摘要
股指期货与现货的关系一直是一个研究热点。但是这些研究主要基于国外股指期货或沪深300股指期货仿真交易,而对正式推出后的沪深300股指期货的研究很匮乏。文章利用相关性分析和Granger因果检验分析了沪深300股指期货对现货之间的价格发现功能,利用GARCH类模型分析了沪深300股指期货推出对现货波动性的影响。结论显示,沪深300股指期货与现货之间有着很强的相关性,但不构成相互决定关系;沪深300股指期货的推出降低了现货的波动性;同时,该股指期货的推出使现货收益的非对称性显著增强。上述结论与目前已有的对仿真交易沪深300股指期货的研究结论存在着一些不一致。
The relationship of the spot and future in stock index has been a hot topic in research. In this paper, correlation analysis and Granger causality test were used to analysis the relationship of spot and future in CSI 300 Index, and GARCH models were used to analysis the volatility of CSI 300 Index spot with the effect of CSI 300 Index future. The result was that the correlation of spot and future in CSI 300 Index was very strong, but it did not constitute a relationship of deciding each other. In addition, the volatility of CSI 300 Index spot was lower with the carrying out of CSI 300 Index future; however, the non-symmetry of CSI 300 Index spot was significantly stronger. Some of the results above were different from the results of the researches to CSI 300 Index future during simulation trading period.
出处
《价值工程》
2011年第33期126-128,共3页
Value Engineering
