DocumentCode
2155739
Title
A Study on the Leading Fact of Stock Index Future and Spot Stock Index
Author
Fang, Xianming
Author_Institution
Sch. of Bus., Nanjing Univ., Nanjing, China
fYear
2010
fDate
24-26 Aug. 2010
Firstpage
1
Lastpage
4
Abstract
This paper choose sample data from both the upward trending market and the downward trending market for the empirical test. We find that (1) on the whole, the movement of the spot stock index and the stock index future adjusts consulting to each other. But the time when the stock index future is leading is longer than the time when the stock index future is leading. (2) as the approaches of the delivery months, the time when the spot stock index is leading the stock index future shortens.
Keywords
economic indicators; stock markets; downward trending market; spot stock index; stock index future; upward trending market; Analytical models; Contracts; Data models; Indexes; Lead; Mathematical model; Silicon;
fLanguage
English
Publisher
ieee
Conference_Titel
Management and Service Science (MASS), 2010 International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-5325-2
Electronic_ISBN
978-1-4244-5326-9
Type
conf
DOI
10.1109/ICMSS.2010.5576487
Filename
5576487
Link To Document