【摘要】 在沪深300股指期货推出两年以后,为了验证期货市场的价格发现功能,本文利用VAR模型对沪深300股指期货和现货价格的每分钟收益率序列实际数据进行检验。实证检验结果显示期货价格变化对未来现货价格变化有显著影响,持续时间可达5分钟以上,而现货价格对期货价格变化没有显著影响。因此,沪深300指数期货市场已经发挥了较强的价格发现功能。同时,我们发现对股指期货和现货市场而言,VAR模型具有较强的稳定性,在利用历史数据预测未来指数价格变化中有较强的实用价值。更多还原

【Abstract】 Two years has passed since the landing of Shanghai-Shenzhen 300 stock index futures.In order to testify the price discovering capacity of futures market,a VAR model is adopted in this paper to exam the relationship between stock index and index futures based on minute return series of Shanghai-Shenzhen 300 index.The empirical tests show that the return of futures price significantly leads the return of spot price,and the influence may lasts for more than 5 minutes,while the influence of spot price to futures price is not discovered.This indicates that the Shanghai and Shenzhen 300 Stock index futures markets have quite strong price discovering ability.The VAR model is quite stable for the stock index futures and spot markets,so that the model may have practical value in predicting return of stock index.更多还原