摘要
借助协整(Cointegration)和向量自回归(VAR)技术,通过实证研究了股票即时价格与期货价格之间的关系.主要包括反映两个变量长期均衡状态的协整关系、Granger因果关系以及得出这些关系的ADF单位根检验、Johansen协整关系检验和协整因果关系检验,同时也给出了实证分析中精确的计量结果.
This paper studies, the relations between stock spot price and futures price by empirical mode with the technique of cointegration and VAR. It mainly consists of cointegrational relation which reflects long-term equilibria relation between stock spot price and futures price, Grangerian causality and some tests such as ADF unit root test,cointegration test and cointegrational Grangerian causality. In additon, some metric results are presented.
基金
国家自然科学基金资助项目(70301010)
南京信息工程大学科研基金资助项目(Y405)
关键词
股票指数
股票价格
协整关系
协整因果关系
stock index
stock price
cointegration relation
cointegration Grangerian causality
作者简介
邹健（1968-）．男，安徽芜湖人，硕士．
