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Dissertation/Thesis Abstract

The Lead-Lag Relationship between CSI 300 Index and CSI 300 Index Futures in China
by Zhou, Xiaoning, Master's, Stevens Institute of Technology, 2020, 71; 27993895
Abstract (Summary)

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.

Indexing (document details)
Advisor: Bozdog, Dragos
Commitee: Florescu, Ionut
School: Stevens Institute of Technology
Department: School of Business
School Location: United States -- New Jersey
Source: MAI 82/1(E), Masters Abstracts International
Subjects: Finance
Keywords: Lead-lag relationship, CSI 300 index, CSI 300 index futures, China
Publication Number: 27993895
ISBN: 9798662408210
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