西南交通大学学报：社会科学版
西南交通大學學報：社會科學版
서남교통대학학보：사회과학판
Journal of Southwest Jiaotong Universit(Social Science Edition)
2012年
3期
127~131
,共null页
沪深300指数 股指期货 股票指数 价格发现 期货市场 现货市场 套期保值 投资组合
滬深300指數 股指期貨 股票指數 價格髮現 期貨市場 現貨市場 套期保值 投資組閤
호심300지수 고지기화 고표지수 개격발현 기화시장 현화시장 투기보치 투자조합
CSI300 stock indexes; stock index futures; stock indexes; price discovery; future market; cash market; hedging; investment portfolio
自沪深300股指期货推出以来,其对股票市场的影响,特别是其价格发现功能,已成为研究者关注的热点。以5分钟高频数据建立向量误差修正模型,并通过IS和PT模型分析股指期货与现货指数各自在价格发现中的贡献度,结果表明：股指期货与现货指数之间存在长期的协整关系,在价格发现过程中股指期货占据主导地位。
自滬深300股指期貨推齣以來,其對股票市場的影響,特彆是其價格髮現功能,已成為研究者關註的熱點。以5分鐘高頻數據建立嚮量誤差脩正模型,併通過IS和PT模型分析股指期貨與現貨指數各自在價格髮現中的貢獻度,結果錶明：股指期貨與現貨指數之間存在長期的協整關繫,在價格髮現過程中股指期貨佔據主導地位。
자호심300고지기화추출이래,기대고표시장적영향,특별시기개격발현공능,이성위연구자관주적열점。이5분종고빈수거건립향량오차수정모형,병통과IS화PT모형분석고지기화여현화지수각자재개격발현중적공헌도,결과표명：고지기화여현화지수지간존재장기적협정관계,재개격발현과정중고지기화점거주도지위。
To examine the price discovery ability between the CSI300 stock index futures market and the underlying spot index in China,the author uses 5 minute high frequency data to establish vector error correction model,analyzes short-term and long-term price discovery between CSI300 stock index futures and the underlying spot index,and adopts IS and PT models to calculate their information share.The empirical results show that there exists longterm cointegration relationship between stock index futures and the underlying spot index,and futures are more likely to occupy the dominant position in price discovery,which can also be proved by the contribution of price discovery.
