【摘要】 股指期货理论上具有较强价格发现功能。借助沪深300股指期货5分钟高频模拟数据,利用DB模型和向量误差修正模型(VECM),结合Information Share(IS)和Component Share(CS)实证测算我国股指期货与股指现货价格发现功能和效率,发现在连续和约条件下,我国股指期货具有价格发现功能,并且价格发现效率低于股指现货。更多还原

【Abstract】 Index future has strong function of price discovery in theory.With the Hushen 300 index futures’ five-minute high-frequency simulation data,this paper uses the DB Model and Vector Error Correction Model(VECM) to calculate the information share(IS) and component share(CS) and empirically estimates our country’s stock index futures and stock index spot’s price discovery and efficiency,finds that our country’s index future has price discovery and its efficiency is lower than index spot.更多还原