CAJ | 학술논문

利用传统线性 Granger 因果检验以及最近发展的非线性 Granger 因果非参数 Tn 检验法，对股指期货和现货的互动关系展开研究。结果表明，从研究的整个阶段来看，股指现货和期货之间存在线性和非线性的 Granger 因果关系；在期货上市之初，股指期货与现货互为线性 Granger 因果关系，且只存在期货对现货的非线性 Granger 因果关系；在随后的几个不同阶段内，期货对现货的线性和非线性关系仍然显著，而现货对期货的线性和非线性 Granger 作用逐渐减弱。说明随着市场运行的不断深入，无论从线性还是非线性角度，期货对价格发现起主导作用。进一步发现，若存在股指现货对期货的 Granger 因果关系，现货对期货的线性作用更明显。
이용전통선성 Granger 인과검험이급최근발전적비선성 Granger 인과비삼수 Tn 검험법，대고지기화화현화적호동관계전개연구。결과표명，종연구적정개계단래간，고지현화화기화지간존재선성화비선성적 Granger 인과관계；재기화상시지초，고지기화여현화호위선성 Granger 인과관계，차지존재기화대현화적비선성 Granger 인과관계；재수후적궤개불동계단내，기화대현화적선성화비선성관계잉연현저，이현화대기화적선성화비선성 Granger 작용축점감약。설명수착시장운행적불단심입，무론종선성환시비선성각도，기화대개격발현기주도작용。진일보발현，약존재고지현화대기화적 Granger 인과관계，현화대기화적선성작용경명현。
By the traditional linear Granger causality test and the nonlinear Granger causality developed by non -parametric test method,the interaction between stock index futures and spot under different periods is studied.The results show that there are linear and nonlinear Granger causality in the entire period of the study.At the beginning period when futures are listed on the stock market,there exists double -way linear Granger causality between stock index futures and spot,and futures show one -way nonlinear Granger causality on spot.In the next different sta-ges,the linear and nonlinear Granger relationship between futures and spot is still significant,but the linear and nonlinear Granger effects of spot on futures are gradually weakened.It shows,as the market continues to deepen, futures play the leading role of price discovery both from linear and nonlinear perspectives.Furthermore,if there is the Granger causality of spot on futures,the linear Granger relationship will be more obvious.