The Impact of Stock Index Futures on Spot Market Volatility

被引：0

作者：

Yao, Yao ^{[1
]}

机构：

[1] Hangzhou Normal Univ, Hangzhou Inst Serv Engn, Hangzhou 310012, Zhejiang, Peoples R China

来源：

PROCEEDINGS OF THE 2016 INTERNATIONAL CONFERENCE ON EDUCATION, SPORTS, ARTS AND MANAGEMENT ENGINEERING | 2016年 / 54卷

关键词：

Stock Index Futures; CSI; 300; Index; Market Volatility; ARCH Model; CHINA;

D O I：

暂无

中图分类号：

G40 [教育学];

学科分类号：

040101 ; 120403 ;

摘要：

This paper studies the influence of stock index futures transactions on spot market volatility. Based on a modified GARCH model with a dummy variable, with a sample of daily data of CSI 300 index from 2005 to 2015, the empirical study examined the impact of CSI 300 index futures on the stock market volatility. The result indicates that after the launch of the CSI 300 index futures, the stock market volatility increased in the past five years. Policy measures such as improvement of both spot and futures market are necessary to contain the risks.

引用

页码：1244 / 1247

页数：4

共 6 条

[1] The effect of index futures trading on volatility: Three markets for Chinese stocks [J].

Bohl, Martin T. ;

Diesteldorf, Jeanne ;

Siklos, Pierre L. .

CHINA ECONOMIC REVIEW, 2015, 34 :207-224

[2]

Bologna P., 2002, Applied Financial Economics, V12, P183, DOI DOI 10.1080/09603100110088085

[3] Information transmission between US and China index futures markets: An asymmetric DCC GARCH approach [J].

Hou, Yang ;

Li, Steven .

ECONOMIC MODELLING, 2016, 52 :884-897

[4] The impact of futures trading on volatility of the underlying asset in the Turkish stock market [J].

Kasman, Adnan ;

Kasman, Saadet .

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2008, 387 (12) :2837-2845

[5] Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures [J].

Yarovaya, Larisa ;

Brzeszczynski, Janusz ;

Lau, Chi Keung Marco .

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2016, 43 :96-114

[6] Intraday Volatility Spillovers between Index Futures and Spot Market: Evidence from China [J].

Zhou, Zhou ;

Dong, Huiyan ;

Wang, Shouyang .

2ND INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY AND QUANTITATIVE MANAGEMENT, ITQM 2014, 2014, 31 :721-730

← 1 →