沪深300股指期货、现货及恒生指数关联性研究

Research on Correlation between Shanghai and Shenzhen 300 Stock Index Futures and Spot and Hang Seng Index

选取2010年4月至2016年2月沪深300股指期货、现货价格和恒生指数共1 421组数据,运用格兰杰因果检验、VECM等方法分析了它们之间的相互影响。结果表明:沪深300股指期货对恒生指数的增长有较大的负面影响,沪深300指数的增长对恒生指数起到了正面引导的作用;沪深300股指期货、现货价格对恒生指数的脉冲响应均为正值,分别在第2期、第1期达到峰值;方差分解发现第2期以后沪深300指数的贡献度为65%左右,恒生指数贡献度为30%左右。

By selecting 1421 set data such as Shanghai and Shenzhen 300 Stock index futures during April, 2010-February, 2016, spot price, Hang Seng Index, by using the methods such as Granger causality test, VECM and so on, their interactive influence is analyzed. The results show that Shanghai and Shenzhen 300 stock index futures has bigger negative impact on the growth of Hang Seng index, that the growth of Shanghai and Shenzhen 300 index plays positive guiding role in Hang Seng index, that the impulsive responses of Shanghai and Shenzhen 300 stock index futures and the spot price to Hang Seng index are all positive and reach the peak in the first stage and the second stage respectively. Variance decomposition finds that the contribution of Shanghai and Shenzhen 300 index is 65% while the contribution of Hang Seng index is 30% approximately after the second stage.