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李政1 卜林1 郝毅2

(1.天津财经大学经济学院金融系 300222)
(2.南开大学经济学院 300071)

【摘要】本文首次采用沪深300、上证50和中证500三个品种股指期货与现货的5分钟高频数据, 在静态和动态递归协整分析框架下, 通过长期弱外生检验、广义方差分解、永久短暂模型以及信息份额模型, 从统计和经济显著性两个方面, 对我国股指期货与现货的价格发现功能进行全面考察, 把握了其时变特征。实证结果表明, 三个品种的股指期货与现货具有比较稳定的长期均衡关系。对于沪深300和中证500股指期货与现货, 期货价格为弱外生变量的频率都在90%以上, 期货引导现货;在剩余不到10%的递归子样本下, 期现价格相互引导;而且在所有的递归样本中, 期货的价格发现贡献度都高于现货。对于上证50股指期货与现货, 期货引导现货的频率达到70%以上, 两者相互引导的频率在10%左右, 此时, 期货的价格发现贡献度高于现货;但在本次股灾期间, 同时也出现了现货引导期货、现货价格发现贡献度反超期货的特殊情形。总体而言, 我国的股指期货市场正在逐步走向成熟, 具备了良好的价格发现功能。

【关键词】 股指期货;引领关系;价格发现;贡献度测度;


【基金资助】 国家社会科学基金重大项目“金融风险度量的新理论与新方法及其在中国金融机构的应用研究” (14ZDB124) ; 国家自然科学基金面上项目“金融机构风险动态传递研究:基于全球的视角” (71571106) ; 国家自然科学基金青年项目“从信息到市场:媒体的中介作用” (71403183) ;

Further discussion about the price discovery function of Chinese stock index futures: evidence from three listed products

LI Zheng1 BU Lin1 HAO Yi2

(1.Department of Finance, School of Economics, Tianjin University of Finance and Economics 300222)
(2.School of Economics, Nankai University 300071)

【Abstract】This paper comprehensively studied the price discovery function of Chinese stock index futures and index spot, explored the time-varying features from the perspective of both statistical and economic significance by long-term weakly exogenous test, generalized variance decomposition, PT model and IS model. We adopted five-minute high-frequency data of capitalization-weighted stock market index (CSI) 300, Shanghai Stock Exchange (SSE) 50, and CSI 500 stock index futures for the first time in this research field. The empirical results show a relatively stable long-run equilibrium relationship between the stock index futures and index spot of the three products. For both CSI 300 and CSI 500, the frequency of the futures price as a weakly exogenous variable is over 90%, in which case the futures price leads the spot price or the two lead each other in the remaining recursive samples. In addition, the futures price contributes more to the price discovery than the spot price in all recursive samples. For SSE 50, the frequency of future price leading spot price is above 70%, and the frequency of the two leading each other is about 10%, in which case the price discovery contribution of futures market is higher than that of spot market. However, during the stock market crash in 2015, a special case occurred that SSE 50 index spot led stock index futures, and the price discovery contribution of spot market surpassed futures market. All in all, the Chinese stock index futures market is becoming mature with sound performance in price discovery.

【Keywords】 stock index futures; lead-lag relationship; price discovery; contribution measurement;


【Funds】 National Social Science Fund of China (14ZDB124); National Natural Science Foundation of China (71571106); National Natural Science (Youth) Foundation of China (71403183);

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    [1]. ① Stock index futures underlying indices of the three products represent comprehensive market, large-cap blue chips and mid/small-cap stocks, where CSI 300 stock index futures is mainly used to meet the risk management demand of the investors for systematic risk of the market. However, there is an alternative “seesaw” effect between large-cap blue chips and mid/small-cap stocks, which lowers the hedging efficiency of CSI 300 stock index futures. Stock index futures of a single product is hard to meet the market demand, while the stock index futures of SSE 50 and CSI 500 can meet the hedging demand of large-cap blue chips and mid/small-cap stocks respectively. Multiple stock index futures products provide investors with finer risk management instruments. [^Back]

    [2]. ① Direct estimation of equation (3) is the parameter of unconstrained VAR model. Based on this, the variance decomposition and impulse response results are inconsistent in the long forecast period. [^Back]

    [3]. ② For a specific introduction of generalized variance decomposition, refer to Yang et al. (2006) and Liang et al. (2015). [^Back]

    [4]. ③ The common factor means the common implicit effective price of futures and spot. [^Back]

    [5]. ① Horizontal series are all price series taken natural logarithm. [^Back]

    [6]. ① Basis means the difference between spot price and futures price with an implicit unbiased hypothesis. [^Back]

    [7]. ① It refers to the trace statistics testing the null hypothesis H(0) of “the number of cointegration vectors is 0.” [^Back]

    [8]. ① The net spillover of a market is equal to the outbound information spillover of the market minus that accepted by the market from other markets. For the futures market, its net spillover means the information spillover of futures towards spot minus the spillover accepted by futures from spot, and so does the spot market. [^Back]

    [9]. ② Yang et al. (2012), after studying the trading data of CSI 300 stock index futures at the beginning of its listing, found that CSI 300 index spot led stock index futures with spot market at the center of price discovery. [^Back]

    [10]. ① For details about the development status of stock index futures markets in other countries and regions, check the website of CFFEX ( [^Back]


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This Article


CN: 11-1166/F

Vol 37, No. 07, Pages 79-93

July 2016


Article Outline


  • 1 Introduction
  • 2 Research methodology and sample data
  • 3 Empirical analysis results
  • 4 Conclusions and implications
  • Footnote