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股指期货本身作为一种风险管理工具,在规避风险、对冲,价格发现,套期保值方面有较为重要的作用。2010年4月沪深300指数期货在上海金融交易所正式上市,中国股票市场也逐步同国际接轨,用期货市场合理引导现货的价格走势。本文基于IF0001股指期货和沪深300指数的日收盘价数据,运用EVIEWS软件,对这两个指数进行ADF检验,协整检验以及Granger因果检验,试图发现股指期货市场与现货市场之间的联动关系,结果发现股指期货和现货指数存在长期稳定关系,但并不存在相互引导关系,理论上的公式不成立。
As a risk management tool, stock index futures itself plays an important role in avoiding risks, hedging, price discovery and hedging. April 2010 Shanghai and Shenzhen 300 Index Futures officially listed on the Shanghai Financial Exchange, China’s stock market gradually with the international standards, with the futures market to guide the stock price trend. Based on the daily closing data of IF0001 index stock and Shanghai-Shenzhen 300 index, this article uses EVIEWS software to carry out ADF test, cointegration test and Granger causality test on these two indexes to find out the linkage between stock index futures market and spot market , Found that there is a long-term stable relationship between the stock index futures and the spot index, but there is no mutual guidance, the theoretical formula does not hold.