上期所原油期货指数与沪深300指数日收益率相关性实证分析

Empirical Analysis of Correlation between the Daily Yield of Oil Futures Index of Shanghai Futures Exchange Crude and the Daily Yield of CSI 300 Index

摘要: 本文利用原油期货和沪深300指数的日收益率数据，先进行统计描述，再对两组数据进行平稳性分析和检验，在保证数据的平稳性前提下，进行ARCH自回归异方差检验，并建立GARCH(1,1)-t模型，对模型进行估计，用VAR模型作沪深300指数日收益率和原油期货指数日收益率的相关自回归分析，结果表明时间序列波动是持续的，并且有很强的波动聚集性，沪深300日收益率指数和原油期货日收益率指数是相互影响的，二者长期形成正相关的协整关系，但沪深300日收益率指数受自身的影响更为明显，沪深300指数日收益率的波动也会引起原油期货指数日收益率波动，同时原油期货指数日收益率的波动是引起沪深300指数日收益率变动的格兰杰原因，原油期货指数日收益率的波动是引起沪深300指数日收益率的波动的重要原因。

Abstract: In this paper, the daily yield data of crude oil futures and the CSI 300 index were used to conduct statistical description first, and then the unit root test and the stationarity analysis were carried out on the two groups of data. Under the premise of ensuring the stability of the data, the autoregressive heteroscedasticity test was carried out, and the GARCH(1,1)-t model was built and estimated. Then, the correlation autoregressive analysis of the daily return rate of the CSI 300 index and the daily return rate of the crude oil futures index is made with the model. The results show that the fluctuation of the time series is continuous, and there is a strong volatility aggregation. The CSI 300 return rate index and the crude oil futures return rate index influence each other, and the two form a positive correlation co-integration relationship in the long run. However, the CSI 300 yield index is more obviously influenced by itself. The fluctuation of the CSI 300 yield index will also cause the fluctuation of the crude oil futures index yield. At the same time, the fluctuation of the crude oil fu-tures index yield is the Granger reason for the fluctuation of the CSI 300 yield index. The fluctuation of the crude oil futures index yield is an important reason for the fluctuation of the CSI 300 yield index.