An Empirical Study on the Linkage between SSE 50 Stock Index Futures and Stock Index Spot

摘要

In this paper, the daily data of SSE 50 stock index futures and SSE 50 index in the past two years from April 16, 2015 to March 16, 2017 are selected as the research object to study the lead relationship between SSE 50 stock index futures and corresponding stock spot price with the methods of co-integration test, Granger causality test, impulse response and variance decomposition etc. The results show that SSE 50 stock index future has a one-way effect on SSE 50 index, and SSE 50 stock index future has reflected the price discovery function.