CAJ | 학술논문

本文采用Hasbrouck（1995）的信息份额方法，用沪深300股指期货和沪深300指数高频数据算出每日股指期货的价格发现贡献率，考察股指期货价格发现能力的变化，并分析了决定其变化的相关因素。结果表明：股指期货在信息传递中居于主导地位，在价格发现过程中的作用比现货市场更大，且有随时间增强的趋势。当股指期货市场相对现货市场更加活跃或者市场波动率降低，股指期货市场的价格发现能力会显著上升。下调股指期货交易手续费使得成交放大的同时却显著降低了股指期货的价格发现能力。此外，投机性因素和投资者情绪对股指期货的价格发现功能的影响产不显著。
본문채용Hasbrouck（1995）적신식빈액방법，용호심300고지기화화호심300지수고빈수거산출매일고지기화적개격발현공헌솔，고찰고지기화개격발현능력적변화，병분석료결정기변화적상관인소。결과표명：고지기화재신식전체중거우주도지위，재개격발현과정중적작용비현화시장경대，차유수시간증강적추세。당고지기화시장상대현화시장경가활약혹자시장파동솔강저，고지기화시장적개격발현능력회현저상승。하조고지기화교역수속비사득성교방대적동시각현저강저료고지기화적개격발현능력。차외，투궤성인소화투자자정서대고지기화적개격발현공능적영향산불현저。
Using high frequency data of CSI300 stock index futures and CSI300 stock index, this paper studies the price discovery＇s time series variation of stock index futures by measuring the daily stock index futures＇ contribution to price discovery with the information share model of Hasbronck （1995）, and conduct regression analysis on the determinants of the variation. We find：（ 1 ） the results show that the index futures have played a dominant role in the price discovery process, and the information shares are becoming larger over the sample pe- riod. （2） The more active index futures market and lower market volatility, the greater contribution of the index futures markets is. （ 3 ） The reduction of commission fee of index futures, surprisingly, decreases the contribution of index futures to the price discovery. （4） The speculation and investor sentiment have some negative but insignificant effects on index futures＇ contribution to the price discovery.