VAR model and ECM model are used to study the lagged relationship of share index futures and spot, and it is considered that share index futures can provide information more quickly than spot market.

• 摘要利用向量自回归模型(VAR)、误差修正模型(ECM)，对股指期货与现货之间的超前滞后关系进行了研究。研究结果表明，股指期货能够快捷有效地反映市场信息，股指期货信息领先于现货市场信息。