股指期货与现货指数的关联性分析——基于VAR模型  

Correlation Analysis of Stock Index Futures and Spot Index Based on the VAR Model

作　　者：张晓芳[1] 

机构地区：[1]安徽财经大学数量经济研究所,安徽蚌埠233030

出　　处：《怀化学院学报》2015年第11期31-34,共4页Journal of Huaihua University

基　　金：安徽财经大学研究生科研创新基金(XJJ2014072)

摘　　要：以沪深300现货指数与沪深300股指指数作为研究对象,基于协整检验、Granger因果关系检验、向量自回归动态系统模型等方法研究了两者的关联性问题与相互影响等问题.结果表明沪深300股指期货与沪深300现货指数之间存在长期的均衡关系,存在着内生的关联性,并且期现货市场有着较强的价格发现功能.With the CSI 300 stock index and index of Shanghai and Shenzhen 300 index as the research object, based on thecointegration test, Granger causality test, and vector autoregressive methods of dynamic system model both correlation and mutualinfluence relationship problems is studied. The results show that there is a long - term equilibrium relationship between the CSI 300stock index and the CSI 300stock index with the endogenic correlation, and that the stock index futures market has a good positiveon the spot market price regulation.

关 键 词：现货指数 股指期货 VAR模型 

分 类 号：F08[经济管理—政治经济学]