重庆理工大学学报（自然科学版）2017，Vol.31Issue(6)：191-197,7.DOI:10.3969/j.issn.1674-8425(z).2017.06.030
基于VEC模型的股指期货与现货价格关系研究
Research on Price Relationship Between Stock Index Futures Market and Stock Index Spot Market Based on VEC model
杨克磊 1李智1
作者信息
- 1. 天津大学管理与经济学部,天津300072
- 折叠
摘要
Abstract
The article analyzes the price relationship between Shanghai and Shenzhen 300 Stock index futures and stock index spot price of the CSI 300 index based on VEC model and related theories.By making use of Johansen cointegration test,Granger causality test,VEC model,impulse response function and variance decomposition,it finds that there is an unidirectional Granger causality between the Shanghai and Shenzhen 300 Stock index futures and stock index spot price of the CSI 300 index.The price of stock index futures leads the price of stock index spot,and futures volatility caused by the impact is greater than the stock shocks.关键词
股指期货/股指现货/价格关系Key words
stock index futures/stock index spot/price relationship分类
数学引用本文复制引用
杨克磊,李智..基于VEC模型的股指期货与现货价格关系研究[J].重庆理工大学学报（自然科学版）,2017,31(6):191-197,7.
