对冲工具与对冲指数对沪深300指数的传导性作用研究

月度融资融券余额是股票投资者预测股指趋势的一项重要指标,对冲基金指数反映了对冲基金整体收益率的情况。文章利用国内对冲基金指数、融资余额、融券余额变动情况这三个与对冲相关的变量，拟合向量自回归模型和向量误差修正模型，分析它们与沪深300指数的互动关系，检验A股市场上对冲工具和对冲指数的传导性作用。检验结果显示融资融券交易并没有对A股市场产生冲击效应，对冲基金指数相对沪深300指数有一定的前瞻性。

Research on Transmission Effects on Hedge Instruments and Hedge Index to the HS300 Index Perspective

The monthly balances of margin trading are regarded as a key indicator for stock investors to predict the stock index trend. The Hedge index indicates the overall yield of hedge fund. Based on VAR model and VEC model, this paper gives research on the interactive relationship among the hedge fund index in China, the monthly balances of margin trading and the HS300 Index, which can test the conductive function of hedge instrument and hedge index on A-share market. The statistical results show that margin trading has no shock effect on A-share stock market, but the hedge fund index is more far-sighted than the HS300 Index.