使用脉冲响应和一般因子分解模型检验了标准普尔500指数、道琼斯工业平均指数、香港恒生指数、日经指数和金融时报100指数现货市场和期货市场之间的价格发现过程.

• This paper investigates the price discovery process between the stock index and the stock index futures by impulse respond test,information share model and the common factor decomposition model. The analysis includes the S &P 500 stock indexes,Dow-Jones industrial average index,Hong Kong Hang Seng index,NIKKEI 225,Financial Times Stock Exchange 100 index.