| 摘要: |
| 中国股指期货市场与现货市场存在长期稳定的协整关系,现货市场对于期货市场具有一定的解释力度,现货指数的上涨是股指期货看涨的单向格兰杰原因。长期来看,股指期货市场对现货市场具有稳定的正向引导关系,并且对上海A股市场和深圳A股市场的影响有所区别的。 更多还原 |
| 关键词: 股指期货 现货 VAR模型 协整关系 |
| DOI： |
| 分类号: |
| 基金项目: |
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| Empirical Research into the Relationship between Stock Futures Market and Spot Market in China——Futures Index and Spot Index Based on Shanghai and Shenzhen 300 Stock Index |
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HUANG Jia,LIN Li
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| Abstract: |
| There exists long-run and stable cointegration between stock index of futures market and spot market,spot market has certain interpretative power on futures market and the rise of spot index is a unidirectional Granger causality of the rise of futures market index.From the long-term period,stock index of futures market has a stable positive guidance on spot market,however,stock index of futures market has different effects on Shanghai A-share stock market and Shenzhen A-share stock market. 更多还原 |
| Key words: stock futures spots VAR model cointegration |
