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2010年4月16日,中国金融期货交易所推出以沪深300股指为标的的股指期货交易,这标志着中国资本市场发展又迈向一个新台阶,对发育和完善中国资本市场体系具有重要而深远的意义。沪深300股指期货能否发挥价格发现功能亟需实证分析。本文以2010年4月16日至5月21日合约结算日的第一份合约IF1005的高频数据为样本,运用时间序列分析方法分别从指数序列和收益率序列研究沪深300股指期货与沪深300股指之间的互动关系,协整性检验表明沪深300股指期货与沪深300股指之间具有长期的平稳关系;Granger引导关系检验表明沪深300股指期货市场引导沪深300股指;通过误差修正模型,结合脉冲响应函数,Hasbrouck方差分解进一步验证沪深300股指期货与标的指数之间引导关系,以上结果充分表明沪深300股指期货具有价格发现功能。
On April 16, 2010, China Financial Futures Exchange launched the stock index futures trading under the CSI 300 Index, marking the development of China’s capital market to a new level, which is of great importance to the development and improvement of China’s capital market system. Far-reaching significance. Shanghai and Shenzhen 300 stock index futures can play the role of price discovery requires an empirical analysis. This paper takes the high frequency data of the first contract IF1005 from the contract settlement date from April 16 to May 21, 2010 as a sample, and uses the time series analysis method to study the relationship between Shanghai and Shenzhen 300 stock index futures and Shanghai The interaction between the deep 300 stock index, cointegration test showed that the Shanghai and Shenzhen 300 stock index futures and the Shanghai and Shenzhen 300 stock index has a long-term stable relationship between; Granger guide the relationship between the test shows that Shanghai and Shenzhen 300 stock index futures market to guide Shanghai and Shenzhen 300 stock index; Error correction model, combined with impulse response function, Hasbrouck variance decomposition to further verify the CSI 300 stock index futures and the underlying index of the guiding relationship between the above results show that the CSI 300 stock index futures price discovery function.