中国股指期货市场功能实证研究与优化对策
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摘要
股指期货是以股票价格指数为标的一种金融衍生品,自20世纪80年代第一张股指期货合约在美国诞生以来,股指期货在世界范围得到了快速发展,目前已成为世界上交易量最大的期货品种。2010年4月16日,我国正式推出了标的为沪深300指数的股指期货。股指期货的推出不仅可以为投资者增加新的避险工具,提高资金使用效率,而且有助于进一步完善我国的资本市场结构,丰富金融衍生产品种类,对我国金融市场的发展具有重要的意义。
然而,股指期货作为一个金融衍生品市场,在我国的发展尚处于起步阶段,将经历一个较长的发展、完善并逐步成熟的过程。在这个过程中,加强对股指期货市场的跟踪分析,及时发现市场运行当中存在的问题,不断修正和完善相关制度,就显得尤为必要。
在此背景下,本文以股指期货三大市场功能的实证研究为主线——价格发现功能、稳定市场功能、套期保值功能,深入考察我国股指期货市场的运行状况,并结合研究结论所反映出的问题,就完善我国股指期货市场的各项制度提出相关建议。
本论文分为七章。第一章导论部分主要包括研究背景和研究意义、相关文献综述、论文的研究内容和方法、论文的结构安排、以及论文可能的创新点；第二章是股指期货概述,主要介绍了股指期货的相关概念、沪深300指数的编制原则和方法、沪深300股指期货合约的特点等；第三章是股指期货价格发现功能研究,主要对我国股指期货价格发现功能的静态和动态表现展开实证研究；第四章是股指期货对现货市场波动性影响研究,主要包括股指期货推出对于现货市场长期波动性影响研究和短期到期日效应研究；第五章是股指期货套期保值策略研究,主要包括套期保值理论和模型的介绍及不同套期保值模型的绩效评价与比较；第六章是股指期货套期保值效应研究,主要是对我国股指期货的套期保值效应进行实证分析；第七章是研究总结、建议和展望,主要是对论文研究结论进行总结,并就结论所反映的问题提出相关建议。
本文的主要研究成果简述如下：
第一,考察了我国沪深300股指期货市场价格发现功能的静态和动态表现。
首先,采用协整检验、Granger因果检验、VEC模型、脉冲响应函数分析、方差分解及多元回归模型等传统计量方法对价格发现功能静态表现进行了实证研究,结果一致表明,股指期货与现货市场价格相互引导,期货价格领先现货价格5分钟,而现货价格领先期货价格也为5分钟。然后基于5分钟高频数据,利用递归协整和公共因子模型深入研究了沪深300股指期货价格发现功能的动态变化,结果表明,大约2010年6月3日之前,股指期货与现货的联系并不紧密,两者并不具有稳定的协整关系,这表明在股指期货运行之初并不具有价格发现功能。随着期货市场的不断完善,股指期货与现货价格开始具有稳定的协整关系,即开始具有价格发现功能,且价格发现功能不断增强。但从截止到2012年9月17日的高频数据来看,沪深300股指期货在价格发现中的贡献度一直低于现货市场,这表明在价格发现过程中起主导作用的并非期货市场,而是现货市场。最后,本文从较高的准入门槛、不合理的投资者结构、不完善的现货市场交易制度等几方面进行了解释。
第二,考察了我国沪深300股指期货对于现货市场波动性的影响。包括股指期货推出对于现货市场长期波动性影响和短期到期日效应影响。
首先,分别采用带有虚拟变量的GARCH模型和Markov-switching-GARCH模型研究了沪深300股指期货推出对于现货市场波动性的影响,结果一致表明股指期货的推出后,现货市场的波动性水平有所降低,沪深300股指期货具有稳定市场的功能。然后,本文从市场信息传播效率的角度对此进行了解释,研究发现,股指期货推出后,现货市场信息传播效率没有提高,反而略微有降低,这可能与股指期货价格发现功能表现并不理想有关。最后,对股指期货的到期日效应进行了实证研究,结果表明,沪深300股指期货到期日时,现货市场并没有像欧美其他国家一样出现交易量异常放大的现象,且现货市场的波动率也没有出现异常变大的现象,不具有到期日效应。也就是说合约到期日时,股指期货并没有加剧现货市场的波动。这可能与我国设计合理的结算价确定方式、较小期货交易规模及不完善的投资者结构有关。
第三,考察了套期保值理论和模型的发展,并对相关套期保值模型的绩效进行了评价。
在“风险最小化原则”和“效用最大化原则”条件下分别比较了OLS、VAR、 VECM静态套期保值模型及GARCH类和条件OLS动态套期保值模型套期保值绩效,结果表明,动态套期保值模型的套期保值绩效一般都优于静态套期保值模型,但具有更高的操作成本。因此,在套期保值模型的实际选择中,需综合评价套期保值模型的绩效与成本。
第四,考察了我国沪深300股指期货的套期保值绩效。
运用EGARCH模型分别考察了沪深300指数期货与股票现货市场上10大基金重仓股和10只随机选取的深圳证券交易所中小企业板上市的股票之间进行套期保值的效果,发现前者的套期保值效果并不理想,后者的效果更差。造成这种情况的原因是我国股指期货品种过于单一,为给投资者提供更多的、实用的套期保值工具,本文建议应该借鉴海外市场的经验,推出中小市值股票指数期货和其它典型行业股票指数期货等期货品种。
第五,提出完善期货市场的相关建议。
最后根据以上研究结论所反映的问题,论文从交易门槛、投资者结构、现货市场交易规则及股指期货交易品种这几个方面提出了相关建议。
Since the1980s, the first stock index futures contracts was born in the USA, as a kind of financial derivative, stock index futures has been got a rapid development in the world, which now is a kind of futures with largest trading scale in the world. April16,2010, Chinese mainland formally introduced the CSI300stock index futures. The introduction of stock, index futures not only provide a new hedging tool for investors, improve the use efficiency of funds, but also improve the capital market structure of Chinese mainland, enrich financial derivative product categories, which has an important meaning to the development of Chinese mainland.
