基于小波分析方法的股指期货和现货市场关系研究

Relationship Between Stock Index Future and Spot Market Based on Wavelet Analysis

基于小波分析方法,利用5min高频数据研究了沪深300指数和沪深300股指期货的关系.通过小波分解方法将两市场收益率序列作信号分解,研究发现,在各尺度下股指期货市场的波动性都大于股票市场的波动性,同时随着尺度的增加,两市场的小波相关系数增加,即联动性增加.各尺度的格兰杰因果检验表明,期货市场与股票市场之间存在波动溢出效应,但溢出效应是单向的,即只存在期货市场向股票市场的溢出效应.

Based on wavelet analysis, the relationship between the CSI 300 index and the stock index future was investigated by using 5 minutes high frequency data. Through decomposing the return rate series of the two markets, it is found that the volatility of the stock index future market is greater than the volatility of the stock market in all the scales, and with the increase of the scale, the wavelet correlation coefficient of the two markets increases, that means, they change with a linkage character. The Granger causality test shows that there is volatility spillover effect between the two markets, but the spillover effect goes in one direction only, that is, there only exists future market to stock market spillover effect.