我国股指期货收益与宏观经济关系的实证分析  

Empirical Study of Mutual Relationship Between China Stock Index Futures Returns and Macroscopic Economy

作　　者：王博[1] 伍楠林[1] 

机构地区：[1]哈尔滨工业大学经济系,150001

出　　处：《国际贸易问题》2012年第6期153-166,共14页Journal of International Trade

基　　金：中央高校基本科研业务费专项资金资助(项目编号HIT.HSS.201121);哈尔滨工业大学九八五三期后备学科带头人项目支持

摘　　要：股指期货是以股价指数为标的物的标准化期货合约,其具备高杠杆性、投机性和交易策略复杂性的特征,其风险与收益的变化在对宏观经济产生复杂影响的同时,也必然受到宏观经济各环境因素的影响。本文通过构建向量自回归模型,然后建立平稳性检验、最优滞后长度检验与协积检验,可以使数据分析更加合理可靠,最终实现更好的衡量股指期货收益、为其指标体系的构建提供良好的示范。Stock index futures are based on stock price index for the subject matter of the standardized futures contracts, which have highly leveraged, specula- tive trading strategy and the characteristics of complexity. The changes of the risks and benefits have an impact on the macro-economy, while at the same time, influenced by various environmental factors of macro- economy .In this pa- per, we will build a VAR model, and then create a smooth test, the optimal lag length of the test and co-product testing, so that data analysis can be more rea- sonable and reliable, and ultimately providing a good demonstration for a better measure of stock index futures returns and its index system.

关 键 词：股指期货 期货合约 宏观经济指标 向量自回归模型 

分 类 号：F830.59[经济管理—金融学]