[1]曹玲玲,陈婷婷.国债期货价格与现货价格的联动性分析[J].金融教育研究,2016,(01):38-44.
 CAO Lingling,CHEN Tingting.The Correlation Analysis of Treasury Futures Price and Spot Price[J].,2016,(01):38-44.
点击复制

国债期货价格与现货价格的联动性分析()
分享到:

《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2016年01期
页码:
38-44
栏目:
出版日期:
2016-03-01

文章信息/Info

Title:
The Correlation Analysis of Treasury Futures Price and Spot Price
作者:
曹玲玲 陈婷婷
1.宿迁学院 经济贸易系,江苏 宿迁 223800; 2.国泰君安证券,江苏 宿迁 200000
Author(s):
CAO Lingling CHEN Tingting
1.Economic and Trade Department,Suqian College,Suqian,Jiangsu 223800,China; 2.Guotai Junan Securities,Suqian,Jiangsu 200000,China
关键词:
联动性分析 协整检验 格兰杰因果关系检验
Keywords:
linkage analysis cointegration test Granger causality test
分类号:
F830.91
文献标志码:
A
摘要:
文章借助平稳性检验、向量自回归模型、Johansen协整检验、误差修正模型、格兰杰因果关系检验、IRF脉冲响应函数及DCC-GARCH模型,以2013年9月6日至2015年4月3日的5年期国债期货与国债现货12附息国债14(5年期,票面利率2.95%)的日收盘价为样本数据,实证分析了我国国债期货与国债现货的价格之间的联动影响机制。得出结论为:国债期货价格与现货价格是单整时间序列; 国债期现货价格之间存在着长期均衡关系; 国债期货价格与现货价格相互联动,国债期货市场日益成熟,市场机制逐步健全。
Abstract:
With the help of stationarity test,the vector auto regression model,Johansen cointegration test,error correction model,Granger causality test,IRF impulse response function and DCC-GARCH model; using the daily closing price of five-year Treasury futures and spot 12 interest-bearing bonds 14(five-year,coupon rate 2.95%)from September 6,2013 to April 3,2015 as the sample data,this paper made an empirical analysis about the linkages influences between debt futures and spot prices in our country.The conclusion is:the treasury bond futures price and spot price is a single time series; there exists a long-term equilibrium relationship between the futures and spot prices of treasury bond futures; the treasury bond futures price and spot price are linkage,bond futures market has become more sophisticated,the market mechanism improves gradually.

参考文献/References:

[1]周杰.国债期货及其内含选择权单因子Hull-White模型定价研究[D].对外经济贸易大学,2013.
[2]罗克.中国黄金期货与黄金现货价格联动性研究[J].企业导报,2013(21):23-24.
[3]刘爱萍.我国股指期货与现货市场联动关系研究[J].山东社会科学,2012(6):121-123.
[4]林芸.黄金现货与黄金期货价格联动性研究[J].现代经济(现代物业中旬刊),2012(10):55-57.
[5]庄佳强.国债期货对我国国债收益率的影响:基于事件分析法的研究[J].财政经济评论,2014(1):86-100.

相似文献/References:

[1]李银秀.西部大开发以来陕西省城镇居民收入与消费研究及协整检验[J].金融教育研究,2015,(05):34.
 LI Yinxiu.A Study and the Co-integration Test of Urban Residents’ Income and Consumption in Shanxi Province since the Implementation of Western Development Policy[J].,2015,(01):34.

更新日期/Last Update: 1900-01-01