股指期货是股灾的“幕后推手”吗——基于2015年股灾期间沪深300股指期货高频数据实证分析  

Does Stock Index Futures Aggravate the Stock Crash:An Empirical Research Based on the HS300 Index Futures 5-min Data During the Crash in 2015

作　　者：杨林[1] 杨雅如[2] 

机构地区：[1]湖南农业大学经济学院,湖南长沙410128 [2]中南财经政法大学金融学院,湖北武汉430073

出　　处：《财经理论与实践》2017年第3期58-63,共6页The Theory and Practice of Finance and Economics

基　　金：国家社会科学基金项目(15BGL044);中南财经政法大学研究生科研创新项目(2016SSjrx016)

摘　　要：选取2015年6月15日至8月26日股灾期间沪深300股指期货与沪深300指数5分钟高频数据,通过E-G两步协整检验、格兰杰因果检验、脉冲响应模型等,对股灾期间股指期货市场价格发现功能及波动溢出效应进行实证研究。结果表明:股灾期间沪深300股指期货仍具备价格发现功能,但存在对现货市场的单向波动溢出,具有一定的"助跌"效应。This paper selected the high-frequency data of HS 300 index futures and HS 300 in- dex from June 15,2015 to August 26,2015. By using the EG two-step co-integration method, Granger Representation Theorem, Impulse Response Model, the empirical study of stock index futures＇ market price discovery function as well as volatility spillover effect has been done. The study shows that even in the crash, HS 300 index futures still played an important role of price discovery, and volatility spillovers existed from the futures market to the stock market. The stock index futures had the ability to lead the stock price to go down.

关 键 词：股指期货 价格发现 波动溢出 

分 类 号：F830.91[经济管理—金融学]