股指期货主力合约转换与价格发现能力研究

以持仓量最大作为判断股指期货主力合约的标准,分析主力合约转换与价格发现能力变化的内在规律.采用向量自回归模型和向量误差修正模型检验主力合约转换前后新旧主力合约之间的价格引导关系,采用永久短暂模型和信息份额模型测度主力合约转换前后新旧主力合约的价格发现贡献度,从而研究主力合约转换对价格发现能力的影响.研究结果表明,在主力合约转换后,新旧主力合约的价格引导关系的方向发生明显逆转,新主力合约的价格引导能力明显增强;新旧主力合约的价格发现贡献度显著变化,新主力合约的价格发现贡献度显著提高.

Study on the Relationship between the Main Index Futures Contract Transference and the Price Discovery Capacity

By using the maximum open interest as the standard of judging the main index futures contract, this paper studies the inner regularities between the main index futures contract transference and the price discovery capacity. Based on the VAR model and the VECM model, the lead-lag relationship between the old main contract and the new main contract is studied. And with the PT model and IS model,the price discovery contribution of the old main contract and the new main contract are measured. Thus studies the influence of the main contract transference on the price discovery capacity. This study shows that after the transference, there is a significant reversion in the direction of the lead-lag relationship between the old main contract and the new main contract, and the price discovery capacity of the new main contract is greatly enhanced. Another significant change is the contribution degree of price discovery capacity of the old main contract and the new main contract, which means the new main contract has a greater price discovery contribution.