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中文摘要：
从定价效率和信息效率两个方面研究了香港恒指期货市场的市场效率。研究发现：（1）信息效率显示恒指现货、恒指期货市场为弱式有效；（2）定价效率检验显示香港恒指期货是具有定价效率的衍生品市场；（3）恒生指数和其期货市场之间的领先．滞后关系为恒指期货收益领先恒指现货收益，恒指期货市场在价格发现功能中占据主导地位。笔者认为应该深入研究更为成熟的恒指期货市场，借鉴其发展经验，把我国股指期货市场建成具有定价效率和信息效率的金融市场。笔者建议管理当局和金融行业对此问题进行深入研究，在制度安排、产品设计和行业规则方面做好准备，并制、定发展战略和实施策略。
英文摘要：
This paper examines the efficiency of Hangseng index futures markets from pricing efficiency and informational efficiency aspects in a bear market. The main results are as the follows： （1） The informational efficiency test shows that Hangseng index and futures markets are weak form efficient markets; （2） The pricing efficiency test demonstrates that Hangseng index futures is efficient; （3）The lead-lag relationships between Hangseng index and its futures market shows that returns in Hangseng index futures lead returns in Hangseng index, Hangseng index futures markets play a more important price discovery role. It further suggest that China should research the more mature Hangseng index futures markets and follow its strength, then built HS300 index futures markets into a efficient markets in any case.
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