A Study of the Dynamic Correlative Relations Between Shanghai andShenzhen 300 Index Number Future Goods and Cash Markets——on the basis of the high frequency data since April 16,2010
作者：
文凤华;刘文井;杨晓光
作者机构：
长沙理工大学,经济与管理学院,湖南,长沙,410114
湖南省金融工程与金融管理研究中心,湖南,长沙,410004
中国科学院,数学与系统科学研究院管理、决策与信息系统重点实验室,北京,100080
[文凤华; 杨晓光; 刘文井] 长沙理工大学
语种：
中文
关键词：
指数期货;价格引导;波动溢出;信息传导
关键词(英文)：
index number future goods;pricing guidance;fluctuation overflow;information transmission
Since the official listing of Shanghai and Shenzhen 300 index number future goods on Aprial 16,2010,its dynamic relationship with the cash market has attracted wide attention to the supervisors and investors.According to the double variable quantity VECM-BEKK-GARCH model,this article,on the basis of data obtained within five minutes,brings to light the guiding relations between Shanghai and Shenzhen 300 index number future good pricing and the cash market as well as the fluctuation overflow between the two markets.It comes to the conclusion that whether in terms of the long-term or short-term ...
