我国股指期货收益与宏观经济关系的实证分析

股指期货是以股价指数为标的物的标准化期货合约,其具备高杠杆性、投机性和交易策略复杂性的特征,其风险与收益的变化在对宏观经济产生复杂影响的同时,也必然受到宏观经济各环境因素的影响。本文通过构建向量自回归模型,然后建立平稳性检验、最优滞后长度检验与协积检验,可以使数据分析更加合理可靠,最终实现更好的衡量股指期货收益、为其指标体系的构建提供良好的示范。

Empirical Study of Mutual Relationship Between China Stock Index Futures Returns and Macroscopic Economy

Stock index futures are based on stock price index for the subject matter of the standardized futures contracts,which have highly leveraged,speculative trading strategy and the characteristics of complexity.The changes of the risks and benefits have an impact on the macro-economy,while at the same time,influenced by various environmental factors of macro-economy.In this paper,we will build a VAR model,and then create a smooth test,the optimal lag length of the test and co-product testing,so that data analysis can be more reasonable and reliable,and ultimately providing a good demonstration for a better measure of stock index futures returns and its index system.