“市场相依”的期现引导关系研究

Market-Dependent Casuality Between Futures and Spot

期货市场和现货市场之间的关系一直是学术界和监管部门十分重视的问题.本文将传统的格兰杰引导关系检验推广到分位数回归的情形,研究了不同分位点上的期货与现货之间的引导关系.由于在差分数据模型下,不同的分位点对应不同的市场环境,我们发现了"市场相依"的期现引导关系,从而能更全面、更深入地分析期货与现货的关系.本文的主要结论和观点是:1.股指期货与股票现货之间的相互关系除了与它们本身特质有关外,还与金融市场有较大的关联性;2.在正常、平稳的金融市场环境中,它们之间有相互引导关系;在特殊、极端的金融市场环境中,它们之间正常的引导关系会出现变异,而其它金融环境因素掩盖了它们之间的正常关系;3.在逻辑上,如果把期现货之间存在相互引导关系视为正常,那么,引导关系异常的出现,是金融市场异常的信号,为金融监管提供了预警参考依据.

The relationship between futures and spot is still an important issue in academic communitiesand supervisory departments. In this paper, the Granger Causality Test is extended into quantile regression and then the relationship between futures and spot is investigated at different quantile positions. Note that under the model with differential data, different quantile positions are related to the corresponding financial environments. Consequently, a market-dependent casuality between futures and spot is established, by which we can study the relationship more deeply and comprehensively. The main points of view obtained in this paper are what follows： 1. The relationship between futures and spot is strongly related to the financial environments, besides the features of futures and spot; 2. Under the normal and stable financial markets, there is casuality one another, but the relationship will be abnormal under extremal financial conditions, the common relationship between futures and spot is masked by other financial factors; 3. If the casuality was seen as a normal fact logically, then the abnormal relationship should indicate a bad or extremal financial environment, which provides supervisory departments with a warning signal.