股指期货与股指现货的协整与因果关系研究

徐雅静; 汪远征; 刘朋

doi:10.3969/j.issn.1004-1478.2011.04.027

July 2011

Article Contents

XU Ya-jing, WANG Yuan-zheng and LIU Peng. Co-integration and causality relationship research of stock index futures and stock index spot[J]. Journal of Light Industry, 2011, 26(4): 113-116. doi: 10.3969/j.issn.1004-1478.2011.04.027

Citation: XU Ya-jing, WANG Yuan-zheng and LIU Peng. Co-integration and causality relationship research of stock index futures and stock index spot[J]. Journal of Light Industry, 2011, 26(4): 113-116. doi: 10.3969/j.issn.1004-1478.2011.04.027 shu

Co-integration and causality relationship research of stock index futures and stock index spot

Dept. of Math. and Infor. Sci., Zhengzhou Univ. of Light Ind., Zhengzhou 450002, China;
Hongta Futures, Zhengzhou 450002, China

Received Date: 2011-03-23
Available Online: 2011-07-15

Abstract

The intrinsic co-integration relationship between the China stock index futures and stock index spot which barely come into market based on co-integration theory was studied.The results showed that the unilateral causality relationship between stock index futures and stock index is also found by Engle-Granger causality test.The relationship of long-term equilibrium and short-term fluctuation of stock index futures and stock index spot was confirmed by co-integration model and error correction model.
- stock index future,
- stock index spot,
- co-integration,
- error correction model
References
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沈阳化工大学材料科学与工程学院沈阳 110142

Co-integration and causality relationship research of stock index futures and stock index spot

Abstract

References

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通讯作者: 陈斌, bchen63@163.com