The co-integrating relationship between stock index and futures prices
Release Time:2019-03-11 Hits:
Indexed by: Conference Paper
Date of Publication: 2009-06-30
Included Journals: Scopus、CPCI-S、EI
Page Number: 1389-1392
Key Words: stock index; spot price; futures price; co-integration
Abstract: The paper examines five International stock index spot and futures data to verify whether there exists long-term steady relationship between the index spot and futures prices. Based on the co-integration theory and error correction model (ECM), conclusions are drawn that index spot and futures are co-integrated in most cases and it is possible to do the corresponding short-term dynamic adjustment for reaching new equilibrium in next period.