股指期货仿真交易与现货相互引导关系  

The Mutual Causal Relationship between the Index Futures and the Spot Market

作　　者：文先明[1] 梁琳[1] 黄亚雄[2] 

机构地区：[1]长沙理工大学经济与管理学院,湖南长沙410004 [2]湖南工业大学,湖南株洲412007

出　　处：《系统工程》2010年第3期13-18,共6页Systems Engineering

基　　金：国家社科基金重大项目子课题(09ZDB1709ZDB18);湖南省社科基金资助项目(08JD52);湖南省企业战略管理与投资决策研究基地资助项目

摘　　要：以沪深300股指期货仿真交易数据及沪深300指数为研究样本,在结合定性分析的同时,运用E-G协整检验、G ranger因果分析法对两个市场之间的长期均衡关系进行了研究,并通过使用向量自回归(VAR)模型、向量误差修正(VEC)模型、脉冲响应分析和方差分解等方法,进一步对变量间的相互引导关系进行了分析。结果表明仿真交易合约与HS300指数之间互为因果引导关系,且期货市场调整到均衡状态的速度要远快于现货市场。同时研究也发现,股指期货虽然在一定程度上对现货市场产生了一定的影响,在定价中也发挥了一定的作用,但是在价格发现方面总体来说受到现货市场的影响还是占相对主导地位,即我国仿真交易中的股指期货还没有达到成熟期货市场的价格发现水平。Based on the HS300 stock index futures simulation trading data and the HS300 stock index data, we use E-G cointegration test, Granger causality analysis to study the long-term equilibrium relationship between the two markets by combining qualitative analysis. We also use the vector autoregressive （VAR） model, vector error correction （VEC） model, impulse response analysis and variance decomposition to make a further research into the mutual relationship between the variables. The results show that existing two-way causal relationship between the simulation trading contract and the HS300 index, and the futures market to adjust to equilibrium speed is far faster than the spot market. In addition, stock index futures to some extent have a certain influence on the spot market and also play a certain role in the pricing, but the spot market play a dominant role in the price discovery as a whole. That is to say, the stock index futures which was in simulation trading don＇t reach the maturity level in price discovery.

关 键 词：沪深300指数 股指期货 协整检验 误差修正 方差分解 

分 类 号：F830[经济管理—金融学]