东北大学学报（社会科学版）

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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. 东北大学文法学院经济学系
  • 收稿日期:2013-10-31 发布日期:2014-04-17
  • 通讯作者: 田树喜

An analysis of the interactive effects between HS 300 index futures market and its spot market

  • Received:2013-10-31 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。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的更快。因此，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, the econometrical test was implemented on the interactive effects of arbitrage between HS 300 index futures and its spot markets. The results showed that the selling of futures contracts in arbitrage trading had led to a decline in futures’ prices, but its spot prices had not been driven by the buying of spot contracts because of the limited purchase transactions, which means the convergence of basis between HS 300 index futures market and its spot markets was not caused by the negative feedback effects between them, but because of the futures price’ faster response to information than the spot price. The above interactive effects meant that the arbitrage between HS 300 index futures and its spot markets had played a boosting role rather than a buffering role in the asymmetric volatility of the spot market.

Key words: Index Arbitrage, Positive Feedback, Negative Feedback, Asymmetric Volatility