However, as a financial derivatives market, CSI300stock index futures market is still in its infancy, will experience a long-term process to develop, improve and gradually mature. In this process, it is particularly necessary to strengthen the follow-up analysis of CSI300stock index futures market, discover the existence of problems in the operation of the market and constantly modify and improve the relevant systems.
In this context, this paper will take empirical researches on price discovery function, stabilizing market function and hedging function as the main line, to in-depth study the operation status of CSI300stock index futures market. According to the issues reflected by the empirical research conclusions, this paper will put forward relevant suggestions to improve our stock index futures market.
There are seven chapters in this paper. Chapter one is the introduction, which contains the background and significance of the research, the review of relative literature, the main research contents and methods, the structural arrangement of the paper, as well as possible innovations. Chapter two is an overview of stock index futures, which contains the relative concepts, the principles and methods of preparation of the CSI300Index, the contents and characteristics of the CSI300 index futures contracts. Chapter three is the empirical research on price discovery function of CSI300stock index futures, including the static and dynamic performance of price discovery function. Chapter four studies the impact of stock index futures on volatility of spot market, including the long-term impact of introducing stock index on volatility of spot market and short-term impact of expiration day effects. Chapter five is a research on hedging strategies of stock index futures, which contains the introduction of different kinds of hedging theory and hedging models and the comparison of hedging effectiveness of different kinds of hedging models. Chapter six is a study on hedging effectiveness of CSI300index futures. Chapter seven is the summary, recommendations and outlook of the study, which summarizes the main conclusions, puts forward relevant suggestions, and outlooks the further study.
The main research results are summarized as follows:
1. Examining the static and dynamic performance of price discovery function of CSI300stock index futures.
First, using co-integration test, Granger causality test, VEC model, impulse response function analysis, variance decomposition and multiple regression models to examine the static performance of price discovery function of CSI300stock index futures, the results consistently indicated that the prices of stock index futures and spot market lead to each other, the futures prices lead spot prices for5minutes, and the spot prices lead futures prices for5minutes too.
