沪深300股指期货价格发现功能的实证分析被引量：1

An Empirical Analysis of the Relationship of the Stock Market and CSI-300 Stock Index Futures Market

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摘要价格发现功能是股指期货的一项重要的经济功能.以股指期货与现货市场的相互关系作为出发点,以沪深300指数以及沪深300股指期货连续合约日收盘价数据作为研究对象,采用定性分析与实证分析相结合的手段,深入研究股指期货和现货市场间价格发现关系. Price discovery function is an important economic function of the stock index futures. The paper is based on the relationship of the stock market and CSI-300 stock index futures market, selecting closing price data as a research object to make theoretical analysis and empirical analysis.

作者贾尚晖慕静牛晓蕙

机构地区中央财经大学应用数学学院中央财经大学统计学院

出处《数学的实践与认识》 CSCD 北大核心 2012年第24期95-99,共5页 Mathematics in Practice and Theory

关键词股指期货价格发现功能 stock index futures price discovery function

分类号 F224 [经济管理—国民经济] F832.51 [经济管理—金融学]

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参考文献2

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