| 基于沪深300日指数和股指期货指数的计量研究 |
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| 引用本文： | 陈子宸,姜禹西.基于沪深300日指数和股指期货指数的计量研究[J].特区经济,2011(8):92-93. |
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| 作者姓名： | 陈子宸 姜禹西 |
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| 作者单位： | 北京林业大学经济管理学院,北京100083 |
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| 摘 要： | 自中国第一支股指期货于2010年4月16日推出以来已经近1年,本文通过对7～12月的日数据分析,来对中国股指期货和沪股票现货市场间的互动关系进行研究分析,探究它们之间的相关性,以发现股指期货的特点。通过结论分析来提出建议,进一步发挥股指期货的效用,完善我国金融市场,保持我国经济持续稳定的增长。
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| 关 键 词： | 沪深300指数 股指期货 协整 向量自回归模型 |
Calculation research basing on CSI 300 day index and stock index futures |
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| Chen Zi Chen Jiang Yu Xi.Calculation research basing on CSI 300 day index and stock index futures[J].Special Zone Economy,2011(8):92-93. |
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| Authors: | Chen Zi Chen Jiang Yu Xi |
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| Institution: | Chen Zi Chen Jiang Yu Xi |
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| Abstract: | It has been nearly a year since the first stock index future was made available in China since April 16th,2010.This paper is intended to analyze the interaction and correlation between the HS300 stock index and the HS300 stock index future and the features of HS300 index future by analyzing the daily figures dating from July to December.And to make suggestions coming from the results to fully utilize the stock index future,to improve Chinese financial markets and to keep a stable and fast growth in China. |
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| Keywords: | HS300 Index stock future cointegration VAR |
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