Second, using high-frequency CSI300stock index and main stock index futures contact date, and recursive co-integration tests and the common factor model, to do a thorough research on time-varying price discovery function performance of CSI300stock index futures. The results indicated that there was no stable co-integration between futures and spot markets at its infancy stage, stock index futures did not have price discovery function. As the improvement of futures market, about from3rd June 2010, there began to have a stable co-integration relationship between futures and spot markets. The futures market began to have price discovery function, but from high-frequency data up to September17,2012, it did not function well in price discovery performance, we found that the spot market rather futures market played a more dominant role in the price discovery process.
The last, this paper carries on explanation from such aspects:high barriers to entry, unreasonable structure of investors and imperfect spot market trading system etc.
2. Examining the impact of stock index futures on volatility of spot market, including the long-term impact of introducing stock index on volatility of spot market and short-term impact of expiration day effects.
First, using GARCH model with dummy variable and Markov-switching-GARCH model to examine the impact of the introducing CSI300index futures trading on the volatility of underlying spot market. Since Markov-switching-GARCH model can endogenously identify distinct volatility and capture a gradual change of volatility, overcome economic shortcomings of the existing GARCH model with dummy variable. The results consistently indicated that the introducing of futures trading reduces the volatility of underlying spot market. The Stabilizing function of CSI300index futures plays well.
Second, carrying on explanation form the aspect of market information transmission efficiency, the study found that after the introduction of stock index futures, spot market information transmission efficiency is not improved, but slightly decreased, which may be related to unsatisfactory performance of price discovery function of stock index futures.
The last, using one minute high frequency date and autoregressive model with dummy variables to investigate whether the CSI300index futures have expiration day effects. The main conclusions of the research:Firstly, on expiration days of the CSI300index futures, the spot market is not associated with abnormal large volume; Secondly, on expiration days of the CSI300index futures, the spot market is not associated with abnormal change index volatility. From the two conclusions, no expiration day effects are found in the CSI300index futures of China. This paper argues that it is due to the reasonable mechanism of settlement price determination, the small size of the futures market and special structure of futures markets investors.
3. Examining the evolution of hedging theories and hedging models, and evaluating hedging effectiveness of different kinds of hedging models.
In accordance with the evolution of hedging model, this paper investigates the optimal hedge ratios and hedging effectiveness of CSI300stock index futures, and compare the hedging effectiveness of the different hedging model based on "minimum variance "principle and "optimum utility" principle. The empirical results indicate that Based on the "minimum variance "principle, Diagonal ECM-BGARCH(1,1) model is the best model to evaluate the optimal hedge ratio for both in-sample dates and out-sample dates; Based on the "optimum utility" principle, regardless of the size of risk aversion parameter, DCC-GARCH is the best hedging model for in-sample dates and Scalar ECM-BGARCH (1,1) is the best hedging model for out-sample dates. The results shown that hedging effectiveness of dynamic hedging models is generally better than the static hedging models, but with higher operating costs. Therefore, in actual hedging model selection, need a comprehensive evaluation of performance and cost of hedging models.
4. Examining the hedging effectiveness of CSI300stock index futures.
Using EGARCH model, this paper first investigates the hedging effectiveness of CSI300index futures contract on10heaviest warehouse stocks of the fund, and then investigates the hedging effectiveness of CSI300index futures contract on10stocks that are randomly selected from SME board of Sheng Zheng stock exchange. It is found that the former hedging effectiveness is not very good, the latter effectiveness is even worse. In order to offer more practical hedging tools, China should learn the experiences of overseas markets, and launch index futures on stocks of SME board and stocks of other industries. In the end, this paper has a simulative empirical test on the hedging performance of policy idea's SME index futures, which prove that the policy idea is worth into practice.
5. Putting forward relevant suggestions to improve the futures market.
According to issues reflected by above conclusions, this paper puts forward relevant suggestions from these aspects:the transaction threshold, the structure of investors, stock market trading rules and the varieties of stock index futures.
