东北大学学报（社会科学版）

东北大学学报（社会科学版） ›› 2014, Vol. 16 ›› Issue (2): 146-151.DOI: -

• 经济与管理研究 • 上一篇    下一篇

沪深300指数期货市场与现货市场联动效应分析

田树喜，荆红美，曹睿   

  1. (东北大学文法学院，辽宁沈阳110819)
  • 收稿日期:2013-08-28 修回日期:2013-08-28 出版日期:2014-03-25 发布日期:2014-04-17
  • 通讯作者: 田树喜等
  • 作者简介:田树喜(1970-)，男，辽宁本溪人，东北大学副教授，经济学博士，主要从事金融衍生品市场研究。①基差是指现货价格与其对应的期货价格之间的差额，本文的基差是以沪深300期货指数减去现货指数而得。②例如，布雷迪报告(1988)认为，“87股灾”期间，期现套利导致了卖压在股指期货市场与股票现货市场之间传递，形成了股价和期价双双下行的正反馈联动效应。
  • 基金资助:
    教育部人文社会科学研究青年基金资助项目(11YJC790121);上海市教育委员会科研创新一般资助项目(12YS186)。

An Analysis of the Interactive Effects Between HS 300 Index Futures Market and Its Spot Market

TIAN Shuxi， JING Hongmei， CAO Rui   

  1. (School of Humanities & Law， Northeastern University， Shenyang 110819， China)
  • Received:2013-08-28 Revised:2013-08-28 Online:2014-03-25 Published:2014-04-17
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摘要： 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。

关键词: 期现套利, 正反馈, 负反馈, 非对称波动

Abstract: 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.

Key words: arbitrage, positive feedback, negative feedback, asymmetric volatility

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