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Study on information transmission about sif and spot market of csi 300 in china
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نویسنده
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li c. ,liu x.-h. ,yang d.-p. ,bai x.
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منبع
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pakistan journal of statistics - 2014 - دوره : 30 - شماره : 5 - صفحه:887
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چکیده
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This paper,by selecting two sets of 1min high frequency (hf) data after the half year of the sif (stock index futures) of csi 300 (china shanghai-shenzhen index 300) was introduced and ran two years,through using the vector error correction model,impulse response function and variance decomposition method to research the development status of information transmission function of the sif market and the stock index spot market. according to the result,the response speed of the sif market to new information in china is quicker than the stock index spot market. in different periods,the information contribution of the spot market to the stock index futures market was significant difference. © 2014 pakistan journal of statistics
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کلیدواژه
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HF data; Impulse response function; Information transmission; Variance decomposition
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آدرس
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college of economics,qingdao university, China, college of economics,qingdao university, China, college of economics,qingdao university, China, college of economics,qingdao university, China
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Authors
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