Research on the correlation between CSI 300 stock index futures and spot

Authors

  • Yiqun Wang

DOI:

https://doi.org/10.54097/zys1kc42

Keywords:

Stock index futures, Cointegration test, Error correction model.

Abstract

This paper mainly focuses on the correlation between China's stock index futures and spot markets, and the selected products are CSI 300 stock index futures and spot. This paper takes CSI 300 as the research object, and based on the daily data from 2010 to date, uses the E-G cointegration test method and the error correction model method to verify the existence of a long-term equilibrium relationship between the period and the spot market, as well as the repair mechanism when the short-term deviation from equilibrium occurs. The results show that there is a long-term equilibrium relationship between stock index futures and the spot market, and there is a repair mechanism when the short-term deviation from equilibrium occurs. As the policy range moves forward, the signal role of the futures market in pricing gradually increases, and more investors begin to refer to the futures market trend to make decisions in the spot market.

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References

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[3] Xiong Hu. Research on the relationship between the price of CSI 300 stock index futures and its spot price fluctuations [J]. Rural Economy and Science and Technology, 2019, 30 (24): 64 - 65.

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Published

25-11-2024

How to Cite

Wang, Y. (2024). Research on the correlation between CSI 300 stock index futures and spot. Highlights in Business, Economics and Management, 44, 318-322. https://doi.org/10.54097/zys1kc42