Yan, Feiyu (2024) An Empirical Study of the Impact of Stock Index Futures on the Spot Stock Market. In: Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17–19, 2023, Beijing, China.
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Abstract
Employing the closing prices of the SSE 50 stock index futures and its underlying stock index on the trading day as sample data, this study explores the influence of stock index futures on the spot stock market. In the course of the investigation, a Vector Error Correction Model (VECM) is utilized,
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 17:16 |
| Last Modified: | 17 Apr 2026 00:15 |
| URI: | http://eprints.eai.eu/id/eprint/47620 |
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