股指期货与现货指数收益率序列相关性研究——基于Copula函数的实证分析  

The Research on Sequence of Daily Return Correlation between Stock Index Futures and The Spot Index ——Empirical Analysis Based on Copula Function

作　　者：万云波[1] 许自坚[2] 

机构地区：[1]中国石油大学(华东)党委组织部,山东东营257061 [2]西南交通大学经济管理学院,四川成都610031

出　　处：《西南交通大学学报（社会科学版）》2012年第5期14-18,76,共6页Journal of Southwest Jiaotong University(Social Sciences)

摘　　要：沪深300股指期货推出后,其与沪深300指数的关系就引起投资者和研究者的关注。以沪深300指数和沪深300股指期货的日收益率数据为基础,运用Copula函数建立Copula-GARCH(1,1)-GED模型对两者进行相关性分析,结果表明:沪深300指数与股指期货收益率序列之间相关程度非常高,而通过比较秩相关系数的拟合情况,二元正态Copula函数更接近实际情况;在平方欧式距离的标准下,二元t-Copula模型能够更好地描述沪深300指数与沪深300股指期货日收益率序列的相关结构;两序列的尾部相关程度非常高,表明当股票市场大幅度波动时,沪深300指数与沪深300股指期货的相关程度显著提高。The author uses the data of daily return of CSI300 stock index futures and the spot index to study the relationship between the CSI300 stock index futures and the underlying spot index in China. The edge distribution model to each series is established, and we find GARCH （1, 1 ）-GED model is more practicable. On this basis the Copula Model is established. The results of the empirical analysis show that the degree of correlation between CSI300 index and CSI300 stock index futures is very high. Through the comparison of the rank correlation, the two dimensional normal Copula is closer to the practical situation. The standard in Euclidean distance, two dimensional t-Copula can better describe the relation structures between the two series. The two series are highly related in tail and when the stock market fluctuates substantially, the relevance of CSI300 index and CSI300 stock index futures increases significantly.

关 键 词：沪深300指数 股指期货 收益率 相关关系 COPULA函数 

分 类 号：F224[经济管理—国民经济] F832.5