沪深300股指期货价格发现能力研究

利用沪深300指数及其期货当月主力合约的5分钟高频数据,本文采用Granger因果检验、向量自回归模型、Johansen协整检验及向量误差修正模型,系统分析不同价格趋势下沪深300股指期货的价格发现能力。研究表明:第一,在上涨趋势中期货收益率单方面引起现货收益率变化,现货收益率不是引导期货收益变化的原因;但是,在下跌趋势中现货收益率与期货收益率具有相互引导的Granger因果关系。第二,无论在上涨阶段还是下跌阶段,期货市场都在价格发现能力方面处于主导地位。第三,期货价格与现货价格存在长期均衡关系,当二者短期内偏离均衡时,期货价格引导现货价格向均衡方向调整。

A Study of Price Discovery of HS300 Index Futures in China

Using five minutes high frequency data of HS300 stock index spot and futures, this paper apply Granger causality test, vector auto-regression model, Johansen cointegration test and vector error correction model to analyse HS300 stock index futures pricing capabilities under different trends. The empirical results demonstrate that firstly futures returns is Granger causality of spot return, while spot return is not Granger causality of futures returns in the rising trend, and there is bidirectional Granger causality between spot return and futures return in the decline trend. Secondly, regardless of increasing or decreasing trend, futures market is always in a dominant position for price discovery capabilities. Finally, a long-run equilibrium exists between futures and spot prices, and futures price leads spot price returning to the equilibrium when they are not in equilibrium.