中国股指期货市场价格发现效率的实证研究

运用Chan模型和GS模型,对中国股指期货市场价格发现功能的发挥效率进行了定性分析,发现沪深300股指期货在上市交易后的四个年度均表现出一定的价格发现功能。但其在上市交易的第四个年头,才开始在价格发现中处于主导地位,说明我国股指期货的价格发现功能表现出一个由弱到强的变化过程。最后,运用修正信息份额模型和因子份额模型测量了沪深300股指期货对价格发现的贡献度,发现股指期货对价格发现的贡献度也表现出一个由小到大的变化过程。

Empirical Study on the Efficiency of Price Discovery in China's Stock Index Futures Market

The paper used Chan model and GS model to make a research on the efficiency of price discovery in China stock index futures market. It＇s found that CSI 300 futures in the four years of the listed transactions have shown a certain extent price discovery function. But in the listing of the fourth year, they began to dominate in the price discovery. It shows a changed process from weak to strong in price discovery function in China＇s stock index futures. Finally, the paper applies the modified information share model and factor shares model to measure the contribution of CSI 300 futures in price discovery and it＇s found that the contribution of stock index futures on price discovery also shows a process that changed from small to big.