恒生指数期货市场价格发现功能的实证分析

VolNoJournalofLiaoningTechnicalUniversitySocialScienceEditionMarVARFAXEmpiricalanalysisofthepricediscoveryfunctionoftheHangsengindexfuturesmarketHUADaweiCHENZhuoWUMinCollegeofArtsandLawNortheasternUniversityShenyangChinaAbstractToanalyzethefunctionoftheHangsengindexfuturesmarketVARmodelisusedtochecktherelationshipbetweenfuturesandspotTheresultsshowthatthepricediscoveringfunctionduringthesubloanissignificantwhichisdifferentfromtheonebeforethesubloanTheperformanceoftheHangsengindexfuturesmarketmaybeusefulforthedevelopmentofChineseAstockindexfuturesKeywordshangsengindexfutureshangsengstockindexpricediscoveryS&PGrangerVARlnFtFtkiilnFtiFtikiilnStiStitlnStStkiilnStiStikiilnFtiFtitFSlnFtFtlnStStKVARlnFtFtlnStStGrangerTabgrangercausalittestresultsbeforethesubprimecrisisKjKKÖKŒKWlnStStlnFtFtFã™O»lnFtFtlnStStFã™O»TabgrangercausalittestresultsbeforethesubprimecrisisKjKKÖKŒKWlnStStlnFtFtFã™O»lnFtFtlnStStFã™EOEE»ElnFtFtlnStStVARlnFtFtlnStStlnFtFtFigimpulseresponsefunctiondiagrambeforethesubprimecrisisEngleNgARCHEGARCHEGARCHlntlntttttttttFigimpulseresponsefunctiondiagramafterthesubprimecrisisFigasymmetricinformationcurveoftheHangsengindexfuturesmarketafterthesubprimecrisistARCHARCHARCHEGARCHlntlntttttEGARCHEViewsMEviewsMJ