摘要：期货市场是一种以价格指数为标的物的标准化金融期货合约。价格发现是资本市场最基本的功能，也是实现投融资、资源配置等其他功能的前提。本文主要针对目前金融市场的股票期货市场的价格发现功能研究。首先分析了期货市场价格发现功能的涵义和特点、形成原因及过程，分别阐述了期货市场和现货市场对价格发现功能的影响因素。通过相关性分析、Grange因果检验分析等得出结论：期货价格与现货价格相关性强，但价格序列显著性差，期货市场具有价格主导作用，即价格发现功能。然后研究了沪深300股期货市场推出对现货市场的影响，设计调查方法，建立GARCH模型。通过检验，发现期货市场推出对于现货市场价格具有一定的影响，且具有短时的滞后性。结合研究结果和经济新常态下我国的期货市场管理提出了一些策略和建议。76895

毕业论文关键词：期货市场 现货市场 实证检验 价格发现 

Research on Price Discovery Function of Financial Market in China

Abstract: Futures market is a kind of financial futures contract with the price index as the standard。 Price discovery is the most basic function of the capital market, but also to achieve investment and financing, resource allocation and other functions of the premise。 This paper mainly focuses on the price discovery function of the stock futures market in the financial market。 First of all, the paper analyzes the meaning, forming reason and process of the price discovery function of the futures market, and expounds the influence factors of the price discovery function of the futures market and the spot market。 Then, it studies the influence of the stock market of Shanghai and Shenzhen stock markets on the spot market, the design survey method, and establishes the GARCH model with dummy variables。 Through the inspection, found that the futures market has a certain impact on the spot market price, and has a short time lag。 Finally, the price discovery function of stock index futures market is empirically tested。 Through correlation analysis, Granger causality test and other tests concluded that: futures price and spot price related, but price series was significant difference, the futures market has a leading role in the price, namely the price discovery function。 Based on the results of the research, some suggestions are put forward for the management of futures market in our country under the new economic norm。

Key Words： Futures market, Spot market, Empirical test, Price discovery

目　录

一、导论 - 5 -

（一）研究的背景与意义 - 5 -

1。研究背景 - 5 -

2。研究意义 - 6 -

（二）国内外研究文献综述 - 6 -

    1。国外研究现状 - 6 -

    2。国内研究现状 - 7 -

二、期货价格发现理论 - 8 -

（一）期货价格发现功能 - 8 -

1。期货价格发现 - 8 -

2。期货市场价格发现特点 - 9 -

（二）期货价格发现功能原因及过程 - 9 -

1。期货价格发现功能的形成原因 - 9 -

2。期货价格发现的过程 - 10 -

（三）期货市场价格发现功能的影响因素 - 10 -

1。期货交易规模与成本