基于波动效应与价格发现的期指仿真交易研究

沪深300股指期货仿真交易的推出，对我国现货市场的影响如何以及这种影响是否有利于现货效率的改进。首次采用修正的GARCH模型和向量误差修正模型（VEC）将股指期货推出后现货市场波动性的变化和股指期货与现货市场的价格发现功能结合起来进行对比研究。结果表明，期指仿真交易的推出对于现货市场效率的改进确实存在正面的影响。其引入在短期内加大了现货市场的波动，但这一波动正是市场信息流动加速的反映，因而提高了市场信息的传递效率。同时期货价格领先于现货价格，存在由期货市场到现货市场长期的单向因果关系，说明期货价格具有引导现货价格向均衡方向调整的功能，从而在经验上支持了股指期货市场的开放政策。

Research on Simulation Trading of Index Futures Based on Volatility Efficiency and Price Discovery

This paper studies the impact of the simulation trading of HS300 index futures on the spot market,and whether it helps to improve the efficiency of the spot market. The first application of modified GARCH model and the Vector Error Correction model （VEC）,makes an integrated study between the changes of spot market volatility when stock index futures have been introduced and the price discovery, function of the index futures compared with the spot market. The results show that the introduction of index futures has a positive impact on the efficiency of spot market. It has increased the volatility of the spot market in the short term,and exactly the volatility is a reflection of the market to accelerate the flow of information, so its introduction improves the transmission efficiency of the market information. Moreover,studies have shown that futures prices leads spot prices,and there is a long-term unidirectional causality from the futures market to the spot which shows that futures prices have functions to lead spot prices to the balance,accordingly empirically supports the open policy in stock index futures market.