机构地区: 中国人民银行
出 处: 《财经科学》 2014年第6期52-62,共11页
摘 要: 价格发现机制与股指期货市场的运行效率相关联。依据股指期货市场存在推出阶段的客观事实,推断该市场与股指现货市场之间的关系可能存在结构性变点。实证结果显示:在变点前,由于投资者的习惯性秉持等相关联原因,股指期货表现出对股指现货的日间引导关系。但由于机构投资未充分参与等原因,股指期货市场至今未成熟。相对而言,股指现货市场更有效率,从而在变点后,股指现货表现出对期货的日间引导关系。 The price discovery mechanism has the relationship with the operatingificiency of the stock index fu- ture market. Based on the fact of the stock index futures market in the initial stage, we inferred that there has the structural brake point in the relationship between the stock index market and the stock index future market. Empirical results showed that: Before the broke point, for the reasons of investors habitually upheld etc., stock index future showed to lead stock index during the day. However, for the reasons such that institutional investors did not participate entirely in and the stock index future market is not fully mature so far, relatively speaking, stock index market was more efficient, so stock index showed to lead stock index future during the day after the broke point.
领 域: [经济管理]