| Nowadays, future market, which has become an indispensable component in economy worldwide already, is playing an increasingly important rule in the stability of economy. Economists all over the world have been engaging in the task to relate spot market with future market which has function of price discovery and risk avoidance. Through applying co-integration theory into the research of the relationship between price in spot market and in future market to explore their long-term equilibrium connection.China is going to commence its own stock index futures in these years, learning about other markets' experiences is necessary, especially form those markets that have close relationship with china, like Hong Kong market. So the thesis takes HSIF&HSI as research object. Moreover analyze co-integration relation between HSI and HSIF. Besides, we use impulse response function and variable decomposition to detect the change in co-movement relationship among them as exogenous variables change according to empirical findings.We assert the follow:1. ADF test results showed that all the sequences can not refuse to have a single original sequence in a significant level of 5%, but it has refused tHSI assumption under test for unit root in 1st difference. Therefore, we are sure that HSIF and HSI are single root sequence. It consistent with the trend of random walks and conforms to our expectations.2. The ADF test result showed that it exist co-integration relationship between HSIF and HSI, there is a long-term stable relationship.3. Vector error correct model showed that: Although HSIF will interference by economy environment, the long term will return balance state via error correction, and the rapid speed is negative.4. Impulse responses analysis showed that there have intense response with a root standard deviation's interfere; the impulse responses degree will decrease along with times gone.5. Variance decomposition results showed that HSIF has more influence at price discovery function. |
PDF Full Text Request