期刊文献+

基于协整及VAR模型的股指期货与股票指数关系研究 被引量:4

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摘要 本文研究结果显示,股指期货和现货存在长期均衡关系,期指的当期波动对股指的当期波动有显著性影响;股指期货与现货之间还构成了单边因果关系,股指期货是现货的因,而现货不是股指期货的因;现货的波动对股指期货的冲击不大,而股指期货的波动则对现货的冲击很大。
作者 武宁
出处 《金融理论与实践》 北大核心 2011年第12期83-85,共3页 Financial Theory and Practice
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参考文献1

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同被引文献21

  • 1韩鑫韬,吴江.我国的期货市场与价格发现功能[J].云南大学学报(自然科学版),2008,30(S1):254-257. 被引量:1
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