沪深300股指期货与标的指数联动关系研究  

Research on the relationship between CSI300 stock index futures and its underlying stock index

作　　者：何枫 张维[2] 熊熊[2] 张晶[2] 孟祥桐 He Feng Zhang Wei Xiong Xiong Zhang Jing Meng Xiangtong(Institute of Finance and Development, Nankai University, Tianjin 300071, China College of Management and Economics, Tianjin University, Tianjin 300072, China)

机构地区：[1]南开大学金融发展研究院,天津300071 [2]天津大学管理与经济学部,天津300072

出　　处：《系统工程学报》2017年第5期648-659,共12页Journal of Systems Engineering

基　　金：国家自然科学基金重点资助项目(71532009);国家自然科学基金重大国际合作资助项目(71320107003);中国博士后科学基金资助项目(2016M600182);天津市教委社会科学重大项目(2014ZD13)

摘　　要：研究了2010-04-16~2016-04-30期间,沪深300股指期货与沪深300指数日频度下的价格序列相关性和溢出关系.通过区分不同市场阶段下股指期货对现货的影响,从股指期货的价格发现能力以及期货与现货市场的波动溢出两个方面进行研究.研究结果表明,现货市场与期货市场存在双向影响关系,而现货市场的波动冲击对现货和期货市场的影响更为显著;同时,期货与现货市场的波动率主要被现货市场波动所解释,现货市场波动对期货市场存在溢出效应.在不同市场环境特征条件下,现货市场与期货市场仅在市场剧烈波动下跌阶段存在相互影响关系,此条件下,期货市场的波动对期现市场的波动解释能力以及冲击影响力要大于平稳波动时期.This research focuses on the correlation between the daily returns of CSI 300 futures and that of CSI 300 index, from April 16th, 2010 to April 30th, 2016. The sample is divided into four sub-samples with different market conditions, to explore the impact of stock index futures on price discovery, information transmission, and market efficiency. The result suggested a bi-directional lead-lag between the stock and futures market. The volatility in the stock market has more significant impacts, and stock market volatility has a spillover effect on futures market, which dominates the stock and futures markets volatility. In the sub-sample period, the bi-directional effect is only detected in the fast declining period, and the impact of volatility from futures market is greater in more volatile periods.

关 键 词：沪深300 股指期货 关联 波动溢出 

分 类 号：TP273[自动化与计算机技术—检测技术与自动化装置]