2011•Journal of Chongqing Technology and Business UniversityRequires access

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

Lin Li

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.

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Key concepts: Spot market, Futures contract, Stock market, Stock market index, Forward market, Financial economics, Portfolio insurance, Granger causality