CAJ | 학술논문

我国沪深300指数期货推出后，股指期货的价格发现功能以及对现货市场波动性的影响成为学术界的关注焦点。基于Johansen协整分析、向量误差修正模型和带有误差修正的双变量EGARCH模型．对沪深300指数期货市场和现货市场之间的价格发现功能以及互动关系进行了深入的研究和分析，结果显示：沪深300指数现货市场居于价格发现的主导地位；沪深300指数期货交易减弱了现货市场的条件波动。可见，虽然沪深300指数期货的价格发现功能并未得到应有的发挥，然而熨平股指波动的功能却得到了体现。
아국호심300지수기화추출후，고지기화적개격발현공능이급대현화시장파동성적영향성위학술계적관주초점。기우Johansen협정분석、향량오차수정모형화대유오차수정적쌍변량EGARCH모형．대호심300지수기화시장화현화시장지간적개격발현공능이급호동관계진행료심입적연구화분석，결과현시：호심300지수현화시장거우개격발현적주도지위；호심300지수기화교역감약료현화시장적조건파동。가견，수연호심300지수기화적개격발현공능병미득도응유적발휘，연이의평고지파동적공능각득도료체현。
After the introduction of China Hu-Shen 300 stock index futures, the price discovery function and the impact of volatility to spot market of the stock index have been the academic focus. This paper studies the price discovery function and interaction between the futures and spot markets of Hu-Shen 300 stock indexes based on the Johansen co-integration analysis, Vector error correction model and bivariate EGARCH model with an error correction. The evidence suggests that most of the price discovery takes place at the spot markets; China Hu-Shen 300 stock index futures will weaken the conditional fluctuations of the spot market. Visibly, the price discovery function of Hu-Shen 300 stock index futures did not been due to play. However, its function of stock index volatility has been reflected.