An Empirical Analysis on Price Relationship of Stock Index Futures and Spot
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    Abstract:

    Using cointegration test and Granger causality test, this paper analyzes the trading data of CSI300 index futures. Results show that there is cointegration relationship between stock index futures and CSI300. Furthermore, CSI300 is Granger cause of the stock index futures price.

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刘敬伟,蒲勇健.股指期货期现价格关系实证分析[J].重庆大学学报社会科学版,2012,18(4):23~26

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