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通过采用平稳性检验(ADF)、误差修正模型(ECM)、脉冲响应函数分析和方差分解等金融计量学方法,对中国金融期货交易所上市交易的沪深300股指期货和A股指数之间的引导关系进行了实证研究.结果表明:沪深300股指期货与A股指数之间存在长期协整关系;从短期来看,股指期货市场对A股指数市场具有正向引导关系,并且这种引导作用有不断增强的趋势;期货价格对现货价格的发现处于主导地位,指数现货对指数期货引导作用较弱.
Through the use of ADF, ECM, impulse response function analysis and variance analysis and other financial metrology methods, the China Financial Futures Exchange listed Shanghai and Shenzhen 300 Index Futures and A Index The relationship between the stock index futures market and the A-share index market has a long-term cointegration relationship; in the short term, the stock index futures market has a positive guiding relationship with the A-share index market, and this kind of guidance The role of a growing trend; the discovery of futures prices on the spot price is in a dominant position, the index spot index futures guidance is weak.