股指期货与现货指数之间超前滞后关系研究  

A Study of the Lead-lag Relationship between Share Index Futures and Spot

作　　者：陈奇 陈百强[2] 

机构地区：[1]大同市委党校,山西大同037000 [2]山西省委党校,山西太原030006

出　　处：《经济问题》2015年第2期69-71,F0003,共4页On Economic Problems

摘　　要：利用Granger因果检验和向量自回归协整模型对股指期货与现货指数之间的超前滞后关系进行研究,运用向量自回归协整模型（VAR）画出脉冲图,通过协整分析和脉冲响应分析确定了超前滞后时间。研究结果表明：沪深300股指期货对现货指数具有4~5分钟左右的超前现象;而沪深300现货指数对股指期货不具有超前效应。研究进一步证实了沪深300股指期货的价格发现功能,为机构投资者预测现货市场走势、套期保值和规避风险提供了重要的参考依据,对于进一步促进我国资本市场的发展完善具有现实意义。This paper makes a study of the lead - lag relationship between share index futures and spots by u- sing Granger Causality Tests. Firstly, it verifies the stability of the data. Then, it analyzes the Granger causality re- lationship between index rate of return and share index futures rate of return. At last, it works out the pulse picture by using VAR and specifies the lead time and the lag time. The study result shows that the IF300 is four or five mi- nutes or so advanced than spot. But HS300 doesn＇ t play such leading effect. This study further confirms the effect of IF300＇ s price discovery function, and hence provides market＇s tendency, arbitrage pricing and avoiding risks. the important reference for investors＇ prediction of stock market＇s tendency, arbitrage pricing and avoiding risks.

关 键 词：沪深300指数 股指期货 超前滞后 

分 类 号：F830.91[经济管理—金融学]