中国股指期货模拟交易价格和现货价格相关性研究.pdfVIP

摘 要 我国自从2006年开始进行沪深300股指期货仿真交易，至今已有将近3年 的时间。最近的政策显示，中国即将正式推出沪深300股指期货。在此背景下， 研究沪深 300 指数的合理性，以及沪深 300 股指期货的合约设计特点，具有重 要的现实意义。 本文主要研究股指期货与现货指数的相关性，分别以中国金融期货交易所 推出的IF0906和中证指数有限公司推出的沪深300指数为标的。利用Granger 因果检验和协整理论实证分析股指期货和现货指数价格的相互引导关系，并用 脉冲响应函数度量相互影响的大小。 本文通过实证发现：对于5%的置信度，沪深300指数是沪深300期货的因； 在10%的置信度下，沪深300指数和期货互为因果。在期货与现货的价格引导关 系中，我们得到的是现货价格引导期货价格，但期货价格对现货价格的引导关 系却不明显。这说明对于新的信息，现货市场比期货市场反映的更快，期货市 场并没有起到价格发现的作用。在利用 Granger 因果检验和协整分析期货、现 货价格发现作用的基础上，我们使用脉冲响应函数测量了期货、现货之间影响 关系的大小。 关键词：沪深300指数，股指期货，Granger因果检验 1 Abstract It has been almost three years since the simulation Hu-Shen 300 stock index future had been traded in CFFEX since 2006. The recent policy shows that the Chinese government is striving to enact the Hu-Shen 300 stock index future immediately. So, the research on the HuShen300 index and the relative stock index futures is significant. The paper focuses on the correlation between the stock index future and its spot. Stock index future IF0906 introduced by CFFEX and Hu-Shen 300 stock index launched by China Securities Index Co., Ltd. are selected respectively. We used the Granger causality test and Co-integration test to demonstrate the advanced-lagged relationship between share index futures and their spots; the impulse response function was also used to measure the relationship. Based on setting up a vector auto regression model, the article adopted Granger causality test to judge whether there is a real causality between the futures and spots. The results indicate that at the significance level of 5%, the Hu-Shen 300 stock index was the G