沪深300股指期货、现货市场价格传导研究  

Research on Price Transmission of HS300 Stock Index between Futures Market and Spot Market

作　　者：曾黎[1] 李春[1] 

机构地区：[1]红河学院数学学院,云南蒙自661199

出　　处：《重庆工商大学学报（自然科学版）》2013年第10期52-56,共5页Journal of Chongqing Technology and Business University:Natural Science Edition

基　　金：云南省自然科学基金项目(2011FZ193);云南省教育厅科研基金(2011C121)

摘　　要：为了研究沪深300股指期货、现货价格的相互引导关系,采用2010年4月16日-2012年12月28日共660个交易日的1 320个数据进行实证分析;研究结果表明:股指期货、现货价格之间存在协整关系,股指期货价格的变动在一期后对现货价格产生影响,而股指现货的价格的变动在两期后对期货价格产生影响,双向价格引导关系较弱,主要还是期货价格起到主要的引导作用.In order to study the interactive guiding relation of HS 300 Stock Index between futures prices and spot prices, this paper makes empirical analysis of 1 320 data in 660 exchange days during April 16th, 2010- December 28th, 2012, and the research results show that there is a cointegration relation of the stock index between futures prices and spot prices, that the change of stock index futures prices has effect on the spot prices after a phase, however, the change of stock index spot prices has effect on the futures prices after two phases, and that there is a weak relation of bidirectional price guidance because the futures prices play a mainly guiding role.

关 键 词：沪深300股指期货 价格传导 VECM 

分 类 号：F830.9[经济管理—金融学]