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本文以沪深300仿真交易指数和沪深300现货指数为研究对象,通过协整检验,验证了股指期货与其标的现货之间存在着长期稳定的关系,并估计出其误差调整速度约为12.5028%。
This paper takes Shanghai and Shenzhen 300 simulation trading index and Shanghai and Shenzhen 300 stock index as the research object. Through the co-integration test, it verifies that there is a long-term and stable relationship between the stock index futures and its underlying stock, and estimates that the error adjustment speed is about 12.5028% .