我国股指期货与股指现货联动性的实证研究——基于价格先行性、波动先行性与无套利性视角  

The Relationship Between Spot and Futures Prices in Chinese Stock Indices: a Study Based on Price Leadership, Volatility Leadership, and the Absence of Arbitrage

作　　者：杨瑞杰[1] 张向丽[2] 

机构地区：[1]新疆财经大学金融学院,新疆乌鲁木齐830012 [2]新疆财经大学会计学院,新疆乌鲁木齐830012

出　　处：《国际商务（对外经济贸易大学学报）》2016年第2期89-100,共12页INTERNATIONAL BUSINESS

摘　　要：一直以来,有关我国股指期货与股指现货联动性的研究缺乏全面性,通常只研究价格因素或是波动因素,且对波动先行性所采用的研究方法过于笼统、陈旧而不精细;此外,均未考虑无套利性这一重要特点。本文作者采用中证500ETF及其对应的中证500股指期货和上证50ETF及其对应的上证50股指期货高频数据对价格先行性、波动先行性、无套利性三个方面进行了系统性的研究。结果表明:我国股指期货对股指现货有明显的价格先行性和波动先行性,且当它们的对应标的为大盘股时,价格先行性和波动先行性更为明显;我国股指期货与股指现货的无套利性较弱,但是当它们的对应标的为大盘股时,无套利性略好。The existing studies on the connection between spot and futures prices in Chinese stock indices are not comprehensive; they usually consider only price or volatility. The methods of research on volatility leadership are too general, out of date, and inaccurate. In addition, they do not consider the absence of arbitrage, which is one of the most important characteristics of this relationship.We used high- frequency data from CSI 500 ETF and the corresponding CSI 500 stock index futures, SSE 50 ETF and the corresponding SSE 50 index futures to systematically study price leadership, volatility leadership, and the absence of arbitrage. On volatility leadership, we used the currently- popular model of volatility decomposition to deconstruct the volatility and study it in detail. The results show that stock index futures prices have obvious price leadership and volatility leadership over stock index spot prices, and stock index futures＇ price leadership and volatility leadership are more obvious compared to stock index spot prices when the underlying assets are large-cap stocks. There is a weak no-arbitrage characteristic between stock index futures prices and stock index spot prices, but it becomes stronger when the underlying assets are large-cap stocks.

关 键 词：股指期货 股指现货 价格先行性 波动先行性 无套利性 

分 类 号：F724.5[经济管理—产业经济]