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《Journal of Chongqing University of Technology(Natural Science)》 2017-06
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Research on Price Relationship Between Stock Index Futures Market and Stock Index Spot Market Based on VEC model

YANG Ke-lei;LI Zhi;School of Management and Economics,Tianjin University;  
The article analyzes the price relationship between Shanghai and Shenzhen 300 Stock index futures and stock index spot price of the CSI 300 index based on VEC model and related theories.By making use of Johansen cointegration test,Granger causality test,VEC model,impulse response function and variance decomposition,it finds that there is an unidirectional Granger causality between the Shanghai and Shenzhen 300 Stock index futures and stock index spot price of the CSI 300 index.The price of stock index futures leads the price of stock index spot,and futures volatility caused by the impact is greater than the stock shocks.
【Key Words】: stock index futures stock index spot price relationship
【CateGory Index】: F724.5
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