2015年股灾前后沪深300股指期现货相互关系实证分析

Empirical Analysis of the Relationship between Futures and Spot of CSI 300 Stock Index before and after the Stock Market Crash in 2015

摘要: 股指期货自2010年推出以来，它的功能一直倍受讨论，特别是2015年股灾后，人们更加关注股指期货能否有效发挥它的价格发现和套期保值等功能。关于股指期货与股指现货之间的相关性也被越来越多的学者讨论，被投资者关注。本文的分析对象正是股指期货市场与现货市场。首先，通过建立VAR模型估计发现，股指期货一直发挥着它的价格发现的功能，无论是在股灾前还是股灾后。股指现货也同样发挥着其定价功能。然后进行格兰杰因果检验和脉冲响应分析发现，股指期货和现货市场确实具有紧密的相关关系，最后，根据现实情况提出相应的建议。

Abstract: Since its launch in 2010, the function of stock index futures has been much discussed. Especially after the stock market crash in 2015, people pay more attention to whether stock index futures can effectively play its functions of price discovery and hedging. The correlation between stock index futures and stock index spot has also been discussed by more and more scholars and paid attention by investors. The analysis object of this paper is the stock index futures market and the spot market. First of all, through the establishment of VAR model estimation, it is found that stock index futures have always played its price discovery function, whether before or after the stock market crash. The stock index spot also plays its pricing function. Then, through Granger causality test and impulse response analysis, it is found that stock index futures and spot markets are indeed closely related. Finally, according to the reality, the corresponding suggestions are put forward.