摘要
中国股指期货市场与现货市场存在长期稳定的协整关系,现货市场对于期货市场具有一定的解释力度,现货指数的上涨是股指期货看涨的单向格兰杰原因。长期来看,股指期货市场对现货市场具有稳定的正向引导关系,并且对上海A股市场和深圳A股市场的影响有所区别的。
There exists long-run and stable cointegration between stock index of futures market and spot market,spot market has certain interpretative power on futures market and the rise of spot index is a unidirectional Granger causality of the rise of futures market index.From the long-term period,stock index of futures market has a stable positive guidance on spot market,however,stock index of futures market has different effects on Shanghai A-share stock market and Shenzhen A-share stock market.
出处
《重庆工商大学学报（社会科学版）》
2011年第2期27-31,共5页
Journal of Chongqing Technology and Business University：Social Science Edition
