股指期货是股灾的'幕后推手'吗--基于2015年股灾期间沪深300股指期货高频数据实证分析

摘要

选取2015年6月15日至8月26日股灾期间沪深300股指期货与沪深300指数5分钟高频数据,通过E-G两步协整检验、格兰杰因果检验、脉冲响应模型等,对股灾期间股指期货市场价格发现功能及波动溢出效应进行实证研究.结果表明:股灾期间沪深300股指期货仍具备价格发现功能,但存在对现货市场的单向波动溢出,具有一定的"助跌"效应.%This paper selected the high-frequency data of HS 300 index futures and HS 300 index from June 15,2015 to August 26,2015.By using the EG two-step co-integration method,Granger Representation Theorem,Impulse Response Model,the empirical study of stock index futures' market price discovery function as well as volatility spillover effect has been done.The study shows that even in the crash,HS 300 index futures still played an important role of price discovery,and volatility spillovers existed from the futures market to the stock market.The stock index futures had the ability to lead the stock price to go down.