Co-integration Research on the Dynamic Relationship between International Future Price, National Future Price and Relevant Stock Price in China

被引：0
|
作者：
Yan, Xiao-Ming [1 ]
机构：
[1] East China Univ Polit & Law, Sch Business, Shanghai 201620, Song Jiang Regi, Peoples R China
来源：
ASIA-PACIFIC MANAGEMENT AND ENGINEERING CONFERENCE (APME 2014) | 2014年
关键词：
D O I：
暂无
中图分类号：
C [社会科学总论];
学科分类号：
03 ; 0303 ;
摘要：
This paper analyzed the dynamic relationship between international future price, national future price and relevant stock price in China through co-integration tests. vector error correction modeling technique and VEC Granger causality tests. The results showed that a co-integration relationship and long run equilibrium between international future price, national future price and relevant stock price in China. This paper found that there existed the Granger causality from Comex gold future price to relevant stock price in China, and there didn't exist the Granger causality from relevant stock price in China to Comex gold future price. This paper also found that there existed the bilateral Granger causality between nymex oil future price and relevant stock price in China.
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收藏
页码：1256 / 1264
页数：9
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