沪深300股指期货与现货市场的价格关系研究

通过采用平稳性检验、构建误差修正模型、运用脉冲响应分析和方差分解方法,对已上市交易的沪深300股指期货和现货指数之间的引导关系进行了实证研究,结果表明：从长期来看,沪深300股指期货价格与指数现货价格之间存在稳定的协整均衡关系,且期货市场对长期均衡偏离的调整力度更迅速;从短期来看,股指期货市场和指数现货市场的价格之间存在正向的相互引导关系,股指期货市场对于一个标准差冲击的反应相较于指数现货市场更为强烈;从价格发现的方面来看,沪深300指数期货市场与指数现货市场之间存在双向价格发现的关系,但现货市场对期货市场的引导作用较高.

Price Between HS300 Stock Index Futures Market and Index Market

Through using the methods of Augmented DickeyFuller test, error correction model , the im pulse response function and variance decomposition ,the volatility between HS300 stock index futures mar ket and index market is researched. Results show that there is longterm cointegration relationship be tween HS300 stock index futures market and index market, the futures can adjust the deviation of long term equilibrium more rapidly; In the short term, mutual positive lead relationships exist between the fu tures market and index market , and the response of futures market to Cholesky one S. D Innovations is stronger than index market; From the point of price discovery , the bidirectional price discovery relation ship exist between the futures market and index market, but the index spot has a stronger lead on futures.