| 新华富时A50股指期货与我国A股市场价格间关系：基于高频数据的研究 |
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| 引用本文： | 张雪莹,岳国明.新华富时A50股指期货与我国A股市场价格间关系：基于高频数据的研究[J].广西金融研究,2011(8):50-54. |
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| 作者姓名： | 张雪莹 岳国明 |
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| 作者单位： | 山东财政学院金融学院,山东济南,250014 |
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| 基金项目： | 教育部人文社科规划研究项目《股指期货和现货市场联合监管问题研究》(09YJE790002) |
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| 摘 要： | 利用五分钟高频数据,本文对在新加坡交易所上市的新华富时A50股指期货与我国沪深300股指现货和期货之间的价格变化关系进行了实证分析。主要结果显示：从目前看,国内的沪深300指数现货和期货市场在价格发现和信息传递方面居于主导地位。A50股指期货价格的变动对国内股指现货和期货市场价格的变动并不存在显著的领先和引导作用。
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| 关 键 词： | 股指期货 价格关系 Granger因果检验 |
A Study on the Relationship between FTSE A50 Index Futures and A-shares Markets Prices based on High Frequency Data |
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| Zhang Xueying Yue Guoming.A Study on the Relationship between FTSE A50 Index Futures and A-shares Markets Prices based on High Frequency Data[J].JOurnal of Guangxi Financial Research,2011(8):50-54. |
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| Authors: | Zhang Xueying Yue Guoming |
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| Institution: | Zhang Xueying Yue Guoming (Shandong University of Finance,Jinan Shandong 250014) |
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| Abstract: | Using 5 minutes high frequency data,this paper studies the relationship between FTSE A50 index futures listed in Singapore Stock Exchanges and mainland A-shares markets.Empirical results show that currently the CSI300 spot index and futures market in mainland China still have a dominant role in price discovery and information transmission.The movement of A50 index futures prices has no significant leading effect on the prices of domestic A-share markets. |
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| Keywords: | Stock Index Futures Price Granger Causality |
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