场更有效率,从而在变点后,股指现货表现出对期货的日间引导关系。
The price discovery mechanism is linked to the efficiency of the stock index futures market. According to the fact that the stock index futures market exists during the launch stage, it is inferred that there may be structural change in the relationship between the stock market and the stock index market. Empirical results show that: before the change point, due to the customary uprisings of investors and other related reasons, the stock index futures showed a day-to-day guidance on the stock index. However, as the institutional investment is not fully involved and other reasons, the stock index futures market is still immature. Relatively speaking, the stock index spot market more efficient, so that after the change point, the stock index shows futures daytime guidance relationship.