Title :
A Study on the Leading Fact of Stock Index Future and Spot Stock Index
Author_Institution :
Sch. of Bus., Nanjing Univ., Nanjing, China
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;
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
DOI :
10.1109/ICMSS.2010.5576487
