沪深300股指期货与现货指数的引导关系研究  

Research on the Guide relationship between futures index and spot index of CSI 300

作　　者：杨德勇[1] 王志博[2] 

机构地区：[1]北京工商大学研究生部,北京100048 [2]北京工商大学经济学院,北京100048

出　　处：《财经理论研究》2013年第2期63-71,共9页Journal of Finance and Economics Theory

摘　　要：以沪深300现货指数和当月沪深300股指期货连续合约的1分钟高频数据为样本,将数据分为上涨与下跌两个阶段,采用Granger因果检验、VAR模型、脉冲响应函数、方差分解和VEC模型对期货指数与现货指数的引导关系进行实证分析。研究发现在下跌阶段期货指数领先于现货指数,对现货指数有很强的引导作用,而期货指数的变动更多来源于自身滞后期的波动。在上涨阶段期货指数与现货指数互为格兰杰因果关系,两个指数之间存在很强的协同性,相互之间都具有很强的引导作用。Taking 1 minute high frequency data of the CSI 300 spot index and the month CSI 300 futures in- dex, the paper divides the data into two stages：the rise and fall. And empirically analyzes the guiding relations of futures index and spot index by using Granger causality test, VAR model, impulse response function, variance de- composition and the model of VEC. The study found that futures index is ahead of the spot index in the fall period, which has a strong guide to the spot index; however, the changes of futures index more come from fluctuation of their own lag period. On the other hand, futures index and spot index promote each other, reciprocal causation in the rising period; each has a strong guiding role on the other side.

关 键 词：股指期货 GRANGER因果检验 VAR模型 VEC模型 引导 

分 类 号：F830.91[经济管理—金融学]