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个人信息Personal Information
教授
博士生导师
硕士生导师
主要任职：Director of Institute of Systems Engineering
其他任职：大连市数据科学与知识管理重点实验室主任
性别：男
毕业院校：大连理工大学
学位：博士
所在单位：系统工程研究所
学科：管理科学与工程. 系统工程
办公地点：经济管理学院D337室
联系方式：0411-84708007
电子邮箱：dlutguo@dlut.edu.cn
The co-integrating relationship between stock index and futures prices
点击次数：
论文类型：会议论文
发表时间：2009-06-30
收录刊物：EI、CPCI-S、Scopus
页面范围：1389-1392
关键字：stock index; spot price; futures price; co-integration
摘要：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.