The Empirical Research on the Price Discovery Relation between Stock Index Futures and Stock Index

被引：0

作者：

Xu Yajing ^{[1
]}

Wang Yuanzheng ^{[1
]}

Liu Peng ^{[2
]}

机构：

[1] Zhengzhou Univ Light Ind, Dept Math & Informat Sci, Zhengzhou 450002, Henan, Peoples R China

[2] Hongta Futures, Zhengzhou 450002, Peoples R China

来源：

RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, PTS 1 AND 2 | 2011年

关键词：

Stock index futures; Co-integration; Error correction model; Vector auto regression model;

D O I：

暂无

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

Stock index futures and stock index usually show their highly positive correlation because they are influenced by the same information. Therefore, they often have the mutual relation of price discovery. In this paper, we focus on the real transaction data of Chinese stock index futures and stock index, and research the price discovery relation between stock index futures and stock index by some econometric methods including Granger causality test, co-integration theory, pulse-response index analysis based on VAR model and variance decomposition analysis. A great leading effect has been found as the stock index futures.

引用

页码：288 / +

页数：2

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