财经科学
財經科學
재경과학
Finance and Economics
2014年
6期
52~62
,共null页
股指期货 价格发现 结构变点 领滞关系
股指期貨 價格髮現 結構變點 領滯關繫
고지기화 개격발현 결구변점 령체관계
Stock Index Future; Price Discovery; Structural Break Point; lead- Lag Relation
价格发现机制与股指期货市场的运行效率相关联。依据股指期货市场存在推出阶段的客观事实，推断该市场与股指现货市场之间的关系可能存在结构性变点。实证结果显示：在变点前，由于投资者的习惯性秉持等相关联原因，股指期货表现出对股指现货的日间引导关系。但由于机构投资未充分参与等原因，股指期货市场至今未成熟。相对而言，股指现货市场更有效率，从而在变点后，股指现货表现出对期货的日间引导关系。
價格髮現機製與股指期貨市場的運行效率相關聯。依據股指期貨市場存在推齣階段的客觀事實，推斷該市場與股指現貨市場之間的關繫可能存在結構性變點。實證結果顯示：在變點前，由于投資者的習慣性秉持等相關聯原因，股指期貨錶現齣對股指現貨的日間引導關繫。但由于機構投資未充分參與等原因，股指期貨市場至今未成熟。相對而言，股指現貨市場更有效率，從而在變點後，股指現貨錶現齣對期貨的日間引導關繫。
개격발현궤제여고지기화시장적운행효솔상관련。의거고지기화시장존재추출계단적객관사실，추단해시장여고지현화시장지간적관계가능존재결구성변점。실증결과현시：재변점전，유우투자자적습관성병지등상관련원인，고지기화표현출대고지현화적일간인도관계。단유우궤구투자미충분삼여등원인，고지기화시장지금미성숙。상대이언，고지현화시장경유효솔，종이재변점후，고지현화표현출대기화적일간인도관계。
The price discovery mechanism has the relationship with the operatingificiency of the stock index fu- ture market. Based on the fact of the stock index futures market in the initial stage, we inferred that there has the structural brake point in the relationship between the stock index market and the stock index future market. Empirical results showed that： Before the broke point, for the reasons of investors habitually upheld etc., stock index future showed to lead stock index during the day. However, for the reasons such that institutional investors did not participate entirely in and the stock index future market is not fully mature so far, relatively speaking, stock index market was more efficient, so stock index showed to lead stock index future during the day after the broke point.
