中國滬深300指數之期現貨市場 的互動與價格發現的過程

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Title:	中國滬深300指數之期現貨市場的互動與價格發現的過程 Price Discovery and the Relationship between China's CSI 300 Index Futures and Spot Markets
Authors:	韓濬聰
Contributors:	國際企業管理學系碩士在職專班
Keywords:	價格發現能力滬深300股價指數期貨合約 CSI 300 Stock Index Futures Contract Price Discovery
Date:	2016-07
Issue Date:	2016-08-17 09:52:33 (UTC+8)
Abstract:	本研究主旨在探討中國證券市場中，以大型權值之A股為成分股所編之滬深300股價指數及其期貨與上海股市等價格變化的互動關係。藉此釐清滬深300指數期貨主力合約在中國股市的領導地位，特別是在滬深300期貨開放的早期經驗中，相關文獻的結論並未有一致時，有必要再以滬深300指數期貨商品之交易規模放大後，較為成熟市場的數據進行穩健性檢測。本研究將以2012年7月2日起到2015年5月29日在中國股市為多頭市場的期間中，進行實證後獲得主要結果：支持滬深300指數期貨合約具有資訊優勢能夠領先現貨及上海股市反應訊息，具有指標意義和價格發現能力，故推翻早期經驗支持現貨具價格發現能力和期現貨互有領先的論點。 This paper discusses the interactions among the stock price changes of CSI 300 index (large cap A-shares) and its futures and the Shanghai stock market in the Chinese securities market, in order to clarify the leading position of CSI 300 index futures contract in the Chinese stock market. As there is no definite conclusion on the early opening experience of CSI 300 futures, it is necessary to conduct the robustness test with the data from a mature market after amplifying the transaction scale of CSI 300 index futures commodities. This paper presents an empirical study conducted during the bull market of the Chinese stock market from July 2, 2012 to May 29, 2015. The results are as follows: the evidences support that CSI 300 index futures contract has information advantages, which can precede spot goods and Shanghai stock market reaction information; it has indexing significance and price discovery capacity. Hence, the findings overturn the argument in the early experience that spot goods have price discovery capacity and futures and spot goods both have leading positions.
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