摘要
我国股指期货市场作为新兴资本市场,其与现货市场的联动关系备受学术界关注。基于协整检验、误差修正模型与脉冲响应函数,文章从长期和短期两个方面实证分析了沪深300股指期货与现货市场之间的联动效应。通过协整检验发现,二者在长期内具有稳定均衡的联动关系;格兰杰因果检验表明,短期内,沪深300股指期货与现货之间的价格引导关系不显著,但是脉冲响应结果显示,与现货市场相比,沪深300股指期货可以作为整个系统中价格变动的领先指标,它对于冲击的反应速度较快,持久性较强。
The index future market,as a new emerging market in China catches much attention from the academic circle.Based on cointegration test,Error Correction Model and Impulse Response Function,the article investigates the linkage effect between the HS300 stock index future market and the pot market for a short and long term.Through cointegration test we find that,they have stable equilibrium relationship in the long run.The result of Granger Causality Test shows that the short-term price-guided relationship between HS300 index future and HS300 index is not obvious,but the impulse response function proves HS300 index future can be the leading indicator of price volatility compared with spot market.Index future will react more quickly and last longer in response of impacts.
出处
《山东财政学院学报》
2012年第5期38-44,共7页
Journal of Shandong Finance Institute
基金
国家社科基金项目"企业金融衍生业务风险的测度与管控研究"(10BGL054)
关键词
股指期货
联动效应
协整
stock index future
linkage effect
co-integration
