Title :
The Co-integrating Relationship between Stock Index and Futures Prices
Author :
Chai, Shanglei ; Guo, Chonghui
Author_Institution :
Inst. of Syst. Eng., Dalian Univ. of Technol., Dalian, China
fDate :
June 30 2009-July 2 2009
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.
Keywords :
error correction; pricing; cointegration theory; error correction model; index spot; prices; stock index; Contracts; Data engineering; Electrochemical machining; Error correction; Paper technology; Portfolios; Security; Stock markets; Systems engineering and theory; Technological innovation; co-integration; futures price; spot price; stock index;
Conference_Titel :
New Trends in Information and Service Science, 2009. NISS '09. International Conference on
Conference_Location :
Beijing
Print_ISBN :
978-0-7695-3687-3
DOI :
10.1109/NISS.2009.200
