股指期货合约存续期价格引导关系的时变性研究

针对股指期货非季月合约存续期较短这一特点,按一定的标准将股指期货非季月合约2个月的存续期划分为合约上市期、主力合约期、非主力合约期、合约交割期等阶段,采用单位根检验、协整检验、格兰杰因果检验、脉冲响应分析等方法,利用各阶段5分钟或1分钟高频交易数据对股指现货、股指期货主力合约、股指期货非主力合约的价格引导关系进行实证分析,得出的结论是股指期货非季月合约在其存续期内的价格引导能力具有明显的时变性特征,股指期货和现货市场的跨市场监管者和交易者需要根据股指期货合约价格引导关系的时变性来合理制定自身的监管策略和交易策略。

A Study on the Time Varying of Price Lead Relationship Between CSI 300 Index Futures and CSI 300 Index

According to the certain standard, duration of stock index futures is divided into four periods, including contract listing period, dominant contract period, non dominant contract period, and contract delivery period. With the unit root test, cointegration test, Granger causality test, impulse response analysis, using the 5 minutes or 1 minute high frequency transaction data of stock index and stock index futures, the time varying of price lead relationship is empirically analysized. The conclusion is that the stock index futures price discovery has obvious time varying characteristics during its existence periods. Stock index futures and spot market traders should make strategies according to time varying of price dicovery.