VAR model and ECM model are used to study the lagged relationship of share index futures and spot,and it is considered that share index futures can provide information more quickly than spot market.
英
美
- 利用向量自回歸模型(VAR)、誤差修正模型(ECM),對股指期貨與現貨之間的超前滯后關(guān)系進(jìn)行了研究。研究結果表明,股指期貨能夠快捷有效地反映市場(chǎng)信息,股指期貨信息領(lǐng)先于現貨市場(chǎng)信息。