然而,股指期货作为一个金融衍生品市场,在我国的发展尚处于起步阶段,将经历一个较长的发展、完善并逐步成熟的过程。在这个过程中,加强对股指期货市场的跟踪分析,及时发现市场运行当中存在的问题,不断修正和完善相关制度,就显得尤为必要。
在此背景下,本文以股指期货三大市场功能的实证研究为主线——价格发现功能、稳定市场功能、套期保值功能,深入考察我国股指期货市场的运行状况,并结合研究结论所反映出的问题,就完善我国股指期货市场的各项制度提出相关建议。
本论文分为七章。第一章导论部分主要包括研究背景和研究意义、相关文献综述、论文的研究内容和方法、论文的结构安排、以及论文可能的创新点；第二章是股指期货概述,主要介绍了股指期货的相关概念、沪深300指数的编制原则和方法、沪深300股指期货合约的特点等；第三章是股指期货价格发现功能研究,主要对我国股指期货价格发现功能的静态和动态表现展开实证研究；第四章是股指期货对现货市场波动性影响研究,主要包括股指期货推出对于现货市场长期波动性影响研究和短期到期日效应研究；第五章是股指期货套期保值策略研究,主要包括套期保值理论和模型的介绍及不同套期保值模型的绩效评价与比较；第六章是股指期货套期保值效应研究,主要是对我国股指期货的套期保值效应进行实证分析；第七章是研究总结、建议和展望,主要是对论文研究结论进行总结,并就结论所反映的问题提出相关建议。
本文的主要研究成果简述如下：
第一,考察了我国沪深300股指期货市场价格发现功能的静态和动态表现。
首先,采用协整检验、Granger因果检验、VEC模型、脉冲响应函数分析、方差分解及多元回归模型等传统计量方法对价格发现功能静态表现进行了实证研究,结果一致表明,股指期货与现货市场价格相互引导,期货价格领先现货价格5分钟,而现货价格领先期货价格也为5分钟。然后基于5分钟高频数据,利用递归协整和公共因子模型深入研究了沪深300股指期货价格发现功能的动态变化,结果表明,大约2010年6月3日之前,股指期货与现货的联系并不紧密,两者并不具有稳定的协整关系,这表明在股指期货运行之初并不具有价格发现功能。随着期货市场的不断完善,股指期货与现货价格开始具有稳定的协整关系,即开始具有价格发现功能,且价格发现功能不断增强。但从截止到2012年9月17日的高频数据来看,沪深300股指期货在价格发现中的贡献度一直低于现货市场,这表明在价格发现过程中起主导作用的并非期货市场,而是现货市场。最后,本文从较高的准入门槛、不合理的投资者结构、不完善的现货市场交易制度等几方面进行了解释。
第二,考察了我国沪深300股指期货对于现货市场波动性的影响。包括股指期货推出对于现货市场长期波动性影响和短期到期日效应影响。
首先,分别采用带有虚拟变量的GARCH模型和Markov-switching-GARCH模型研究了沪深300股指期货推出对于现货市场波动性的影响,结果一致表明股指期货的推出后,现货市场的波动性水平有所降低,沪深300股指期货具有稳定市场的功能。然后,本文从市场信息传播效率的角度对此进行了解释,研究发现,股指期货推出后,现货市场信息传播效率没有提高,反而略微有降低,这可能与股指期货价格发现功能表现并不理想有关。最后,对股指期货的到期日效应进行了实证研究,结果表明,沪深300股指期货到期日时,现货市场并没有像欧美其他国家一样出现交易量异常放大的现象,且现货市场的波动率也没有出现异常变大的现象,不具有到期日效应。也就是说合约到期日时,股指期货并没有加剧现货市场的波动。这可能与我国设计合理的结算价确定方式、较小期货交易规模及不完善的投资者结构有关。
第三,考察了套期保值理论和模型的发展,并对相关套期保值模型的绩效进行了评价。
在“风险最小化原则”和“效用最大化原则”条件下分别比较了OLS、VAR、 VECM静态套期保值模型及GARCH类和条件OLS动态套期保值模型套期保值绩效,结果表明,动态套期保值模型的套期保值绩效一般都优于静态套期保值模型,但具有更高的操作成本。因此,在套期保值模型的实际选择中,需综合评价套期保值模型的绩效与成本。
第四,考察了我国沪深300股指期货的套期保值绩效。
运用EGARCH模型分别考察了沪深300指数期货与股票现货市场上10大基金重仓股和10只随机选取的深圳证券交易所中小企业板上市的股票之间进行套期保值的效果,发现前者的套期保值效果并不理想,后者的效果更差。造成这种情况的原因是我国股指期货品种过于单一,为给投资者提供更多的、实用的套期保值工具,本文建议应该借鉴海外市场的经验,推出中小市值股票指数期货和其它典型行业股票指数期货等期货品种。
第五,提出完善期货市场的相关建议。
最后根据以上研究结论所反映的问题,论文从交易门槛、投资者结构、现货市场交易规则及股指期货交易品种这几个方面提出了相关建议。
Since the1980s, the first stock index futures contracts was born in the USA, as a kind of financial derivative, stock index futures has been got a rapid development in the world, which now is a kind of futures with largest trading scale in the world. April16,2010, Chinese mainland formally introduced the CSI300stock index futures. The introduction of stock, index futures not only provide a new hedging tool for investors, improve the use efficiency of funds, but also improve the capital market structure of Chinese mainland, enrich financial derivative product categories, which has an important meaning to the development of Chinese mainland.
However, as a financial derivatives market, CSI300stock index futures market is still in its infancy, will experience a long-term process to develop, improve and gradually mature. In this process, it is particularly necessary to strengthen the follow-up analysis of CSI300stock index futures market, discover the existence of problems in the operation of the market and constantly modify and improve the relevant systems.
