股指期货与股指现货的协整与因果关系研究  

Co-integration and causality relationship research of stock index futures and stock index spot

作　　者：徐雅静[1] 汪远征[1] 刘朋 

机构地区：[1]郑州轻工业学院数学与信息科学系,河南郑州450002 [2]红塔期货,河南郑州450002

出　　处：《郑州轻工业学院学报（自然科学版）》2011年第4期113-116,共4页Journal of Zhengzhou University of Light Industry:Natural Science

基　　金：河南省基础与前沿技术研究计划项目(092300410045)

摘　　要：运用协整理论对我国刚刚上市的股指期货与股指现货进行研究,探索两者之间的内在关系.结果表明,股指期货与股指现货存在协整关系;通过Granger因果检验发现,股指期货与股指现货存在单边因果关系;通过协整模型和修正误差模型确证了股指期货与股指现货的长期均衡和短期波动关系.The intrinsic co-integration relationship between the China stock index futures and stock index spot which barely come into market based on co-integration theory was studied.The results showed that the unilateral causality relationship between stock index futures and stock index is also found by Engle-Granger causality test.The relationship of long-term equilibrium and short-term fluctuation of stock index futures and stock index spot was confirmed by co-integration model and error correction model.

关 键 词：股指期货 股指现货 协整 误差修正模型 

分 类 号：O212[理学—概率论与数理统计]