信阳师范学院学报（自然科学版）2016，Vol.29Issue(4)：507-511,5.DOI:10.3969/j.issn.1003-0972.2016.04.006
基于不同行业的沪深300股指期货价格发现功能研究
Research on Price Discovery of HS300 Index Futures based on Different Industeries
摘要
Abstract
Based on the data of the daily closing price of Shanghai and Shenzhen stock index futures and the industry indexes of CSI ALL Share Index,lead-lag relationship between the stock index futures and spot prices of different industries were investigated by using VAR model,Granger causality test and impulse response func-tion.Empirical results showed that the unidirectional causality was significantly evident between stock index fu-tures and the industry indexes,but it varied a lot across industries.关键词
股指期货/协整检验/VAR 模型/格兰杰因果检验/脉冲响应函数Key words
stock index futures/cointegration model/VAR model/Granger causality test/impulse re-sponse function分类
数理科学引用本文复制引用
曾昭法,刘源..基于不同行业的沪深300股指期货价格发现功能研究[J].信阳师范学院学报（自然科学版）,2016,29(4):507-511,5.基金项目
国家社会科学基金项目(13BTJ001) （13BTJ001）
