The Correlation Research of Chinese Stock Index Futures and Stock Index Spot
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.
stock index futures the CSI 300 stock index correlativity error correction model
Wang Jing Du Jia
School of Economic and Management,Beijing Jiaotong University,Beijing,China,100044
国际会议
大连
英文
633-637
2013-06-29（万方平台首次上网日期，不代表论文的发表时间）