基于VAR模型的股指期货与现货价格联动关系研究

发布时间：2018-01-12 12:42

本文关键词：基于VAR模型的股指期货与现货价格联动关系研究　出处：《上海金融》2017年11期 　论文类型：期刊论文

更多相关文章： 股指期货 期现关系 ETF VAR模型

【摘要】：期现联动关系是理论界和实务界关注和研究的焦点问题之一。本文将股指期货、现货指数与指数ETF视为紧密联动的期现货系统,分别运用日度数据和日内数据对期现货价格收益率建立VAR模型,并采用方差分解法分析期现货价格变动之间的相互影响。研究结果表明:不论从日内还是日间看,指数现货与股指期货价格变动均主要是由自身市场决定的。在日内,股指期货对指数价格的影响程度略高于指数对股指期货的影响。而从日间看,指数对股指期货的影响更强。ETF作为高效、便捷的现货替代,在日内对股指期货价格变动的影响超过指数对股指期货的影响;而作为指数跟踪基金,不论在日内还是日间,其与指数的关联性更强。异常波动时期,由于反向套利受到限制,期货价格下跌无法传导至现货,股指期货与指数的联动性明显减弱,指数价格运行的独立性增强。股指期货交易受限,与ETF的日内联动受到较大限制,而对指数日内运行的影响微弱。从长期来看,股指期货在系统中的作用是逐渐减弱的,而指数对期现货的影响是逐渐增强的,在期现系统中居于主导地位。
[Abstract]:The relationship between current and future is one of the focus issues in theory and practice. In this paper, stock index futures, spot index and ETF are regarded as closely linked spot system. The VAR model is established by using daily data and intraday data respectively to the spot price return rate of the period. And the variance decomposition method is used to analyze the interaction between spot price changes in the period. The results show that: whether from the intra-day or inter-day point of view. Index spot and stock index futures prices are mainly determined by their own markets. In the day, the impact of index futures on index prices is slightly higher than the impact of index futures. The influence of index on stock index futures is stronger. ETF, as an efficient and convenient spot substitution, has more influence on stock index futures price change than index on stock index futures. As an index tracking fund, whether intraday or inter-day, it is more relevant to the index. During the abnormal volatility period, because of the restriction of reverse arbitrage, the futures price fall could not be transmitted to spot. The linkage between stock index futures and index is obviously weakened, and the independence of index price operation is strengthened. The trading of stock index futures is restricted, and the intra-day interaction with ETF is greatly restricted. In the long run, the function of the stock index futures in the system is gradually weakened, while the influence of the index on the spot is gradually strengthened, which occupies the dominant position in the current futures system.
【作者单位】：复旦大学经济学院;中国金融期货交易所;
【基金】：第60批中国博士后科学基金面上资助项目(2016M601475)
【分类号】：F724.5
【正文快照】： 一、研究背景伴随我国资本市场的快速发展,投资者对风险管理的需求日益强烈。股指期货作为一种在国际市场上发展成熟的对冲系统性风险的衍生品,正能适应我国发展金融衍生品市场,完善股票市场体制的需要。经过一系列严密的筹备和论证,我国第一支股指期货产品———沪深300股

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