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以沪深300股指期货仿真交易数据及沪深300指数为研究样本,在结合定性分析的同时,运用E-G协整检验、G ranger因果分析法对两个市场之间的长期均衡关系进行了研究,并通过使用向量自回归(VAR)模型、向量误差修正(VEC)模型、脉冲响应分析和方差分解等方法,进一步对变量间的相互引导关系进行了分析。结果表明仿真交易合约与HS300指数之间互为因果引导关系,且期货市场调整到均衡状态的速度要远快于现货市场。同时研究也发现,股指期货虽然在一定程度上对现货市场产生了一定的影响,在定价中也发挥了一定的作用,但是在价格发现方面总体来说受到现货市场的影响还是占相对主导地位,即我国仿真交易中的股指期货还没有达到成熟期货市场的价格发现水平。
Taking the Shanghai-Shenzhen 300 Stock Index Futures Simulation Trading Data and the CSI 300 Index as the research samples, this paper studies the long-term equilibrium relationship between the two markets by using EG Cointegration Test and Granger Causality Analysis, The relationship between variables was further analyzed by using vector auto regression (VAR) model, vector error correction (VEC) model, impulse response analysis and variance decomposition. The result shows that there is a causal relationship between the simulated trading contract and the HS300 index, and the futures market is adjusted to an equilibrium state much faster than the spot market. At the same time, the study also found that although stock index futures have a certain impact on the spot market to a certain extent, it also plays a certain role in the pricing. However, the impact of the spot market on price discovery is relatively dominant. That is, China’s stock index futures trading simulation has not yet reached the mature futures market price discovery.