In this context, this paper will take empirical researches on price discovery function, stabilizing market function and hedging function as the main line, to in-depth study the operation status of CSI300stock index futures market. According to the issues reflected by the empirical research conclusions, this paper will put forward relevant suggestions to improve our stock index futures market.
There are seven chapters in this paper. Chapter one is the introduction, which contains the background and significance of the research, the review of relative literature, the main research contents and methods, the structural arrangement of the paper, as well as possible innovations. Chapter two is an overview of stock index futures, which contains the relative concepts, the principles and methods of preparation of the CSI300Index, the contents and characteristics of the CSI300 index futures contracts. Chapter three is the empirical research on price discovery function of CSI300stock index futures, including the static and dynamic performance of price discovery function. Chapter four studies the impact of stock index futures on volatility of spot market, including the long-term impact of introducing stock index on volatility of spot market and short-term impact of expiration day effects. Chapter five is a research on hedging strategies of stock index futures, which contains the introduction of different kinds of hedging theory and hedging models and the comparison of hedging effectiveness of different kinds of hedging models. Chapter six is a study on hedging effectiveness of CSI300index futures. Chapter seven is the summary, recommendations and outlook of the study, which summarizes the main conclusions, puts forward relevant suggestions, and outlooks the further study.
The main research results are summarized as follows:
1. Examining the static and dynamic performance of price discovery function of CSI300stock index futures.
First, using co-integration test, Granger causality test, VEC model, impulse response function analysis, variance decomposition and multiple regression models to examine the static performance of price discovery function of CSI300stock index futures, the results consistently indicated that the prices of stock index futures and spot market lead to each other, the futures prices lead spot prices for5minutes, and the spot prices lead futures prices for5minutes too.
Second, using high-frequency CSI300stock index and main stock index futures contact date, and recursive co-integration tests and the common factor model, to do a thorough research on time-varying price discovery function performance of CSI300stock index futures. The results indicated that there was no stable co-integration between futures and spot markets at its infancy stage, stock index futures did not have price discovery function. As the improvement of futures market, about from3rd June 2010, there began to have a stable co-integration relationship between futures and spot markets. The futures market began to have price discovery function, but from high-frequency data up to September17,2012, it did not function well in price discovery performance, we found that the spot market rather futures market played a more dominant role in the price discovery process.
