The Correlation Research of Chinese Stock Index Futures and Stock Index Spot

被引：0
|
作者：
Jing, Wang [1 ]
Jia, Du [1 ]
机构：
[1] Beijing Jiaotong Univ, Sch Econ & Management, Beijing 100044, Peoples R China
来源：
PROCEEDINGS OF THE 5TH (2013) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, VOLS I AND II | 2013年
关键词：
stock index futures; the CSI 300 stock index; correlativity; error correction model;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The research was based on the CSI 300 index futures and the spot index during the period of the July 18, 2011 to March 16, 2012. This paper analysed the relationship between the CSI 300 stock index spot prices and the stock index futures prices which represented by IF1203. The results from Eviews showed the stability and the cointegration between the CSI 300 stock index futures and the spot logarithmic prices. Through the construction of the co-integration model and error correction model to deal with the data, we could preliminarily confirm the long-term equilibrium and short-term fluctuation relationship between the CSI 300 stock index futures and the spot. The empirical analysis also demonstrated the one-way causal relationship between them, which means that the stock index future was the granger cause of stock index spot. Further, we confirmed that the prices of the stock index futures market can guide the changes of the stock spot market.
引用
收藏
页码：633 / 637
页数：5
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