This thesis analyzes the lead-lag relationship in the Chinese market based on the daily closing transaction data of the CSI 300 index and CSI 300 index futures. The data is processed through ADF, cointegration test, Granger causality test, impulse response analysis, error correction model, and volatility spillover eﬀect. It was ﬁnally found that CSI 300 index and CSI 300 index futures had no lead-lag relationship within the research time, but Chinese futures market open to the international market will help stabilize Chinese market.
|School:||Stevens Institute of Technology|
|Department:||School of Business|
|School Location:||United States -- New Jersey|
|Source:||MAI 82/1(E), Masters Abstracts International|
|Keywords:||Lead-lag relationship, CSI 300 index, CSI 300 index futures, China|
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