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2012•Journal of Chongqing University. English EditionRequires access

An Empirical Analysis on Price Relationship of Stock Index Futures and Spot

PU Yong-jian

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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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What this paper is about

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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Available 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.

Key concepts: Cointegration, Granger causality, Futures contract, Economics, Stock index futures, Econometrics, Financial economics, Stock market index

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