中国股指期货“助涨助跌效应”实证研究

An Empirical Study on Effect of Stock-Index Futures on Stock Price Change in China

利用E-G两部法协整检验、向量误差修正模型、VAR模型、Granger因果性检验及脉冲响应和方差分解全面剖析了股指期货与现货市场之间的联动性。实证研究结果表明股指期货和股票指数之间存在长期的均衡关系,股票指数短期的过度偏离会导致长期非均衡误差的弱势修正,当市场受到确定性信息冲击时,股票期货市场对股票现货市场具有助涨助跌作用;当市场受到不确定信息冲击时,股票现货市场对股票期货市场具有助涨助跌作用。

This paper systematically analyzes the interaction between Chinese stock market and its futures market using E-G cointegration test of two-step, VECM, VAR model, Granger causality test, Impusle function and Variance decomposition. The empirical evidence reveals that there is a long-term equilibrium between the stock index futures and the spot stock index, and that the excessively short-term fluctuation of the stock index can lead to weak correction by the long-term no-equilibrium error, and that the index of the stock market can lead the index of the index futures of the stock market when the market is impacted by certainty information; and the index of the index futures of the stock market can lead the index of the stock market when the market is impacted by uncertainty information.