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- 2018
仓位限额对股指期货价格发现的影响——基于上证50、沪深300和中证500的实证对比
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Abstract:
采用1分钟高频数据，实证分析上证50股指期货、沪深300股指期货和中证500股指期货相对现货的价格发现能力，着重分析仓位限额对期货价格发现能力的影响。对价格序列进行区间划分，并进行平稳性、格兰杰因果关系和协整关系的检验；针对价格序列建立向量误差修正模型；运用改进的信息共享模型计算序列间的价格发现贡献度，并应用永久短暂模型进行稳健性检验。结果表明：股指期货的价格发现贡献度均大于现货的价格发现贡献度；仓位限额降低了股指期货的价格发现能力，而且对上证50股指期货的价格发现能力影响最大。
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