The Empirical Analysis on the Function of Avoiding Risks for Stock Index Futures Market in China
What is focused by most investors is how to avoid capital market risks. This paper aims to explore the relationship between the stock market and the stock index futures market by stationarity test and co-integration test. It is indicated in the research that there has been a long-term equilibrium relationship between the two markets, and the stock market price coincides with the price of the stock index futures market which is the precondition for hedging. On this basis, the introduction of error correction model aims to explore the discipline of the short-term price volatility of the two markets. The research finds that the price of the stock index futures market fluctuates more fiercely than the stock market, and there has been a larger space for arbitraging in a short term. Therefore, the function of avoiding risks for stock index futures market should be strengthened further.
Zhang Qiwen Xing Bingkun
School of Economy and Management Northeast Agricultural University Harbin, P.R.China
国际会议
International Conference on Management and Service Science(2011年第五届管理与服务科学国际会议 MASS 2011)
武汉
英文
1-4
2011-08-12（万方平台首次上网日期，不代表论文的发表时间）