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An Empirical Study on Stock Index Futures Price Plasticity and Elasticity

Author: FuBaoZuo
Tutor: WangXueFeng
School: Harbin Institute of Technology
Course: Finance
Keywords: price-volume relation stock index futures price plasticity stock index futures price elasticity spot price
CLC: F830.91
Type: Master's thesis
Year: 2008
Downloads: 99
Quote: 1
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Abstract


In the circumstances that the stock index futures will be carried out in the short time in China, the futures market become the attention focus of a lot of scholars. At present, domestic and foreign researchers mostly concentrate in the relation between futures price and spot price, the pricing of stock index futures, stock index futures hedging and arbitrage models and stock index futures price forecasting methods and so on, and price-volume research on stock index futures price is not enough comparing with the spot stock market and commodities futures market.This paper uses econometric tools, draws on the plasticity and elasticity conceptions in the mechanics fields and considers the relation between stock index futures price and trading volume in different aspects, in order to set up the complete stock index futures price plasticity and elasticity theory. Stock index futures price plasticity and elasticity theory combines trading volume with price, incorporates the information of the trading volume into the price array in order to analyze the behavior of prices, describes the inherent relation between the stock index futures price and trading volume from a new angle and perfects the investment analysis theories. The main content of this paper includes: (1)This paper introduces the thought source of stock index futures price plasticity and elasticity theory, and defines the new concepts, such as stock index futures equilibrium price, the plasticity of stock index futures price and the elasticity of stock index futures price; (2)This paper sets up stock index futures price plasticity basic model, plasticity power index model, mixed plasticity model, elasticity basic model, plasticity-elasticity model and plasticity-elasticity mixed model, uses the econometrics methods to carry on examination and theory explanations for these models, and analyses the consistency of them with existing investment theories. Econometric test results show that these models can pass the economic and statistical tests by large, but goodness-of-fit and DW severally vary. The mixed plasticity model does well in the explanation of stock index futures price plasticity, and plasticity-elasticity mixed model does in one’s elasticity; (3)The models in this paper can be used to predict stock index futures price. The empirical test results prove that the forecasting prices based on mixed plasticity model are more accurate, which is certainly valuable in supporting investors to forecast short-term prices as a new approach.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market > Securities market
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