| 恒生指数期货市场价格发现功能的实证分析 |
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| 引用本文： | 花大伟,陈卓,吴敏.恒生指数期货市场价格发现功能的实证分析[J].辽宁工程技术大学学报(社会科学版),2010,12(2):141-143. |
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| 作者姓名： | 花大伟 陈卓 吴敏 |
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| 作者单位： | 东北大学,文法学院,辽宁,沈阳,110004 |
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| 摘 要： | 为了分析香港恒生指数期货市场的价格发现功能，采用VAR系列模型，分析了恒生指数期货与现货之间的关系。实证检验结果表明：恒生指数期货市场在次贷危机前价格发现功能不明显，而次贷危机之后发挥了价格发现功能。香港恒生指数期货市场在次贷危机期间的表现，对中国沪深300指数期货的开发有一定的借鉴意义。
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| 关 键 词： | 恒生指数期货 恒生指数现货 价格发现 |
Empirical analysis of the price discovery function of the Hangseng index futures market |
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| HUA Dawei,CHEN Zhuo,WU Min.Empirical analysis of the price discovery function of the Hangseng index futures market[J].Journal of Liaoning Technical University(Social Science Edition),2010,12(2):141-143. |
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| Authors: | HUA Dawei CHEN Zhuo WU Min |
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| Institution: | (College of Arts and Law, Northeastern University, Shenyang 110004,China) |
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| Abstract: | To analyze the function of the Hangseng index futures market, VAR model is used to check the relationship between futures and spot. The results show that the price discovering function during the sub--loan is significant, which is different from the one before the sub--loan. The performance of the Hangseng index futures market may be useful for the development of Chinese A -stock index futures. |
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| Keywords: | hangseng index futures hangseng stock index price discovery |
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