沪深300股指与股指期货相关性研究——基于GARCH模型的实证分析

Correlation between Shanghai and Shenzhen 300 stock index and stock index futures——an empirical analysis based on GARCH model

运用协整检验、GARCH模型以及EGARCH模型对我国沪深300股指期货与现货之间的联动性进行了实证分析。选取的样本包括沪深300现货指数和沪深300股指期货中一个相对具有代表性的期货合约品种IF1403。研究表明,IF1403股票价格指数中存在杠杆效应,且其股票价格指数"利好消息"比"利空消息"产生的波动更大。股指期货上市交易降低了指数的波动性但降低幅度不是很大且股指期货市场比现货市场对新信息的反映更加迅速,两者之间具有较强的风险相关性。

Cointegration test,GARCH model and EGARCH model were used to make empirical analysis of the linkage between China＇s Shanghai and Shenzhen 300 stock index futures and spot.A relatively representative futures contract IF1403 in Shanghai and Shenzhen 300 stock index futures was chosen as samples.Findings show that there exists the leverage effect in IF1403 stock closing price index,and its stock price index＇s ＂good news＂ waves more than its ＂bad news＂.Stock index futures traded lowers volatility index but the decrease is not large and the stock index futures market reflects new information more quickly than the spot market,with a strong risk correlation between the two.