沪深300指数期货市场与现货市场联动效应分析

An Analysis of the Interactive Effects Between HS 300 Index Futures Market and Its Spot Market

借助VEC模型和EGARCH模型对沪深300指数期货市场与现货市场之间期现套利的联动效应进行了计量检验。研究结果表明:期现套利中卖出期货合约的交易导致了期货价格的下降,但由于现货市场显著的自相关性,买入有限规模现货资产的交易并未带动现货价格的上升,这意味着期货市场与现货市场之间基差的收敛并不是因为两个市场之间形成了此消彼长的负反馈联动效应,而是由于期货价格对信息反应更灵敏因而比现货价格下降得更快。因此,在沪深300指数现货市场的非对称波动中,期现套利起到的是助推而非缓冲作用。

With the VEC model and EGARCH model, an econometrical test was taken on the interactive effects of arbitrage between HS 300 index futures market and its spot market. The results showed that the selling of futures contracts in arbitrage trading led to a decline in futures＇ prices, but its spot prices were not driven by the buying of spot contracts due to the limited transactions, which meant the convergence of basis between HS 300 index futures market and its spot market was not caused by the negative feedback effects between them but by the futures price responding faster to information than the spot price. Thus, it can be concluded that the arbitrage between HS 300 index futures market and its spot market played a boosting role rather than a buffering role in the asymmetric volatility of the spot market.