The last, this paper carries on explanation from such aspects:high barriers to entry, unreasonable structure of investors and imperfect spot market trading system etc.
2. Examining the impact of stock index futures on volatility of spot market, including the long-term impact of introducing stock index on volatility of spot market and short-term impact of expiration day effects.
First, using GARCH model with dummy variable and Markov-switching-GARCH model to examine the impact of the introducing CSI300index futures trading on the volatility of underlying spot market. Since Markov-switching-GARCH model can endogenously identify distinct volatility and capture a gradual change of volatility, overcome economic shortcomings of the existing GARCH model with dummy variable. The results consistently indicated that the introducing of futures trading reduces the volatility of underlying spot market. The Stabilizing function of CSI300index futures plays well.
Second, carrying on explanation form the aspect of market information transmission efficiency, the study found that after the introduction of stock index futures, spot market information transmission efficiency is not improved, but slightly decreased, which may be related to unsatisfactory performance of price discovery function of stock index futures.
The last, using one minute high frequency date and autoregressive model with dummy variables to investigate whether the CSI300index futures have expiration day effects. The main conclusions of the research:Firstly, on expiration days of the CSI300index futures, the spot market is not associated with abnormal large volume; Secondly, on expiration days of the CSI300index futures, the spot market is not associated with abnormal change index volatility. From the two conclusions, no expiration day effects are found in the CSI300index futures of China. This paper argues that it is due to the reasonable mechanism of settlement price determination, the small size of the futures market and special structure of futures markets investors.
3. Examining the evolution of hedging theories and hedging models, and evaluating hedging effectiveness of different kinds of hedging models.
In accordance with the evolution of hedging model, this paper investigates the optimal hedge ratios and hedging effectiveness of CSI300stock index futures, and compare the hedging effectiveness of the different hedging model based on "minimum variance "principle and "optimum utility" principle. The empirical results indicate that Based on the "minimum variance "principle, Diagonal ECM-BGARCH(1,1) model is the best model to evaluate the optimal hedge ratio for both in-sample dates and out-sample dates; Based on the "optimum utility" principle, regardless of the size of risk aversion parameter, DCC-GARCH is the best hedging model for in-sample dates and Scalar ECM-BGARCH (1,1) is the best hedging model for out-sample dates. The results shown that hedging effectiveness of dynamic hedging models is generally better than the static hedging models, but with higher operating costs. Therefore, in actual hedging model selection, need a comprehensive evaluation of performance and cost of hedging models.
4. Examining the hedging effectiveness of CSI300stock index futures.
Using EGARCH model, this paper first investigates the hedging effectiveness of CSI300index futures contract on10heaviest warehouse stocks of the fund, and then investigates the hedging effectiveness of CSI300index futures contract on10stocks that are randomly selected from SME board of Sheng Zheng stock exchange. It is found that the former hedging effectiveness is not very good, the latter effectiveness is even worse. In order to offer more practical hedging tools, China should learn the experiences of overseas markets, and launch index futures on stocks of SME board and stocks of other industries. In the end, this paper has a simulative empirical test on the hedging performance of policy idea's SME index futures, which prove that the policy idea is worth into practice.
5. Putting forward relevant suggestions to improve the futures market.
According to issues reflected by above conclusions, this paper puts forward relevant suggestions from these aspects:the transaction threshold, the structure of investors, stock market trading rules and the varieties of stock index futures.
引文
① 关于这方面的详细论述可参阅Sharpe(1964)、Lintnter(1965)和Mossin (1966)关于资本资产定价的理论研究。
② 资料来源：http://finace.sina.com.cn/hv/20080602/14304936359.shtml
① Gulen H, Mayhew S. Stock index futures trading and volatility in international equity markets[J]. Journal of Futures Markets,2000,20(7):661-685.
