我国沪深300股指期货价格发现功能的实证分析

摘要

The emerging of our country’s stock index future has brought about huge influence on stock market,changed the current situation of stock market that lacks tools avoiding systematic risk,and provided the financing market with new vitality and vigor.This paper applies co-integration text and error correction model,variance decomposition and impulse response function to conduct empirical analysis on the price discovery function of our country’s stock market and futures market.The results indicate that stock index futures dominate price discovery,which demonstrates that the emerging of our country’s tock index futures has increased the market effectiveness and make market information communicate faster.%我国股指期货的推出对证券市场产生了巨大的影响,改变了股票市场缺乏规避系统性风险工具的现状,给金融市场带来新的生机与活力。本文采用协整检验、误差修正模型、方差分解和脉冲响应函数实证分析了我国股票市场和期货市场的价格发现功能。研究发现股指期货在价格发现上占主导地位,表明我国股指期货的推出,增强了市场效率,使市场信息能够更快捷的传达。