【摘要】 价格发现是股指期货的基础功能。本文利用信息份额模型、长短期模型、EGARCH模型等,对沪深300指数期货价格发现功能进行实证研究,研究发现:股指期货一般领先现货价格,但不是价格决定者而仅是价格先行反映者;股指期货的价格发现功能在合约不同生命周期阶段有着差别表现;股指期货的上市,提高了股市信息传播效率,积极作用比较明显。更多还原

【Abstract】 Price discovery is the basic function of index futures.Based on the models of IS,PT and EGARCH,the empirical research on HS300 index futures come to three conclusions.Firstly,futures price leads stocks index price,not the decider but the forthgoer.Secondly,index futures` price discovery function has different performance during its lifecycle.Thirdly,the launching of index futures helps improving information efficiency of stocks market.更多还原