沪深300股指期货与现货市场的非线性信息溢出与价格发现功能研究

采用线性与非线性Granger因果检验、协整检验和VECM模型,研究了沪深300股指期货和现货市场的线性与非线性信息溢出,并检验了期货市场的价格发现功能发挥情况。研究结果显示:线性信息溢出方面,沪深300股指期货市场对现货市场只有线性均值信息溢出,现货市场对期货市场只存在线性方差信息溢出;非线性信息溢出方面,两个市场之间不存在非线性均值信息溢出,不过二者之间存在显著的非线性方差信息溢出;沪深300股指期、现货市场之间存在着长期均衡的关系,不过不同于成熟市场中期货市场在价格发现方面居于主导地位的结论,我国股指现货市场在价格发现方面占主导地位,而期货市场处于从属地位。

A Study on the Nonlinear Information Spillover and Price Discovery of CSI300 Index Futures Market and CSI300 Index Market

This paper investigates linear and nonlinear information spillover and price discovery between the CSI300 stock futures and cash markets by linear and non-linear Granger causality test, co-integration test, VECM. The empirical study shows that： In the linear information spillover, there is the significant mean information spillover from the CSI300 index futures market to the cash market （CSI300 index）, and the variance information spillover from the CSI300 index cash market to the futures market is also significant. In the nonlinear information spillover, the variance spillovers between two markets are signifi- cant, but there is no significant mean spillover between two markets. Furthermore, there is a long-run equilibrium between the two markets; the cash market plays a dominant role in price discovery, and the futures market does not contribute to the price discovery, which is contrary to the empirical results of developed stock index future markets.