摘要
本文首先采用滚动协整迹检验对我国境内上证50股指期货与新加坡新华富时中国A50股指期货价格之间的动态联动关系进行初步考察,接着从信息溢出和价格发现两个视角出发,对它们进行长期弱外生性和短期因果关系检验,并采用永久短暂模型和信息份额模型,从统计和经济显著性两方面确定境内外股指期货市场的定价权归属问题。研究发现:第一,两个市场间标准化的迹统计量走势呈现出先降后升的"U型"特征,并且在"U型"两端二者呈现出显著的协整关系。第二,尽管总体上境内上证50股指期货市场掌握着股指期货的定价权,但是长期的限制性交易政策使得富时A50股指期货价格逐渐成为弱外生变量,并且其价格发现贡献度反超境内上证50股指期货市场。即使近年来限制性交易政策不断放宽,我国股指期货定价权依然存在着旁落的风险。第三,与价格信息溢出相比,两个市场的波动信息传递更为频繁,波动风险关联性更紧密,要特别警惕来自境外股指期货市场波动风险的冲击。
At first, by using the rolling co-integration trace test, this paper preliminarily examines the dynamic linkage relationship between Shanghai Stock Index futures in China and Singapore FTSE A50 stock index futures. And then, from the perspective of information spillover and price discovery, this paper also explores the long-term weak externality and short-term causality of them. At last, the permanent transient model and information share model are used to determine the attribution of pricing power of domestic and foreign stock index futures markets from the statistical and economic significance. The results show that: First, the trend of the standardized trace statistics between the two markets shows a “U-shaped” characteristic of falling first and then rising, and the two markets show a significant co-integration relationship at both ends of the “U-shaped”. Second, although the domestic SSE 50 stock index futures market holds the pricing power of the stock index futures, the long-term restrictive trading policy makes the price of FTSE A50 stock index futures gradually become a weak exogenous variable, and its price discovery contribution exceeds that of the domestic SSE 50 stock index futures market. Although the restrictive trading policy has been relaxed in recent years, the pricing power of stock index futures still has the risk of falling. Third, compared with price information spillover, volatility information in the two markets is transmitted more frequently, and volatility risks are more closely correlated. We should be especially vigilant against the impact of volatility risks from overseas stock index futures markets.
作者
张元萍
施健伟
方梦洁
ZHANG Yuan-ping;SHI Jian-wei;FANG Meng-jie(School of Finance,Tianjin University of Finance and Economics,Tianjin 300222,China)
出处
《现代财经（天津财经大学学报）》
CSSCI
北大核心
2022年第2期37-49,共13页
Modern Finance and Economics：Journal of Tianjin University of Finance and Economics
基金
国家自然科学基金青年项目(71703111)。
关键词
股指期货
联动关系
定价权
信息溢出
价格发现
stock index futures
linkage relationship
pricing power
information spillover
price discovery