① 关于该理论,最著名的是Fisher于1986年所提出的利率期限结构预期假说,这个假说认为远期利率为对未来即期利率的无偏估计。
② 除Kawaller等(1987)外,还有许多学者给出了股指期货价格发现功能的定义,如Bakham和3eltner(1995)、 Hasbrouck (1995)、肖辉(2006)等,这些价格发现功能定义的核心思想都是期货市场的价格变化领先于现货市场价格的变化。
③ 详细论证过程请参阅论文：陈蓉,郑振龙.无偏估计、价格发现与期货市场效率——期货与现货价格关系[J].系统工程理论与实践,2008(8)：2-11.
① 详细论述可参阅：Kumar P, Seppi D J. Information and Index Arbitrage[J]. The Journal of Business, 1994,67(4):481-509.
② 详细论述可参阅：Hietala P, Jokivuolle E, Koskinen Y. Informed Trading, Short Sales Constraints, and Futures' Pricing[Z].2000.
① 顾京,叶德磊.股指期货价格发现功能：文献综述[J].海南金融,2013(2):4144.
② 由于国内外学者在对价格发现功能进行实证研究时所研究对象,采用的研究方法、样本时间段及样本数据频率等都各不相同,因此并没有得出一致的结论。但从蔡向辉(2010)对相关文献的总结来看,以发达国家股指期货市场为研究对象的文献中,得出期货价格领先于现货价格的结论文献偏多；而以新兴市场国家的股指期货市场为研究对象的文献中,得出现货价格领先于期货价格结论的文献偏多。
① 蒋瑛琨,彭艳.股指期货到期日效应的形成原因[N].期货日报,2007年6月27日.
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① 梁斌.股指期货套期保值和套利策略研究.中国科技大学博士论文,2010年,第12页.
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① 有关此方面的详细论述,可参阅Subrahmanyam的两篇文献：Subrahmanyam A. A Theory of Trading in Stock Index Futures[J]. The Review of Financial Studies,1991,4(1):17-51. Subrahmanyam A. Risk Aversion, Market Liquidity, and Price Efficiency[J]. Review of Financial Studies, 1991,4(3):416-441.
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② 资料来源：http://finace.sina.com.cn/hv/20080602/14304936359.shtml
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① 关于该理论,最著名的是Fisher于1986年所提出的利率期限结构预期假说,这个假说认为远期利率为对未来即期利率的无偏估计。
② 除Kawaller等(1987)外,还有许多学者给出了股指期货价格发现功能的定义,如Bakham和3eltner(1995)、 Hasbrouck (1995)、肖辉(2006)等,这些价格发现功能定义的核心思想都是期货市场的价格变化领先于现货市场价格的变化。
③ 详细论证过程请参阅论文：陈蓉,郑振龙.无偏估计、价格发现与期货市场效率——期货与现货价格关系[J].系统工程理论与实践,2008(8)：2-11.
① 详细论述可参阅：Kumar P, Seppi D J. Information and Index Arbitrage[J]. The Journal of Business, 1994,67(4):481-509.
② 详细论述可参阅：Hietala P, Jokivuolle E, Koskinen Y. Informed Trading, Short Sales Constraints, and Futures' Pricing[Z].2000.
① 顾京,叶德磊.股指期货价格发现功能：文献综述[J].海南金融,2013(2):4144.
② 由于国内外学者在对价格发现功能进行实证研究时所研究对象,采用的研究方法、样本时间段及样本数据频率等都各不相同,因此并没有得出一致的结论。但从蔡向辉(2010)对相关文献的总结来看,以发达国家股指期货市场为研究对象的文献中,得出期货价格领先于现货价格的结论文献偏多；而以新兴市场国家的股指期货市场为研究对象的文献中,得出现货价格领先于期货价格结论的文献偏多。
① 蒋瑛琨,彭艳.股指期货到期日效应的形成原因[N].期货日报,2007年6月27日.
② 顾京,叶德磊.股指期货到期日效应在中国存在吗[J].金融发展研究,2011(10)：66-70.
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① 方匡南.中国概念股指期货合约设计比较分析[N].期货日报,2007年6月20日
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① 参考：柴尚蕾.股指期货与现货市场的相关性及套期保值策略研究[D].大连理工大学,2011年6月：第57页.
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