股指期货与现货的领先滞后关系实证研究
Empirical on the lead-lag relationship between stock index and its future
本文选取了沪深300现货和沪深300股指期货仿真交易1分钟的高频数据，通过对现货和股指期货进行Granger因果检验，结果表明，沪深300的股指期货模拟交易数据至多领先现货市场2分钟，从而在一定程度上说明我国沪深300股指期货仿真交易对现货市场有一定的价格发现作用, 对我国适时推出股指期货提供了理论支持。
we cited the data of shanghai&shengzheng markets’ 300 index and its future date every 1 minute, then to test whether the two series have Granger casual relationship or not, according to the result, the futures and spot marker date have a lead-lag relation, the future index lead the spot market 2 minutes at most, this can explain the stock index future process the “price discover” function at a level and also support the issues of actual index future.
周娜
财政、金融
股指期货协整检验Granger因果检验
Stock Index FutureCointegration TestGranger Causality Tests
周娜.股指期货与现货的领先滞后关系实证研究[EB/OL].(2009-03-17)[2025-07-21].http://www.paper.edu.cn/releasepaper/content/200903-596.点此复制
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