基于VEC模型的股指期货与现货价格关系研究  

Research on Price Relationship Between Stock Index Futures Market and Stock Index Spot Market Based on VEC model

作　　者：杨克磊[1] 李智[1] 

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《重庆理工大学学报（自然科学）》2017年第6期191-197,共7页Journal of Chongqing University of Technology：Natural Science

摘　　要：介绍了VEC模型及其相关部分理论,并在此基础上研究了我国的沪深300现货市场和股指期货的价格关系。通过Granger因果关系的检验、协整性的检验、脉冲响应函数分析和方差分解的分析发现:沪深300现货价格和股指期货价格之间存在着单向的Granger因果关系,且股指期货的价格引导现货价格,期货冲击引起的波动幅度大于现货冲击。The article analyzes the price relationship between Shanghai and Shenzhen 300 Stock index futures and stock index spot price of the CSI 300 index based on VEC model and related theories. By making use of Johansen cointegration test, Granger causality test, VEC model, impulse response function and variance decomposition, it finds that there is an unidirectional Granger causality between the Shanghai and Shenzhen 300 Stock index futures and stock index spot price of The price of stock index futures leads the price of stock index spot, and futures the impact is greater than the stock shocks. the CSI 300 index. volatility caused by

关 键 词：股指期货 股指现货 价格关系 

分 类 号：O21[理学—概率论与数理统计]