[1]周伟杰,顾荣宝.股指期货和现货的线性、非线性Granger因果关系分析——基于1分钟高频数据的实证研究[J].常州大学学报(社会科学版),2015,16(04):45-51.[doi:10.3969/j.issn.2095-042X.2015.04.008]
　ZHOU Wei-jie,GU Rong-bao.The Linear and Nonlinear Granger Causality between Stock Index 〖JZ〗Futures and Spot —Based on an Empirical Study of One-minute High Frequency Data[J].Journal of Changzhou University(Social Science Edition),2015,16(04):45-51.[doi:10.3969/j.issn.2095-042X.2015.04.008]
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股指期货和现货的线性、非线性Granger因果关系分析——基于1分钟高频数据的实证研究()
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常州大学学报(社会科学版)[ISSN:2095-042X/CN:32-1821/C]

卷:
第16卷
期数:
2015年04期
页码:
45-51
栏目:
出版日期:
2015-07-25

文章信息/Info

Title:
The Linear and Nonlinear Granger Causality between Stock Index 〖JZ〗Futures and Spot —Based on an Empirical Study of One-minute High Frequency Data
作者:
周伟杰1 ; 顾荣宝2
1、常州大学 商学院，江苏 常州 213164； 2、南京财经大学 金融学院，江苏 南京 210046
Author(s):
ZHOU Wei-jie1;  GU Rong-bao2
1、Business School, Changzhou University, Changzhou 213164, China；2、School of Finance, Nanjing University of Finance and Economics, Nanjing 210046, China
关键词:
股指期货和现货;  Granger因果检验; 非线性; 价格引导
Keywords:
stock index futures and spot; Granger causality test; nonlinear;  price directing
分类号:
F830
DOI:
10.3969/j.issn.2095-042X.2015.04.008
文献标志码:
A
摘要:
利用传统线性Granger因果检验以及最近发展的非线性Granger因果非参数Tn检验法，对股指期货和现货的互动关系展开研究。结果表明，从研究的整个阶段来看，股指现货和期货之间存在线性和非线性的Granger因果关系；在期货上市之初，股指期货与现货互为线性Granger因果关系，且只存在期货对现货的非线性Granger因果关系；在随后的几个不同阶段内，期货对现货的线性和非线性关系仍然显著，而现货对期货的线性和非线性Granger作用逐渐减弱。说明随着市场运行的不断深入，无论从线性还是非线性角度，期货对价格发现起主导作用。进一步发现，若存在股指现货对期货的Granger因果关系，现货对期货的线性作用更明显。
Abstract:
By the traditional linear Granger causality test and the nonlinear Granger causality developed by non-parametric test method, the interaction between stock index futures and spot under different periods is studied. The results show that there are linear and nonlinear Granger causality in the entire period of the study. At the beginning period when futures are listed on the stock market, there exists double-way linear Granger causality between stock index futures and spot, and futures show one-way nonlinear Granger causality on spot. In the next different stages, the linear and nonlinear Granger relationship between futures and spot is still significant, but the linear and nonlinear Granger effects of spot on futures are gradually weakened. It shows, as the market continues to deepen, futures play the leading role of price discovery both from linear and nonlinear perspectives. Furthermore, if there is the Granger causality of spot on futures, the linear Granger relationship will be more obvious.

参考文献/References:

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备注/Memo

备注/Memo:
作者简介：周伟杰（1983—），男，江苏常州人，博士，主要从事计量经济学研究。 基金项目：国家自然科学基金项目(71371098)。
更新日期/Last Update: 2015-09-16