股指期货与现货指数超前滞后关系研究

Study of Lead- Lag Relationship Between Spot and Futures Stock Markets

采用沪深300股指期货和沪深300现货指数的高频数据,运用协整理论和向量自回归模型对股指期货和现货指数的关系进行探讨。研究发现:沪深300股指期货和现货指数之间存在长期稳定的均衡关系,期货价格在价格发现中尚且不能占据主导地位,价格发现能力较弱。

This paper uses CSI 300 index and CSI 300 futures＇ high -frequency data, adopts theory and vector error correction model to study the interaction between spot and futures stock suits show that there exists long -term equilibrium relationship between the two elements, doesn＇ t show it＇ s price discovery function. eointegration markets. Re- stock market