| 股指期货期现价格关系实证分析 |
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| 引用本文： | 刘敬伟,蒲勇健.股指期货期现价格关系实证分析[J].重庆大学学报(社会科学版),2012,18(4):23-26. |
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| 作者姓名： | 刘敬伟 蒲勇健 |
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| 作者单位： | 1. 重庆工商职业学院,重庆,400052
2. 重庆大学经济与工商管理学院,重庆,400044 |
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| 摘 要： | 文章利用协整检验、Granger因果检验等计量方法,对沪深300股指期货上市一年来的交易数据进行分析。结果表明:股指期货与沪深300指数之间存在协整关系,沪深300指数是股指期货价格的Granger原因,且滞后期为1期。
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| 关 键 词： | 股指期货 协整检验 Granger因果检验 |
An Empirical Analysis on Price Relationship of Stock Index Futures and Spot |
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| LIU Jingwei and PU Yongjian.An Empirical Analysis on Price Relationship of Stock Index Futures and Spot[J].Journal of Chongqing University(Social Sciences Edition),2012,18(4):23-26. |
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| Authors: | LIU Jingwei and PU Yongjian |
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| Institution: | 1.Chongqing Technology and Business Institute,Chongqing 400052,P.R.China; 2.School of Economics and Business Administration,Chongqing University,Chongqing 400044,P.R.China) |
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| Abstract: | Using cointegration test and Granger causality test,this paper analyzes the trading data of CSI300 index futures.Results show that there is cointegration relationship between stock index futures and CSI300.Furthermore,CSI300 is Granger cause of the stock index futures price. |
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| Keywords: | stock index futures cointegration test Granger causality test |
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