我国股指期货市场价格发现功能研究——基于上升、下跌和震荡状态下的分析

为了研究我国股指期货市场的价格发现功能，文章按照时变的思路，根据股指期货在不同市场环境下的作用和表现，将市场区别为上升、下跌和震荡三种情况来检验价格发现功能的差异。通过采用VEC模型、PT模型和IS模型进行对比分析，发现在大牛市和熊市时期，股指期货的所起到的作用会很明显，在价格发现中所占比例较大，为50-70%；而在股市平盘震荡时期，股指期货的价格发现能力要弱一些，只占20-30%比例。文中建议要加快发展我国股指期货市场，改善和优化目前的产品结构体系，减少对市场的不必要限制措施，使之成为更加规范和成熟的股指期货市场。

Price Discovery of Stock Index Futures Market in China Based on Three Different States

In order to study the role of stock index futures market in China, this paper uses VEC model, PT model and IS model to analyze the price guide relation of stock index futures to spot market in three different states. By comparison of stock index futures price discovery in three different states, we found that the stock index futures will be very obvious role in price discovery in the bull market and bear market periods, but in the flat period the price discovery in stock index futures is weaker than the spot market. This paper proposes regulators should speed up the development of China's stock index futures market, should improve and optimize the current system of products, and should reduce unnecessary restrictions on the market.