股指期货价格发现功能研究——基于印度Nifty 50股指期货的实证分析

Research into Price Discovery Function of Stock Index Futures

摘要: 使用基于VECM(向量误差修正模型)的Grangerr因果关系检验法验证了印度Nifty 50股指期货与现货市场之间的价格发现过程,结果发现现货市场在价格发现过程中占主导地位,在新兴市场国家的印度,股指期货缺乏价格发现功能.

Abstract: VECM model and Granger causality test are used to verify the price discovery process between India Nifty 50 share index futures and spot, and it is considered that the spot is dominated in price discovery, so we can draw a conclusion that the share index futures is lack of price discovery function in India which is one of new booming market countries.