Proceedings of the 2017 3rd International Conference on Humanities and Social Science Research (ICHSSR 2017)

An Empirical Study on the Linkage between SSE 50 Stock Index Futures and Stock Index Spot

Authors
Jia Chen, Xiaoqian Chen
Corresponding Author
Jia Chen
Available Online May 2017.
DOI
10.2991/ichssr-17.2017.58How to use a DOI?
Keywords
SSE 50 stock index futures, Price discovery, Granger causality test.
Abstract

In this paper, the daily data of SSE 50 stock index futures and SSE 50 index in the past two years from April 16, 2015 to March 16, 2017 are selected as the research object to study the lead relationship between SSE 50 stock index futures and corresponding stock spot price with the methods of co-integration test, Granger causality test, impulse response and variance decomposition etc. The results show that SSE 50 stock index future has a one-way effect on SSE 50 index, and SSE 50 stock index future has reflected the price discovery function.

Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2017 3rd International Conference on Humanities and Social Science Research (ICHSSR 2017)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
May 2017
ISBN
10.2991/ichssr-17.2017.58
ISSN
2352-5398
DOI
10.2991/ichssr-17.2017.58How to use a DOI?
Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Jia Chen
AU  - Xiaoqian Chen
PY  - 2017/05
DA  - 2017/05
TI  - An Empirical Study on the Linkage between SSE 50 Stock Index Futures and Stock Index Spot
BT  - Proceedings of the 2017 3rd International Conference on Humanities and Social Science Research (ICHSSR 2017)
PB  - Atlantis Press
SP  - 283
EP  - 287
SN  - 2352-5398
UR  - https://doi.org/10.2991/ichssr-17.2017.58
DO  - 10.2991/ichssr-17.2017.58
ID  - Chen2017/05
ER  -