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Indexed by:会议论文

Date of Publication:2009-06-30

Included Journals:EI、CPCI-S、Scopus

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.