东北大学学报：社会科学版
東北大學學報：社會科學版
동북대학학보：사회과학판
Journal of Northeastern University(Social Science)
2014年
2期
146~151
,共null页
期现套利 正反馈 负反馈 非对称波动
期現套利 正反饋 負反饋 非對稱波動
기현투리 정반궤 부반궤 비대칭파동
arbitrage; positive feedback; negative feedback; asymmetric volatility
借助VEC模型和EGARCH模型对沪深300指数期货市场与现货市场之间期现套利的联动效应进行了计量检验。研究结果表明：期现套利中卖出期货合约的交易导致了期货价格的下降，但由于现货市场显著的自相关性，买入有限规模现货资产的交易并未带动现货价格的上升，这意味着期货市场与现货市场之间基差的收敛并不是因为两个市场之间形成了此消彼长的负反馈联动效应，而是由于期货价格对信息反应更灵敏因而比现货价格下降得更快。因此，在沪深300指数现货市场的非对称波动中，期现套利起到的是助推而非缓冲作用。
藉助VEC模型和EGARCH模型對滬深300指數期貨市場與現貨市場之間期現套利的聯動效應進行瞭計量檢驗。研究結果錶明：期現套利中賣齣期貨閤約的交易導緻瞭期貨價格的下降，但由于現貨市場顯著的自相關性，買入有限規模現貨資產的交易併未帶動現貨價格的上升，這意味著期貨市場與現貨市場之間基差的收斂併不是因為兩箇市場之間形成瞭此消彼長的負反饋聯動效應，而是由于期貨價格對信息反應更靈敏因而比現貨價格下降得更快。因此，在滬深300指數現貨市場的非對稱波動中，期現套利起到的是助推而非緩遲作用。
차조VEC모형화EGARCH모형대호심300지수기화시장여현화시장지간기현투리적련동효응진행료계량검험。연구결과표명：기현투리중매출기화합약적교역도치료기화개격적하강，단유우현화시장현저적자상관성，매입유한규모현화자산적교역병미대동현화개격적상승，저의미착기화시장여현화시장지간기차적수렴병불시인위량개시장지간형성료차소피장적부반궤련동효응，이시유우기화개격대신식반응경령민인이비현화개격하강득경쾌。인차，재호심300지수현화시장적비대칭파동중，기현투리기도적시조추이비완충작용。
With the VEC model and EGARCH model, an econometrical test was taken on the interactive effects of arbitrage between HS 300 index futures market and its spot market. The results showed that the selling of futures contracts in arbitrage trading led to a decline in futures＇ prices, but its spot prices were not driven by the buying of spot contracts due to the limited transactions, which meant the convergence of basis between HS 300 index futures market and its spot market was not caused by the negative feedback effects between them but by the futures price responding faster to information than the spot price. Thus, it can be concluded that the arbitrage between HS 300 index futures market and its spot market played a boosting role rather than a buffering role in the asymmetric volatility of the spot market.
