Correlation Analysis between the Futures Price and Spot Price of the CSI 300 Stock Index in China
DOI:
https://doi.org/10.62051/4hbkad19Keywords:
CSI 300 Index; Stock Index Futures; Correlation; Price DiscoveryAbstract
The introduction of stock index futures meets investors' needs for diversified investments and enhances the diversity of China's investment market. With the development of stock index futures, investors are increasingly focusing on the correlation between spot and futures prices. This paper employs a 4-lag VAR model, Granger causality tests, and other methods, utilizing daily data of China's CSI 300 stock index futures and spot prices from January 4, 2002, to June 14, 2024, to analyze their interrelationship. The results indicate a stable long-term relationship between the CSI 300 index futures and spot prices, and confirm that the CSI 300 index futures price possesses a price discovery function.
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