基于向量误差修正模型的股指期货价格发现功能研究

本文采用沪深300股指期货和股指现货1分钟高频数据,在VECM模型的基础上,分别用因子份额模型(Component Share)和修正信息份额模型(Modified Information Share)进行研究,分析发现我国股指期货市场在开放半年内具有较强的价格发现功能。各模型下的指标分别为CS=60%,MIS=90.62%,均大于国外股指期货的对应指标。此外,将本文实证结论与国外相关结论、沪深300仿真期货的相关结论进行比较,发现我国股指期货在推出初期具有价格发现功能异常显著的特点,并指出这种特点也可能与国内外不同的市场环境、不同的交易机制及不同的投资者结构有关。

Price Discovery Function of the Stock Index Futures on the Basis of VECM

With 1-minute high-frequency data of the HuShen 300 index futures,this paper conducts an empirical research on the basis of Vector Error Correction Model(VECM).Using models of Component Share(CS) and Modified Information Share(MIS),we find the HuShen 300 index futures has a great price discovery function in its first half year.The indices of these models are much bigger than those of the foreign countries(CS=60%,MIS=90.62%).Furthermore,we compare the empirical results with those of foreign markets and of simulative HuShen 300 index futures,and conclude that the characteristic of China stock index futures in its first half year has a significant price discovery function.Meanwhile,we also point out that the characteristic may result from the differences between China and other countries in terms of market background,trade mechanism and structure of investors.