我国股指期货与现货市场的已实现波动关系研究——基于非参数T_n非线性Granger因果关系检验

Relationship Between Stock Index Futures and Spot Market in China Based on Non-Parametric T_n Nonlinear Granger Causality Test

沪深300股指期货与股票现货之间的波动关系近年来受到学者的广泛关注。首先使用5 min高频数据计算了沪深300股指期货与股票指数的已实现波动率序列,发现二者之间高度相关,之后以两个实现波动序列为研究对象,运用线性和非线性Granger因果关系检验方法,对二者之间的线性及非线性波动关系进行实证研究。结果表明:我国股票现货的波动会显著引起股票期货的波动,而股票期货的波动不会对股票现货的波动造成显著影响。

The volatility linkages between the CSI 300 stock index and stock index futures is widely concerned by scholars. We firstly use the five minutes high frequency data of CSI 300 stock index and stock index futures to estimate the respective daily realized volatility（ RV）,while the two variables are highly correlated. Based on the linear and nonlinear Granger causality relationship test,we find that there exists linear and nonlinear Granger causality from the RV of CSI 300 stock index to the RV of stock index futures,but the RV of stock index futures does not cause the RV of CSI 300 stock index.