沪深300指数期货与现货市场的动态关联性研究——基于2010年4月16日以来的高频数据  

A Study of the Dynamic Correlative Relations Between Shanghai andShenzhen 300 Index Number Future Goods and Cash Markets——on the basis of the high frequency data since April 16,2010

作　　者：文凤华[1,2] 刘文井[1] 杨晓光[1,2,3] 

机构地区：[1]长沙理工大学经济与管理学院,湖南长沙410114 [2]湖南省金融工程与金融管理研究中心,湖南长沙410004 [3]中国科学院数学与系统科学研究院管理决策与信息系统重点实验室,北京100080

出　　处：《长沙理工大学学报（社会科学版）》2011年第2期28-34,89,共8页Journal of Changsha University of Science and Technology：Social Science

基　　金：国家自然科学基金(70971013);湖南省杰出青年基金(09JJ1010);湖南省教育厅创新平台项目(09K064)

摘　　要：自从沪深300指数期货自2010年4月16日正式上市以来,其与现货市场的动态联系引起了监管层和投资者的广泛关注。论文使用双变量VECM-BEKK-GARCH模型,基于5分钟日内数据研究了沪深300期货价格与现货价格之间的引导关系,以及两市场间的波动溢出情况,发现无论长期还是短期价格发现能力,沪深300期货价格上都要领先现货价格,而且沪深300指数期货与沪深300现货市场之间存在双向的波动溢出效应。并从市场微观结构的角度,揭示了期货、现货市场信息效率差异的原因。Since the official listing of Shanghai and Shenzhen 300 index number future goods on Aprial 16,2010,its dynamic relationship with the cash market has attracted wide attention to the supervisors and investors.According to the double variable quantity VECM-BEKK-GARCH model,this article,on the basis of data obtained within five minutes,brings to light the guiding relations between Shanghai and Shenzhen 300 index number future good pricing and the cash market as well as the fluctuation overflow between the two markets.It comes to the conclusion that whether in terms of the long-term or short-term price discovery ability,Shanghai and Shenzhen 300 index future goods take the lead of the cash market,and that there appears to be an effect of two-way fluctuation overflow between the Shanghai and Shenzhen 300 index number future goods and cash market.Then in the perspective of the micro-structure of the market,the article also reveals the causes for the frequency difference between futures and the cash market.

关 键 词：指数期货 价格引导 波动溢出 信息传导 

分 类 号：F830.39[经济管理—金融学]