股指期货与标的指数波动的关联性研究——来自沪深300指数的经验证据

On the Correlation Between the Stock Index Futures and the Fluctuations of the Underlying Index——the Shanghai-Shenzhen Csi 300 Index

沪深300指数期货上市对我国资本市场的建设具有重要意义。基于Johansen协整检验及稳定的VAR模型基础上的脉冲响应函数和方差分解,以沪深300指数期货上市以来的233组数据为研究样本,对沪深300指数期货与标的指数的波动相关性进行研究。研究发现:1)沪深300指数与标的指数具有协整关系;2)沪深300指数期货与现货价格波动传导具有不对称效应。这有利于投资者进行跨市套利,同时促进管理层完善期货市场微观结构。

The listing of the Shanghai-Shenzhen Csi 300 index futures is significant for the construction of capital market in China.Johansen co-integration test and the impulse response function and variance decomposition of a stable VAR model are used to analyze 233 sets of data collected after the listing of the Shanghai-Shenzhen Csi 300 index futures to examine the correlation between the stock index futures and the fluctuations of the underlying index. The result shows that 1） there exists a correlation between the Shanghai-Shenzhen Csi 300 index and underlying index; 2） an asymmetric effect exists between the Shanghai-Shenzhen Csi 300 index futures and the transmitted fluctuating spot price.These market behaviors benefit arbitrage and help the management to improve the microstructure of the futures market.