我国股指期货与现货市场关系的实证研究  

An Empirical Study of Relationship between Stock Index Futures and Spot Market in China and Its Influence

作　　者：唐奇[1] 

机构地区：[1]西安理工大学经济与管理学院,陕西西安710000

出　　处：《绍兴文理学院学报》2012年第8期67-74,共8页Journal of Shaoxing University

基　　金：国家自然科学基金资助项目(70872092);陕西省高校重点学科专项资金建设项目(107-00X902)

摘　　要：2010年4月16日我国正式推出了沪深300股指期货,股指期货与现货市场的影响关系成为一个热议的话题.选取股指期货运行一年来沪深300指数和股指期货主力合约的高频数据为样本,通过建立GARCH系列模型、协整检验和VEC模型进行分析,研究我国股指期货与指数现货市场的关系.China formally launched the HS300 stock index futures on April 16, 2010. To mid April 2011, it has been in operation for one year. At the same time, the relationship between the stock index futures and spot market and its influence has become a hot topic of discussion. Selecting the high frequency data of the HS300 stock index and the main futures contract in one year as samples, the paper endeavors to probe into the relationship between stock index futures and spot market and its influence in China by virtue of the establishment of a series of GARCH models, co- integration test and VEC model.

关 键 词：沪深300股指期货 现货指数 GARCH模型 协整检验 VEC模型 

分 类 号：F830.91[经济管理—金融学]