统计研究
統計研究
통계연구
Statistical Research
2012年
5期
73~78
,共null页
沪深300股指期货 价格发现机制 贡献度测算 分位数回归
滬深300股指期貨 價格髮現機製 貢獻度測算 分位數迴歸
호심300고지기화 개격발현궤제 공헌도측산 분위수회귀
ShangHai ShenZhen 300 Index Future; Price discovery; Contribution Measure; Quantile Regression
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。
本文基于滬深300股指期貨5分鐘高頻數據,利用協整檢驗、誤差脩正模型和脈遲響應函數研究瞭我國股指期貨長短期的價格髮現機製,併用信息共享模型、共因子模型研究瞭我國股指期貨市場的價格髮現貢獻程度;在此基礎上,引入分位數迴歸,探討不同漲跌幅度的期現關繫。實證結果錶明：我國指數期貨和現貨價格存在相互引導關繫,而現階段現貨市場能更快反應全部市場的遲擊,且現貨市場在價格髮現功能中的作用相對較大;隨著漲跌幅度的變化,現貨對期貨的影響呈U型走勢,而期貨對現貨的影響呈單邊上升走勢。
본문기우호심300고지기화5분종고빈수거,이용협정검험、오차수정모형화맥충향응함수연구료아국고지기화장단기적개격발현궤제,병용신식공향모형、공인자모형연구료아국고지기화시장적개격발현공헌정도;재차기출상,인입분위수회귀,탐토불동창질폭도적기현관계。실증결과표명：아국지수기화화현화개격존재상호인도관계,이현계단현화시장능경쾌반응전부시장적충격,차현화시장재개격발현공능중적작용상대교대;수착창질폭도적변화,현화대기화적영향정U형주세,이기화대현화적영향정단변상승주세。
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.
