我国股指期货市场与股票现货市场的价格关系——来自中国资本市场的经验证据

The Empirical Research on the Price Lead-Lag Relationship between Stock Index Futures Market and Stock Index Spot Market:An Evidence of China Capital Market

本文基于沪深300股指期货自2010年4月推出以来的日收盘价数据,运用协整检验、格兰杰因果检验、脉冲响应函数等方法分析股指期货市场与现货市场价格的领先滞后关系,结果发现:沪深300股指期货和沪深300指数现货价格之间存在长期稳定的协整关系,股指期货的价格引导着现货的价格,股指期货与现货指数之间存在着单向的因果关系,脉冲响应的结果也印证了期货价格对现货价格具有更大的冲击效应的结论。这说明股指期货的上市加强了现货市场的信息传导机制,股指期货市场的推进和健康发展有利于优化我国的资本市场结构。

Based on the daily closing price data of the Shanghai and Shenzhen 300 stock index futures since its launch in April 2010,The article analyzes the lead-lag relationship between the stock index futures and spot prices by making use of Johansen cointegration test,Granger causality test,impulse response function and other methods,and finds that there is long-term stability of the cointegration relationship between the Shanghai and Shenzhen 300 stock index futures and the spot price of the CSI 300 Index,stock index futures price leads the spot price,and the stock index futures and spot index exist one-way causality.The result of impulse response also confirms the futures price have a greater impact on the spot price,indicating that the listing of the stock index futures strengthens the spot market information transmission mechanism.The promotion and development of stock index futures market in China is conductive to optimize capital market structure.