沪深300股指期货与指数现货引导关系研究

Research on the relationship between HS300 stock index futures and index market

通过采用平稳性检验(ADF)、误差修正模型(ECM)、脉冲响应函数分析和方差分解等金融计量学方法,对中国金融期货交易所上市交易的沪深300股指期货和A股指数之间的引导关系进行了实证研究.结果表明:沪深300股指期货与A股指数之间存在长期协整关系;从短期来看,股指期货市场对A股指数市场具有正向引导关系,并且这种引导作用有不断增强的趋势;期货价格对现货价格的发现处于主导地位,指数现货对指数期货引导作用较弱.

Using the financial econometrics methods of Augmented Dickey-Fuller test（ADF）,the error correction model（ECM）,the impulse response function analysis and variance decomposition,we empirically researched the relationship between HS300 stock index futures traded in the CFFE（China Financial Futures Exchanges） and the Shanghai and Shenzhen stock index.Studies show that there is long-term co-integration relationship between the HS300 stock index futures and the Shanghai and Shenzhen stock index;and in the short term,positive lead relationships exist between stock index futures market on the Shanghai and Shenzhen stock index market,and this influence has a growing trend;futures＇ prices dominate in the discovery of the spot price and index spot has a weaker lead on index futures.