我国股指期货与指数现货价格引导关系研究——基于非对称门限协整模型的分析被引量：10

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摘要本文采用动量一致门限自回归等非线性模型,对我国沪深300股指期货与指数现货价格传导的门限非对称机制展开研究,并构建门限非对称误差修正模型,基于长期弱外生和短期因果关系检验对期现价格的引导关系进行深入分析。研究发现:期现价格存在显著的门限协整关系,其价格调整机制具有非对称性和动量趋势,相对于负向冲击,正向冲击对系统的影响更具持久性;短期内,期现价格存在双向因果关系,相互引导,但长期内,指数现货为弱外生变量,只存在指数现货到期货的长期因果联系,指数现货处于长期价格发现的中心地位,股指期货的价格发现功能目前仍未得到有效发挥。

作者宋科艳

机构地区天津工业大学经济学院

出处《财经问题研究》 CSSCI 北大核心 2016年第9期57-63,共7页 Research On Financial and Economic Issues

基金国家社会科学基金项目"援非农业示范中心带动农业‘走出去’的运行模式与效果评价研究"(15BGJ028)

关键词沪深300指数股指期货指数现货非对称传导机制门槛非线性

分类号 F830.93 [经济管理—金融学]

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