【摘要】 介绍了VEC模型及其相关部分理论,并在此基础上研究了我国的沪深300现货市场和股指期货的价格关系。通过Granger因果关系的检验、协整性的检验、脉冲响应函数分析和方差分解的分析发现:沪深300现货价格和股指期货价格之间存在着单向的Granger因果关系,且股指期货的价格引导现货价格,期货冲击引起的波动幅度大于现货冲击。更多还原

【Abstract】 The article analyzes the price relationship between Shanghai and Shenzhen 300 Stock index futures and stock index spot price of the CSI 300 index based on VEC model and related theories.By making use of Johansen cointegration test,Granger causality test,VEC model,impulse response function and variance decomposition,it finds that there is an unidirectional Granger causality between the Shanghai and Shenzhen 300 Stock index futures and stock index spot price of the CSI 300 index.The price of stock index futures leads the price of stock index spot,and futures volatility caused by the impact is greater than the stock shocks.更多还原