财经理论与实践
財經理論與實踐
재경이론여실천
The Theory and Practice of Finance and Economics
2014年
2期
56~60
,共null页
股指期货 助涨助跌效应 联动性
股指期貨 助漲助跌效應 聯動性
고지기화 조창조질효응 련동성
Stock-Index Futures; Effect on Stock Price Change; Relationality
利用E—G两部法协整检验、向量误差修正模型、VAR模型、Granger因果性检验及脉冲响应和方差分解全面剖析了股指期货与现货市场之间的联动性。实证研究结果表明股指期货和股票指数之间存在长期的均衡关系，股票指数短期的过度偏离会导致长期非均衡误差的弱势修正，当市场受到确定性信息冲击时，股票期货市场对股票现货市场具有助涨助跌作用；当市场受到不确定信息冲击时，股票现货市场对股票期货市场具有助涨助跌作用。
利用E—G兩部法協整檢驗、嚮量誤差脩正模型、VAR模型、Granger因果性檢驗及脈遲響應和方差分解全麵剖析瞭股指期貨與現貨市場之間的聯動性。實證研究結果錶明股指期貨和股票指數之間存在長期的均衡關繫，股票指數短期的過度偏離會導緻長期非均衡誤差的弱勢脩正，噹市場受到確定性信息遲擊時，股票期貨市場對股票現貨市場具有助漲助跌作用；噹市場受到不確定信息遲擊時，股票現貨市場對股票期貨市場具有助漲助跌作用。
이용E—G량부법협정검험、향량오차수정모형、VAR모형、Granger인과성검험급맥충향응화방차분해전면부석료고지기화여현화시장지간적련동성。실증연구결과표명고지기화화고표지수지간존재장기적균형관계，고표지수단기적과도편리회도치장기비균형오차적약세수정，당시장수도학정성신식충격시，고표기화시장대고표현화시장구유조창조질작용；당시장수도불학정신식충격시，고표현화시장대고표기화시장구유조창조질작용。
This paper systematically analyzes the interaction between Chinese stock market and its futures market using E-G cointegration test of two-step, VECM, VAR model, Granger causality test, Impusle function and Variance decomposition. The empirical evidence reveals that there is a long-term equilibrium between the stock index futures and the spot stock index, and that the excessively short-term fluctuation of the stock index can lead to weak correction by the long-term no-equilibrium error, and that the index of the stock market can lead the index of the index futures of the stock market when the market is impacted by certainty information; and the index of the index futures of the stock market can lead the index of the stock market when the market is impacted by uncertainty information.
