股指期货中的投资者结构与价格发现_英文文献原文及译文.doc

HUNAN UNIVERSITY 毕 业 论 文 论文题目： PRICE DISCOVERY AND INVESTOR STRUCTURE IN STOCK INDEX FUTURES 学生姓名： 王从阳 学生学号： 20070830224 专业班级： 统计学2007级1班 学院名称： 金融与统计学院 指导老师： 胡荣才 学院院长： 杨胜刚 2011年5月17日PRICE DISCOVERY AND INVESTOR STRUCTURE IN STOCK INDEX FUTURES MARTIN T. BOHL* CHRISTIAN A. SALM MICHAEL SCHUPPLI Previous literature on price discovery in stock index futures and spot markets neglects the role of different investor groups. This study relates time-varying spotfutures linkages studied within a VECM-DCC-GARCH framework to changes in the investor structure of the futures market over time. Empirical results suggest that during the dominance of presumably uninformed private investors, the futures market does not contribute to price discovery. By contrast, there is evidence of information flows from futures to spot markets and a significant increase in conditional correlation between both markets as institutional investors’ share in trading volume increases. We derive implications for the design of emerging futures markets. ? 2010 Wiley Periodicals, Inc. Jrl Fut Mark INTRODUCTION Since the introduction of stock index futures trading, extensive research has been devoted to the question of whether index futures trading contributes to the efficiency of the underlying stock markets in terms of price discovery. Under frictionless markets, new information should be impounded simultaneously in futures and spot prices. In reality, however, futures markets are likely to incorporate market-wide information more efficiently than spot markets because of their inherent leverage, low transaction costs, and a lack of shortsale restrictions. A large body of literature looking at mature futures markets has confirmed that stock index futures typically lead the cash market, implying that a large part of price discovery takes place in the futures market, e.g. in the US (Chou Chung, 2006; Hasbrouck, 2003; Koutmos Tucker, 1996; Pizzi, Economopoulos, O’Neill, 1998; Stoll Whaley, 1990;