원문정보
보안공학연구지원센터(IJMUE)
International Journal of Multimedia and Ubiquitous Engineering
Vol.10 No.11
2015.11
pp.407-416
피인용수 : 0건 (자료제공 : 네이버학술정보)
초록
영어
Finance is the core of modern economy, and the capital market as a part of the whole financial system, it is the key to the development of a country's economy. In this paper, we analyze the impact of stock index futures on the stock market by using CSI 300 index. The result shows that the stock index futures not significant effects on the volatility of spot market; however, there exist a co integration relationship in both long term and short term. Granger causality analysis shows that the stock index future is not Granger cause to CSI 300, while the CSI 300 is Granger cause stock index futures. On this basis, we put forward relevant policy suggestions.
목차
Abstract
1. Introduction
2. Literature Review
2.1. Stock Index Futures
2.2. Program Trading
3. Model Design
3.1. ADF Test
3.2. Co-Integration Test
4. Empirical Analysis
4.1. Data Source
4.2. Stability Analysis
4.3. Co-Integration Test and Error Correction Model
4.4. VAR Model
4.5. Grainger Causality Test
5. Conclusion
References
1. Introduction
2. Literature Review
2.1. Stock Index Futures
2.2. Program Trading
3. Model Design
3.1. ADF Test
3.2. Co-Integration Test
4. Empirical Analysis
4.1. Data Source
4.2. Stability Analysis
4.3. Co-Integration Test and Error Correction Model
4.4. VAR Model
4.5. Grainger Causality Test
5. Conclusion
References
저자정보
참고문헌
자료제공 : 네이버학술정보