中国股指期货对股票市场的流动性影响  

The Influence of Stock Index Futures of China to the Fluidity Stock Market

作　　者：罗佳[1] 

机构地区：[1]英国杜伦大学杜伦商学院

出　　处：《求是学刊》2011年第5期55-60,共6页Seeking Truth

摘　　要：随着中国股指期货的推出,股指期货对股票市场流动性的影响又成为一个新的课题。文章运用向量自回归(VAR)模型、Granger因果检验分析了中国股指期货对股票市场的流动性影响,检测了流动性溢价理论在中国股指期货市场的应用。最终得出结论,股票市场的买卖价差和期货现货基差之间存在双向的因果关系,即股票市场的流动性波动对投资股指期货的预期收益变化有重要的作用。With the appearance of stock index futures in China,its influence on the fluidity stock market becomes a new subject of study.This article adopts the model of VAR and Granger to analyze it and the adoption of fluid premium theory into China stock index future market.It concludes that there is a bidirectional cause and effect relationship between the difference of price of buying and selling in stock market and basis of future and prompt goods,that is,the fluid fluctuation of stock market plays an important role in the change of expected income of the investment of stock index futures.

关 键 词：流动性溢价理论 买卖价差 期货现货基差 中国股指期货市场 中国股票市场 

分 类 号：F224[经济管理—国民经济] F832.51