沪深300股指期货与富时中国A50指数期货联动性研究

Research on the linkage between CSI 300 Stock Index Futures and FTSE China A50 Index Futures

股指期货作为股票市场重要的金融衍生工具之一,在当代金融市场中发挥着关键的作用。而反映中国股票市场的股指期货主要有沪深300股指期货和富时中国A50指数期货。本文探究在中国监管层对股指期货政策调整背景下沪深300股指期货和富时中国A50指数期货价格走势。研究结果发现:当股指期货政策收紧后,富时中国A50指数期货收益率对沪深300股指期货收益率的预测作用大幅增强;当股指期货政策放松后,富时中国A50指数期货收益率对沪深300股指期货收益率的预测作用小幅下降;当股指期货政策恢复正常后,富时中国A50指数期货收益率对沪深300股指期货收益率的预测作用小幅增强。在三个阶段股指期货政策变动后,沪深300股指期货收益率的波动性受前一日随机扰动项的影响均有下降趋势。

Stock index futures are one of the pivotal financial derivatives in the stock market and play an important role in financial market.The stock index futures reflecting C hina’s stock market include CSI 300 stock index futures and FTSE C hina A50 index futures. This paper explores the price trend of CSI 300 stock index futures and FTSE China A50 index futures under the background of China’s regulatory policy adjustments on stock index futures. The research shows that the prediction effect of FTSE China’s A50 index futures earning rate on the CSI 300 stock index futures earning rate is greatly enhanced when the stock index futures policy is tightened;when the stock index futures policy is loosened,the prediction effect of FTSE China’s A50 index futures earning rate on the CSI 300 stock index futures earning rate is slightly decreased;when the stock index futures policy is normal,the prediction effect of FTSE China’s A50 index futures earning rate on the CSI 300 stock index futures earning rate is slightly enhanced.After the different changes of stock index futures policy in the three periods, the volatility of C SI 300 stock index futures which is affected by the stochastic disturbance of the previous day has a downward trend. Finally, this paper puts forward some suggestions related C hina’s stock index futures.