股指期货和现货的线性、非线性Granger因果关系分析——基于1分钟高频数据的实证研究  

The Linear and Nonlinear Granger Causality between Stock Index Futures and Spot—Based on an Empirical Study of One- minute High Frequency Data

作　　者：周伟杰[1] 顾荣宝[2] 

机构地区：[1]常州大学商学院,江苏常州213164 [2]南京财经大学金融学院,江苏南京210046

出　　处：《常州大学学报（社会科学版）》2015年第4期45-51,共7页Journal of Changzhou University:Social Science Edition

基　　金：国家自然科学基金项目(71371098)

摘　　要：利用传统线性Granger因果检验以及最近发展的非线性Granger因果非参数Tn检验法,对股指期货和现货的互动关系展开研究。结果表明,从研究的整个阶段来看,股指现货和期货之间存在线性和非线性的Granger因果关系;在期货上市之初,股指期货与现货互为线性Granger因果关系,且只存在期货对现货的非线性Granger因果关系;在随后的几个不同阶段内,期货对现货的线性和非线性关系仍然显著,而现货对期货的线性和非线性Granger作用逐渐减弱。说明随着市场运行的不断深入,无论从线性还是非线性角度,期货对价格发现起主导作用。进一步发现,若存在股指现货对期货的Granger因果关系,现货对期货的线性作用更明显。By the traditional linear Granger causality test and the nonlinear Granger causality developed by non - parametric test method, the interaction between stock index futures and spot under different periods is studied. The results show that there are linear and nonlinear Granger causality in the entire period of the study. At the beginning period when futures are listed on the stock market, there exists double -way linear Granger causality between stock index futures and spot, and futures show one -way nonlinear Granger causality on spot. In the next different sta- ges, the linear and nonlinear Granger relationship between futures and spot is still significant, but the linear and nonlinear Granger effects of spot on futures are gradually weakened. It shows, as the market continues to deepen, futures play the leading role of price discovery both from linear and nonlinear perspectives. Furthermore, if there is the Granger causality of spot on futures, the linear Granger relationship will be more obvious.

关 键 词：股指期货和现货 GRANGER因果检验 非线性 价格引导 

分 类 号：F830[经济管理—金融学]