WANG Tuo, LIU Xing-wan. Research into Price Discovery Function of Stock Index Futures[J]. JOURNAL OF NANCHANG HANGKONG UNIVERSITY(SOCLAL SCIENCES), 2008, 10(3): 33-37.
Citation: WANG Tuo, LIU Xing-wan. Research into Price Discovery Function of Stock Index Futures[J]. JOURNAL OF NANCHANG HANGKONG UNIVERSITY(SOCLAL SCIENCES), 2008, 10(3): 33-37.

Research into Price Discovery Function of Stock Index Futures

  • 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.
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