沪深300股指期货市场和现货市场信息传播实证研究

Empirical Study on Information Dissemination Between CSI 300 Index Futures Market and Spot Market

选取沪深300股指期货和现货价格的1min的高频价格数据为样本数据,利用MATLAB进行ADF检验和协整检验,建立VECM模型和脉冲响应函数,分析沪深300股指期货和现货市场之间的信息传播情况。结果表明,两市场间具有长期均衡关系,股指期货的价格引导能力比现货市场强并领先4min,而现货市场引导能力比期货市场较弱只领先1min。期货市场对新信息反应速度要快于现货市场,且冲击反应相对持久。

To examine the dissemination of information between the CSI 300 Index Futures and the spot market, choosing the every minute＇s high frequency data of the two markets as sample,the ADF test and cointegration test was conducted by using MATLAB, and VECM model and impulse response function were developed. Results show that there is cointegration relationship between the two markets. The price discovery ability from stock index futures to stock index is comparatively stronger. The index futures prices take lead 4 minutes ahead of the CSI 300 index. However, the CSI 300 index prices take lead 1 mi- nute ahead of the index futures prices. The response speed of the stock index to the stock index futures is quicker and the response times is comparatively permanent.