沪深300股指期货与沪深300股价指数互动关系研究20100603..docVIP

沪深300股指期货与 张学东1 刘运涛2 胡光敏3 1.北方民族大学金融研究所，银川市，宁夏，中国，750021 2.3.北方民族大学信息与计算科学学院，银川市，宁夏，中国，750021 1. E-mail: zhangxuedong@ 2. E-mail: luiyuntao2211@163.com 3. E-mail: huguangmin2007@163.com 摘要： 2010年4月16日，中国金融期货交易所推出了以沪深300股指为标的的股指期货交易，这是中国市场迈对发育和完善资本市场体系具有重要而深远的意义。股指期货能否发挥价格发现功能。本文2010年4月16日5月21日合约结算日的高频数据为样本关键词：沪深300股指；股指期货；Interaction Relationship between Hu-Shen 300 Stock Index and Hu-Shen 300 Stock Index Future ZHANG Xuedong1, LIU Yuntao 2, HU Guangmin 3 1. Institute of Finance, BeiFang University for Nationalities, Yinchuan, NingXia, 750021, CHINA 2.3. School of Information and Computation Science, BeiFang University for Nationalities, Yinchuan, NingXia, 750021, CHINA 1. E-mail: zhangxuedong@ 2. E-mail: luiyuntao2211@163.com 3. E-mail: huguangmin2007@163.com Abstract: on April 16, 2010, the exchange of the stock index futures, arising in the Chinese security market. And the Chinese government has been enacting the first stock index futures, based on Hu-Shen300 index, which is a big step in Chinese financial market. “Price Discovery” is one of the main functions of the Stock Index Futures. It is essential to analyze this function. Using the financial time series analysis method, we analyze the interactive relationships between the Hu-Shen300 index and Hu-Shen300 index futures, respectively from the sequence of yield and volatility sequence. The co-integration relationship between the Hu-Shen300 index and Hu-Shen300 index futures means a long-term equilibrium. The result of Granger causality test shows that the futures market leading the spot market. Meanwhile, the error correction model, impulse response function and Hasbrouck variance decomposition further been used to check the relationship between the two markets. Keywords: Hu-Shen 300 Stock Index, Stock Index Futures; Co-integration test; Granger causality test, Error correction model 沪深300股指期货一、引言 中国股票市场发展多年，在促进中国的经济发展方面发挥了不可估量的作用。然而伴随着股市的日益发展成熟，市场内部矛盾也日益突出。股指期货作为一种避险工具，对中国股市尤为重要。自2001年以来中国股票市场时常