套期保值限制下，沪深300股指期货与现货互动关系研究

发布时间：2018-05-07 09:03

本文选题：领先滞后关系 + 协整检验　；参考：《华中科技大学》2013年硕士论文

【摘要】：股指期货与现货具有非常紧密的联系，探讨股指期货和现货在时间上的领先-滞后关系及波动的相关性具有非常重大的意义。沪深300股指期货是我国目前唯一的股指期货，但根据中国金融期货交易所的规定，机构投资者在股指期货市场上被限定为只能进行套期保值交易，本文就是在此背景之下采用实证分析的方法研究了沪深300股指期货和沪深300指数在时间上和价格波动上的互动关系。文中的数据选用了2013年2月4日至2013年3月25日期间沪深300股指期货和现货的15分钟收盘价。文章采用了以下技术思路：首先，通过平稳性检验、Johansen协整检验确定两者之间长期和短期内均衡的关系，然后，建立VAR模型和向量误差修正模型，并根据Granger因果检验探讨沪深300股指期货和股指现货之间的领先-滞后关系，最后，利用脉冲响应及方差分解的方法观察沪深300股指期货和现货在波动上的相关性。研究结果表明，在长期内，沪深300股指期货和沪深300指数之间是均衡的，且互为Granger因果关系，但在短期内，两者都是非平稳的，股指期货领先于股指现货。研究进一步表明，股指期货市场对信息的反应更为迅速，具有更好的信息效率。虽然两者的波动和走势主要由自身决定，，但是期货对现货市场的影响大于现货对期货的影响。
[Abstract]:Stock index futures have a very close relationship with spot. It is of great significance to discuss the leading-lag relationship and fluctuation correlation between stock index futures and spot in time. Shanghai and Shenzhen 300 stock index futures are the only stock index futures in China at present. However, according to the regulations of the China Financial Futures Exchange, institutional investors are restricted to hedging transactions in the stock index futures market. Under this background, this paper studies the interaction between CSI 300 stock index futures and CSI 300 index in time and price fluctuation by using the method of empirical analysis. The data selected from February 4 2013 to March 25 2013 CSI 300 stock index futures and spot closing price 15 minutes. In this paper, the following technical ideas are adopted: firstly, the equilibrium relationship between the two is determined by the Johansen cointegration test, and then the VAR model and the vector error correction model are established. Based on the Granger causality test, the leading-lag relationship between Shanghai and Shenzhen 300 stock index futures and stock index spot is discussed. Finally, the correlation between Shanghai and Shenzhen 300 stock index futures and spot is observed by the method of impulse response and variance decomposition. The results show that in the long run, the Shanghai and Shenzhen 300 stock index futures and the Shanghai and Shenzhen 300 index are balanced, and each other is Granger causality, but in the short term, both of them are non-stable, and stock index futures are ahead of the spot stock index. The research further shows that the stock index futures market responds to information more quickly and has better information efficiency. Although the volatility and trend of both are mainly determined by themselves, the impact of futures on the spot market is greater than the impact of spot on futures.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5

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