股指期货仿真交易与现货相互引导关系

发布时间：2019-05-27 05:23

【摘要】：以沪深300股指期货仿真交易数据及沪深300指数为研究样本,在结合定性分析的同时,运用E-G协整检验、G ranger因果分析法对两个市场之间的长期均衡关系进行了研究,并通过使用向量自回归(VAR)模型、向量误差修正(VEC)模型、脉冲响应分析和方差分解等方法,进一步对变量间的相互引导关系进行了分析。结果表明仿真交易合约与HS300指数之间互为因果引导关系,且期货市场调整到均衡状态的速度要远快于现货市场。同时研究也发现,股指期货虽然在一定程度上对现货市场产生了一定的影响,在定价中也发挥了一定的作用,但是在价格发现方面总体来说受到现货市场的影响还是占相对主导地位,即我国仿真交易中的股指期货还没有达到成熟期货市场的价格发现水平。
[Abstract]:Taking the simulation trading data of Shanghai and Shenzhen 300 stock index futures and the Shanghai and Shenzhen 300 index as research samples, combined with qualitative analysis, the long-term equilibrium relationship between the two markets is studied by using E / G cointegration test, G ranger causality analysis method. By using vector autoregression (VAR) model, vector error correction (VEC) model, impulse response analysis and variance decomposition, the mutual guiding relationship between variables is further analyzed. The results show that there is a causality between the simulated trading contract and the HS300 index, and the futures market adjusts to the equilibrium state much faster than the spot market. At the same time, the study also found that although stock index futures have had a certain impact on the spot market to a certain extent, they have also played a certain role in pricing. However, in terms of price discovery, the stock index futures in China's simulation trading have not yet reached the price discovery level of mature futures market, which is affected by the spot market as a whole, that is, the stock index futures in simulation trading in China have not yet reached the price discovery level of the mature futures market.
【作者单位】：长沙理工大学经济与管理学院;湖南工业大学;
【基金】：国家社科基金重大项目子课题(09ZDB1709ZDB18) 湖南省社科基金资助项目(08JD52) 湖南省企业战略管理与投资决策研究基地资助项目
【分类号】：F224;F832.51

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