摘要
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 testing the price discovery function of the stock index future in China capital market, based on the the stock index pricing principle, this paper build a vector auto regression model and obtain impulse responses function to analyze the lead-lag relationship of the spot stock index and stock index future. According to the model, we find that the stock index future has the price discovery function, but not notable at the present stage. When the stock market fell, the price discovery function of the sock index future is stronger than the time when market rally, and that of seasonal contract is also more powerful than that of current contact. However, it is not obvious in rising market.
出处
《经济管理》
CSSCI
北大核心
2010年第6期17-22,共6页
Business and Management Journal ( BMJ )
基金
国家社会科学基金重点项目"我国妥善应对国际金融危机的对策"(08AJY029)
教育部哲学社会科学创新基地"南京大学经济转型和发展研究中心"课题"对外开放与中国经济转型及发展研究"
关键词
股指期货
领先-滞后
向量自回归模型
脉冲响应函数
stock index future
price discovery
vector auto regression model
impulse responses function
