国内外很多学者对股指期货与现货市场的关系进行了很多开拓性的研究,但结论迥异。本文立足于大陆市场,借助向量自回归模型及格兰杰因果检验、方差分解、脉冲响应函数等方法,以模拟股指IF0806和沪深300指数的五分钟收盘价为研究对象,定量地刻画了股指期货与现货指数之间的关系。 Many scholars at home and abroad have conducted many pioneering researches on the relationship between stock index futures and spot market, but the conclusions are quite different. This article based on the mainland market, with vector autoregressive model and Granger causality test, variance decomposition, impulse response function and other methods to simulate the stock index IF0806 and Shanghai and Shenzhen 300 Index five-minute closing price as the research object, quantitatively depicts the stock index futures And the relationship between the spot index.