中国股指期货影响因素的协整分析

Co-integration Analysis of the influential factor on the Futures Stock Index in China

根据中国金融期货交易所公布的数据,构建了协整分析模型。通过模型的求解、分析和检验,证明了影响我国股指期货的主要因素有:沪深300指数、多空主力持仓比和成交持仓比等。同时也得到了一些有益的结论:升贴水可以把握期指运行的方向;主力持仓比的变化能够掌握多空转换的拐点;成交持仓比的变化能够监控期指的市场风险。

According to the data of financial future exchange in China, the paper builds the Co-integration Analysis Model. After the solution-finding, analysis and test of the model, the dominantly influential factors are ： Hushen 300 index, holdings ratio between the main bull seller and bear seller , and ratio between the business volume and holding volume. Also some useful conclusions： in premium and agio can grasp the moving direction of the future stock index; ratio of change between the main bull and bear seller can grasp inflection point of bull seller and bear seller ; ratio of change between the business volume and holding volume can control market risk.