股指与股指期货日内互动关系研究  

The Study on the Intraday Interaction Relationship betweenthe Stock Index and the Stock Index Futures

作　　者：肖辉[1] 吴冲锋[1] 

机构地区：[1]上海交通大学金融工程研究中心,上海200052

出　　处：《系统工程理论与实践》2004年第5期15-21,共7页Systems Engineering-Theory & Practice

基　　金：国家杰出青年基金(70025303);国家自然科学基金(70173031)

摘　　要：　旨在应用高频数据分析股指与股指期货日内互动关系.研究发现标准普尔500指数现货市场与其期货市场收益率之间存在即时互动关系,这与国外已有研究的结果不一致.为了更进一步研究信息在现货市场与期货市场之间流动的方式,文中采用了三种方法度量股指期现市场的波动性,并且检验了两个市场波动率之间的先行-滞后关系.结果发现,股指期货先行时间明显比股指先行时间要长,股指与股指期货对不同类型的信息反映速度是不一致的.We investigate the intraday interaction between the stock index and the stock index futures through the high frequency data. There exists instantaneous interaction relationship between the two markets' returns. The result is different from foreign studies. In order to further analyse the pattern of information flows between the two markets, we use three ways to measure the two markets' volatilities, and then, we test the lead\|lag relationship between the two markets' volatilities. Our results indicate the stock index futures lead longer than that of the stock index. The speed is different for the two markets respond to different type information.

关 键 词：股指 股指期货 收益率 波动性 引导关系 

分 类 号：F830.91[经济管理—金融学]