运用Granger因果检验、脉冲响应函数分析和方差分解,基于819组5分钟高频数据,对沪深300股指期货及其股票指数的开盘价格、收盘价格之间的引导关系进行检验。结果表明:期货市场与股票市场的开盘收益率相互引导;期货市场收盘收益率引导现货市场的收盘收益率和第二天开盘收益率;期货市场受自身和现货市场新息的冲击;现货市场受自身新息的冲击较大;期货市场对现货市场新息的变动更敏感;期货与现货的开盘收益率变化的总方差主要来自于现货市场,期货与现货的收盘收益率变化的总方差主要来自于期货市场。%Based on Hushen 300 index futures and its stock index of 819 groups of high-frequency data in 5 minutes,this paper tests the casual relationship between stock index futures and stock index by Granger causality test, impulse response function and variance decomposition. Empirical results show as follows:the opening time returns of futures and spot markets lead each other,and the closing time return of futures market lead the second day opening and closing time return of spot market;the new information of both markets impact futures market, and the change of spot market is mainly from itself; the futures market is more sensitive than the spot market to the new information of spot market ; the total variance of opening returns of futures and spot markets are mainly from spot market, and the closing returns of futures and spot markets are mainly from futures market.
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