每日结算价确定方法与股指期货价格发现效率的关系——以HIS指数期货为例.pdfVIP

第 15 卷第4 期 系统工程理论方法应用 Vo l. 15 No. 4 2006 年 8 月 SYSTEMS ENGINEERING-THEORY METHOOOLOGY APPLICATIONS Aug. 2006 文章编号:1005-2542(2006)04-0299-06 每日结算价确定方法与股指期货价格发现效率的关系 一以 HSI 指数期货为例 王柱， 王欣荣， 吴冲锋 (上海交通大学安泰经济与管理学院，上海 200052) E摘要】价格发现效率作为价格发现的一项基础研究一直备受理论重视。以价格发现速度作为价格发现 效率的代理变量，在总结现有价格发现速度研究的基础上，提出了一般价格发现模型 (GPDM) 。通过 GPDM，以 HSI 指数期货为例，从结算价确定方法对价格发现速度影响的角度，比较了 α- 温塞平均数法、不 完全平均数法、成交量加权平均数法和指数平滑法确定的结算价以及现行结算价的价格友现效率。结果发 现，α-i亘塞平均数法确定的结算价最具价格发现效率，而现行结算价最不具价格发现效率。 关键词:价格发现;结算价p 股指期货 中固分类号:F 830.91 文献标识码:A A Research on the Relation between the Methods of Making Up Daily Settlement Price and the Efficiency of Price Discovery 一一-Taking the HIS As An Example WANG Zhu , WANG Xin-rong , WU Chong-feng (Antai College of Economics and Management , Shanghai ]iaotong Univ. , Shanghai 200052 , China) [Abstract] As a fundamental topic of the researches on the price discovery , the efficiency of price discovery has been paid a great deal of attention. Taken the price discovery speed as a proxy of the efficiency of price dìscovery , thìs paper proposes a General Price Discovery Model (GPDM) on the basis of summarizing pre- sent materials on the price discovery. The different methods of making up daiiy settlement price are com- pared by the GPDM in the Hang Sheng Stock lndex future market. These methods include α-Winsorized Mean , Truncated Mean , Volume Weighted Mean , Exponentia l1y Weighted Mean and the present way. The result shows that in the view of price discovery speed a-Winsorized Mean is the best and the present one is the worst. Key words: price discovery; se