上证50指数与衍生品市场价格的发现能力
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摘要
目前,上证50是我国唯一同时拥有期货、ETF、期权等衍生品的指数。本文采用Granger因果检验和协整检验,分析上证50指数、上证50股指期货、上证50ETF、上证50ETF期权价格序列之间的引导关系和长期均衡状况,并运用广义脉冲响应函数分析各个市场的冲击响应速度和强度;通过滞后项的显著性分析4个市场价格序列的领先滞后关系,采用四维IS模型测度各个市场的价格发现信息份额。结果发现:4个市场间的价格相互引导且存在长期均衡,期货市场在价格领先滞后关系中引领其他市场5分钟以上;期货市场的信息份额为47. 76%,指数市场的信息份额为23. 05%,ETF市场的信息份额为15. 37%,期权市场的信息份额为13. 82%。上述研究结果表明期权、期货和ETF的市场功能在市场价格发现过程中起到重要作用,期货在同标的衍生品市场中的价格发现能力最强,在价格发现过程中起主导作用;上证50ETF期权在价格领先滞后关系中落后于其他同标的市场,且在价格发现中所占的信息份额最小,虽然具有一定的价格发现功能,但在价格发现过程中没有起到主导作用;作为追踪上证50指数的基金,ETF在价格领先滞后关系中落后于指数,且在价格发现中所占的信息份额也小于指数。因此,衍生品市场的活跃有利于提升其市场价格的发现能力。
At present,SSE 50 is the only index in China that has both futures,ETFs and options. This paper uses Granger causality test and cointegration test to analyze the lead-lag relationship and long-term equilibrium between the SSE 50 index,SSE 50 stock index futures,SSE 50 ETF and SSE 50 ETF option markets,and analyze the response of each market by using generalized impulse response function; the lead-lag relationship of the four market price series is analyzed by the significance of the lag term,and the Four-dimensional IS Model is used to measure the price discovery information share of each market. The results show that the prices of the four markets are mutually led and there is a long-term equilibrium,and futures market leads other markets for more than 5 minutes; the information share of the futures market is 47. 76%,and the information share of the index market is 23. 05%,the information share of ETF market is15. 37%,while the options market is 13. 82%. The above results show that the options,futures and ETF market play important role in the price discovery process,futures have the strongest price discovery ability and play a leading role in the price discovery process; SSE 50 ETF options underperform in price discovery,and has the smallest share of information.Also,ETF lags index in the price lead-lag relationship and the share of information. Therefore,the activeness of the derivatives market is conducive to improving the ability of price discovery.
At present,SSE 50 is the only index in China that has both futures,ETFs and options. This paper uses Granger causality test and cointegration test to analyze the lead-lag relationship and long-term equilibrium between the SSE 50 index,SSE 50 stock index futures,SSE 50 ETF and SSE 50 ETF option markets,and analyze the response of each market by using generalized impulse response function; the lead-lag relationship of the four market price series is analyzed by the significance of the lag term,and the Four-dimensional IS Model is used to measure the price discovery information share of each market. The results show that the prices of the four markets are mutually led and there is a long-term equilibrium,and futures market leads other markets for more than 5 minutes; the information share of the futures market is 47. 76%,and the information share of the index market is 23. 05%,the information share of ETF market is15. 37%,while the options market is 13. 82%. The above results show that the options,futures and ETF market play important role in the price discovery process,futures have the strongest price discovery ability and play a leading role in the price discovery process; SSE 50 ETF options underperform in price discovery,and has the smallest share of information.Also,ETF lags index in the price lead-lag relationship and the share of information. Therefore,the activeness of the derivatives market is conducive to improving the ability of price discovery.
引文
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[3] Engle R F,Granger C W J. Co-integration and error correction:representation,estimation,and testing[J].Econometrica:journal of the Econometric Society,1987:251-276.
[4] Baillie R T,Booth G G,Tse Y,et al. Price discovery and common factor models[J].Journal of Financial Markets,2002,5(3):309-321.
[5] Koop G,Pesaran M H,Potter S M. Impulse response analysis in nonlinear multivariate models[J]. Journal of Econometrics,1996,74(1):119-147.
(1)详细表达式及推导过程限于篇幅未列出,可向作者索取。
[2] Hasbrouck J. One Security,Many Markets:Determining the Contributions to Price Discovery[J].The Journal of Finance,1995,50(4):1175-1199.
[3] Engle R F,Granger C W J. Co-integration and error correction:representation,estimation,and testing[J].Econometrica:journal of the Econometric Society,1987:251-276.
[4] Baillie R T,Booth G G,Tse Y,et al. Price discovery and common factor models[J].Journal of Financial Markets,2002,5(3):309-321.
[5] Koop G,Pesaran M H,Potter S M. Impulse response analysis in nonlinear multivariate models[J]. Journal of Econometrics,1996,74(1):119-147.
(1)详细表达式及推导过程限于篇幅未列出,可向作者索取。