| 我国股指期货与现货价格发现效率实证研究——基于沪深300模拟期货数据 |
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| 引用本文： | 刘博文,房振明. 我国股指期货与现货价格发现效率实证研究——基于沪深300模拟期货数据[J]. 大连理工大学学报(社会科学版), 2008, 29(3): 25-29 |
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| 作者姓名： | 刘博文 房振明 |
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| 作者单位： | 天津大学,金融工程研究中心,天津,300072 |
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| 基金项目： | 国家自然科学基金,国家自然科学基金 |
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| 摘 要： | 股指期货理论上具有较强价格发现功能.借助沪深300股指期货5分钟高频模拟数据,利用DB模型和向量误差修正模型(VECM),结合Information Share(IS)和Component Share(CS)实证测算我国股指期货与股指现货价格发现功能和效率,发现在连续和约条件下,我国股指期货具有价格发现功能,并价格发现效率低于股指现货.
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| 关 键 词： | 股指期货 价格发现效率 VECM 高频数据 |
Empirical research on price discovery efficiency of our country's stock index futures and spot based on Hushen stock 300 simulation futures data |
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| LIU Bo-wen,FANG Zhen-ming. Empirical research on price discovery efficiency of our country's stock index futures and spot based on Hushen stock 300 simulation futures data[J]. Journal of Dalian University of Technology(Social Sciences), 2008, 29(3): 25-29 |
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| Authors: | LIU Bo-wen FANG Zhen-ming |
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| Affiliation: | LIU Bo-wen,FANG Zhen-mingFinancial Engineering Research Center,Tianjin University,Tianjin 300072,China |
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| Abstract: | Index future has strong function of price discovery in theory.With the Hushen 300 index futures' five-minute high-frequency simulation data,this paper uses the DB Model and Vector Error Correction Model(VECM) to calculate the information share(IS) and component share(CS) and empirically estimates our country's stock index futures and stock index spot's price discovery and efficiency,finds that our country's index future has price discovery and its efficiency is lower than index spot. |
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| Keywords: | VECM |
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