선물가격은 현물가격을 선도하는가?：중국 시장에 대한 실증분석
Do Futures Prices Lead Spot Prices?：Evidence from the Chinese Market
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2010년 4월 16일, 중국 역사상 최초로 CSI 300 주가지수 선물 거래가 시작되었다. 본 논문은 선물가격이 현물가격을 선도하는지 아니면 지연하는지에 대한 질문을 처음 도입된 중국 CSI 300 주가지수선물 거래를 통해 살펴보았다. 분석을 위해 2010년 4월 16일부터 2011년10월 16일까지 1년 6개월 동안의 현물과 선물의 거래자료를 사용하여 1분, 3분 그리고 5분주기의 수익률의 선도-지연관계를 연구하였다. 분석결과, 주가지수 선물의 시장정보에 대한 반응속도는 현물시장보다 빠르며, 선도시간은 선물시장이 현물시장보다 약 5분 정도 앞서는 것을 발견하였다. 마지막으로 CSI 300 주가지수 선물의 개선점을 논하고 미래의 발전방향을 전망해 보았다.
Abstract
On April 16, 2010, for the first time in the history of China, the CSI 300 stock index futures trading began. This paper examines whether the futures price leads or lags spot prices through the first introduced CSI 300 stock index futures trading in China. For the analysis, we used the transaction data of spot and futures for 1 year and 6 months from April 16, 2010 to October 16, 2011 to study the lead-lag relationship of the returns of 1 minute, 3 minutes and 5 minutes respectively. The results show that the response of the stock index futures to market information is faster than the spot market and the lead time is about 5 minutes ahead of the spot market. Finally, we discuss the improvement of the CSI 300 stock index futures and forecast the direction of future development.
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