A Study of Price Discovery of HS300 Index Futures in China

doi:10.12005/orms.2019.0284

Operations Research and Management Science ›› 2019, Vol. 28 ›› Issue (12): 144-152.DOI: 10.12005/orms.2019.0284

• Application Research • Previous Articles Next Articles

A Study of Price Discovery of HS300 Index Futures in China

HUANG Jin-bo¹, WU Li-li¹, HU Rong²

1. School of Finance, Collaborative Innovation Development Center of Pearl River Delta Science & Technology Finance Industry, Guangdong University of Finance & Economics, Guangzhou 510320, China;
2. School of Financial Mathematics & Statistics, Guangdong University of Finance, Guangzhou 510521, China

Received:2018-04-29 Online:2019-12-25

沪深300股指期货价格发现能力研究

黄金波¹, 吴莉莉¹, 胡蓉²

1. 广东财经大学金融学院/珠三角科技金融产业协同创新发展中心,广东广州 510320;
2. 广东金融学院金融数学与统计学院,广东广州 510521

作者简介:黄金波(1983-),男,河南光山人,副教授,广东省青年珠江学者,博士,研究方向:金融工程与风险管理;吴莉莉(1993-),女,广西南宁人,硕士研究生,研究方向:金融风险计算;胡蓉(1979-),女,湖南衡阳人,讲师,博士,研究方向:金融计算、数据挖掘。
基金资助:
国家自然科学基金项目(71603058,71971068,71721001,71573056);教育部人文社会科学研究基金(16YJC790033,17YJC790023);广东省哲学社会科学规划基金(GD15YYJ06, GD15XYJ03);广东省自然科学基金(2016A030313656)

Abstract

Abstract: Using five minutes high frequency data of HS300 stock index spot and futures, this paper apply Granger causality test, vector auto-regression model, Johansen cointegration test and vector error correction model to analyse HS300 stock index futures pricing capabilities under different trends. The empirical results demonstrate that firstly futures returns is Granger causality of spot return, while spot return is not Granger causality of futures returns in the rising trend, and there is bidirectional Granger causality between spot return and futures return in the decline trend. Secondly, regardless of increasing or decreasing trend, futures market is always in a dominant position for price discovery capabilities. Finally, a long-run equilibrium exists between futures and spot prices, and futures price leads spot price returning to the equilibrium when they are not in equilibrium.

Key words: granger causality test, cointegration test, VECM, stock index futures

摘要： 利用沪深300指数及其期货当月主力合约的5分钟高频数据,本文采用Granger因果检验、向量自回归模型、Johansen协整检验及向量误差修正模型,系统分析不同价格趋势下沪深300股指期货的价格发现能力。研究表明:第一,在上涨趋势中期货收益率单方面引起现货收益率变化,现货收益率不是引导期货收益变化的原因;但是,在下跌趋势中现货收益率与期货收益率具有相互引导的Granger因果关系。第二,无论在上涨阶段还是下跌阶段,期货市场都在价格发现能力方面处于主导地位。第三,期货价格与现货价格存在长期均衡关系,当二者短期内偏离均衡时,期货价格引导现货价格向均衡方向调整。

关键词: Granger因果检验, 协整检验, 误差修正模型, 股指期货

CLC Number:

F830.9

HUANG Jin-bo, WU Li-li, HU Rong. A Study of Price Discovery of HS300 Index Futures in China[J]. Operations Research and Management Science, 2019, 28(12): 144-152.

黄金波, 吴莉莉, 胡蓉. 沪深300股指期货价格发现能力研究[J]. 运筹与管理, 2019, 28(12): 144-152.

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A Study of Price Discovery of HS300 Index Futures in China

沪深300股指期货价格发现能力研究

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