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为检验中国资本市场股指期货是否具有价格发现功能,本文在对股指期货与现货指数间的理论关系进行深入阐述的基础上,分别根据所建立的向量自回归模型参数估计结果以及脉冲响应函数,分析股指期货与现货指数两者间的领先—滞后关系。基于理论分析框架进行实证检验,结果发现:中国股指期货具有价格发现功能,但现阶段这一功能并不强;当股票市场处于下跌态势时,股指期货的价格发现功能要稍强于股票市场呈现上升态势时的情形。同时,当股票市场处于下跌态势时,季月合约的价格发现功能要强于近月合约的价格发现功能,而股票市场处于上升态势时,近月合约与季月合约的价格发现功能并没有呈现出明显差异。
In order to test whether the stock index futures in the Chinese capital market have the function of price discovery, this paper analyzes the theoretical relationship between the stock index futures and the spot index in depth based on the established autoregressive model parameters estimation results and impulse response function Leading and lagging relationship between stock index futures and spot index. The empirical test based on theoretical analysis shows that the price discovery function of Chinese stock index futures is not strong at this stage. When the stock market is in a downward trend, the price discovery function of stock index futures should be slightly stronger than that of the stock market Situation when rising. At the same time, when the stock market is in a downward trend, the price discovery function of the quarterly contract is stronger than the price discovery function of the contract in recent months. When the stock market is in an upward trend, the price discovery function of the contract in recent months and the quarterly contract are not shown Significant differences.