Research on the relationship between CSI 300 stock index futures and its underlying stock index

DOI10.13383/J.CNKI.JSE.2017.05.008zbMATH Open1399.91112MaRDI QIDQ3175671FDOQ3175671

Authors: Feng He, Wei Zhang, Xiong Xiong, Jing Zhang, Xiangtong Meng 

Publication date: 18 July 2018

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zbMATH Keywords

correlationvolatility spilloverstock index futuresCSI 300

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (3)

• Research on the impact of investor attention on gold futures market from the perspective of high frequency
• The empirical study on the influence of the stock market's impact under the introduction of stock index futures
• Analysis of the relationship between the volatility of stock index futures and spot based on long memory model

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