股指期货与现货市场价格的互动、引导关系研究——基于沪深300股指期货的实证分析被引量：32

Interactive and Lead Relation Research between Stock Index Futures and Spot Markets in China——An Empirical Analysis Based on CSI 300.

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摘要股指期货功能的发挥建立在股指期货与现货市场价格形成有效互动、引导关系的基础之上。本文通过相关性检验和基差序列单位根检验得出沪深300股指期货与现货市场实现了有效互动;通过Granger因果关系检验、协整检验、向量误差修正模型和方差分解结果发现,前一期现货价格引导期货价格,而股指期货价格在价格发现中贡献度较低,在偏离均衡的动态调整过程中对现货价格的引导作用不明显,其价格发现功能未得到充分发挥。最后,根据所得结论给出提高我国股指期货市场信息效率的建议。

作者陈焱李萍刘涛

机构地区对外经济贸易大学西南财经大学广州证券有限责任公司投资银行总部

出处《中央财经大学学报》 CSSCI 北大核心 2013年第2期25-30,共6页 Journal of Central University of Finance & Economics

关键词股指期货股指现货互动关系引导关系

分类号 F830.91 [经济管理—金融学]

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参考文献12

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