经济问题
經濟問題
경제문제
On Economic Problems
2015年
2期
69~71
,共null页
沪深300指数 股指期货 超前滞后
滬深300指數 股指期貨 超前滯後
호심300지수 고지기화 초전체후
HS300 index ; share index futures ; lead - lag
利用Granger因果检验和向量自回归协整模型对股指期货与现货指数之间的超前滞后关系进行研究,运用向量自回归协整模型（VAR）画出脉冲图,通过协整分析和脉冲响应分析确定了超前滞后时间。研究结果表明：沪深300股指期货对现货指数具有4~5分钟左右的超前现象;而沪深300现货指数对股指期货不具有超前效应。研究进一步证实了沪深300股指期货的价格发现功能,为机构投资者预测现货市场走势、套期保值和规避风险提供了重要的参考依据,对于进一步促进我国资本市场的发展完善具有现实意义。
利用Granger因果檢驗和嚮量自迴歸協整模型對股指期貨與現貨指數之間的超前滯後關繫進行研究,運用嚮量自迴歸協整模型（VAR）畫齣脈遲圖,通過協整分析和脈遲響應分析確定瞭超前滯後時間。研究結果錶明：滬深300股指期貨對現貨指數具有4~5分鐘左右的超前現象;而滬深300現貨指數對股指期貨不具有超前效應。研究進一步證實瞭滬深300股指期貨的價格髮現功能,為機構投資者預測現貨市場走勢、套期保值和規避風險提供瞭重要的參攷依據,對于進一步促進我國資本市場的髮展完善具有現實意義。
이용Granger인과검험화향량자회귀협정모형대고지기화여현화지수지간적초전체후관계진행연구,운용향량자회귀협정모형（VAR）화출맥충도,통과협정분석화맥충향응분석학정료초전체후시간。연구결과표명：호심300고지기화대현화지수구유4~5분종좌우적초전현상;이호심300현화지수대고지기화불구유초전효응。연구진일보증실료호심300고지기화적개격발현공능,위궤구투자자예측현화시장주세、투기보치화규피풍험제공료중요적삼고의거,대우진일보촉진아국자본시장적발전완선구유현실의의。
This paper makes a study of the lead - lag relationship between share index futures and spots by u- sing Granger Causality Tests. Firstly, it verifies the stability of the data. Then, it analyzes the Granger causality re- lationship between index rate of return and share index futures rate of return. At last, it works out the pulse picture by using VAR and specifies the lead time and the lag time. The study result shows that the IF300 is four or five mi- nutes or so advanced than spot. But HS300 doesn＇ t play such leading effect. This study further confirms the effect of IF300＇ s price discovery function, and hence provides market＇s tendency, arbitrage pricing and avoiding risks. the important reference for investors＇ prediction of stock market＇s tendency, arbitrage pricing and avoiding risks.
