CAJ | 학술논문

股指期货是以股价指数为标的物的标准化期货合约，其具备高杠杆性、投机性和交易策略复杂性的特征，其风险与收益的变化在对宏观经济产生复杂影响的同时，也必然受到宏观经济各环境因素的影响。本文通过构建向量自回归模型，然后建立平稳性检验、最优滞后长度检验与协积检验，可以使数据分析更加合理可靠，最终实现更好的衡量股指期货收益、为其指标体系的构建提供良好的示范。
고지기화시이고개지수위표적물적표준화기화합약，기구비고강간성、투궤성화교역책략복잡성적특정，기풍험여수익적변화재대굉관경제산생복잡영향적동시，야필연수도굉관경제각배경인소적영향。본문통과구건향량자회귀모형，연후건립평은성검험、최우체후장도검험여협적검험，가이사수거분석경가합리가고，최종실현경호적형량고지기화수익、위기지표체계적구건제공량호적시범。
Stock index futures are based on stock price index for the subject matter of the standardized futures contracts, which have highly leveraged, specula- tive trading strategy and the characteristics of complexity. The changes of the risks and benefits have an impact on the macro-economy, while at the same time, influenced by various environmental factors of macro- economy .In this pa- per, we will build a VAR model, and then create a smooth test, the optimal lag length of the test and co-product testing, so that data analysis can be more rea- sonable and reliable, and ultimately providing a good demonstration for a better measure of stock index futures returns and its index system.