摘要
本文基于沪深300股指期货5分钟高频数据,利用协整检验、误差修正模型和脉冲响应函数研究了我国股指期货长短期的价格发现机制,并用信息共享模型、共因子模型研究了我国股指期货市场的价格发现贡献程度;在此基础上,引入分位数回归,探讨不同涨跌幅度的期现关系。实证结果表明:我国指数期货和现货价格存在相互引导关系,而现阶段现货市场能更快反应全部市场的冲击,且现货市场在价格发现功能中的作用相对较大;随着涨跌幅度的变化,现货对期货的影响呈U型走势,而期货对现货的影响呈单边上升走势。
This article studies stock index futures of long-term and short-term price discovery mechanism using cointegration test,error correction model and impulse response function based on the Shanghai Shenzhen 300 stock index futures 5-minute high-frequency data,and information sharing model and common factor model are used to study contribution of price discovery of stock index futures in China.In addition,quantile regression is used to explore the relationship of future and spot market at different ups and downs.The empirical results show that there is mutual guidance between index futures and spot prices in China market,and the spot market have a bigger role in price discovery in current stage;with the change of ups and downs,the impact of spot on index future showed a U-trend,and the impact of futures on the spot showed a unilateral increasing trend.
出处
《统计研究》
CSSCI
北大核心
2012年第5期73-78,共6页
Statistical Research
基金
中央高校基本科研业务费专项资金(2010221040)
国家社科基金重点项目(11BTJ001)
福建省社科基金(2011C042)资助
