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- W2392329948 abstract "Based on the daily closing price data of the Shanghai and Shenzhen 300 stock index futures since its launch in April 2010,The article analyzes the lead-lag relationship between the stock index futures and spot prices by making use of Johansen cointegration test,Granger causality test,impulse response function and other methods,and finds that there is long-term stability of the cointegration relationship between the Shanghai and Shenzhen 300 stock index futures and the spot price of the CSI 300 Index,stock index futures price leads the spot price,and the stock index futures and spot index exist one-way causality.The result of impulse response also confirms the futures price have a greater impact on the spot price,indicating that the listing of the stock index futures strengthens the spot market information transmission mechanism.The promotion and development of stock index futures market in China is conductive to optimize capital market structure." @default.
- W2392329948 created "2016-06-24" @default.
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- W2392329948 date "2012-01-01" @default.
- W2392329948 modified "2023-09-23" @default.
- W2392329948 title "The Empirical Research on the Price Lead-Lag Relationship between Stock Index Futures Market and Stock Index Spot Market:An Evidence of China Capital Market" @default.
- W2392329948 hasPublicationYear "2012" @default.
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