Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model

被引：15
作者：
Ausloos, Marcel [1 ,2 ]
Zhang, Yining [1 ]
Dhesi, Gurjeet [3 ]
机构：
[1] Univ Leicester, Sch Business, Leicester LE2 1RQ, Leics, England
[2] Bucharest Univ Econ Studies, Dept Stat & Econometr, Calea Dorobantilor 15-17,Sect 1, Bucharest 010552, Romania
[3] London South Bank Univ, Sch Business, 103 Borough Rd, London SE1 0AA, England
来源：
EXPERT SYSTEMS WITH APPLICATIONS | 2020年 / 160卷
关键词：
TGARCH; CSI; 300; index; CSI 300 stock index futures; Index futures trading; Spot price variability; Co-integration causality tests; MARKET VOLATILITY; TIME-SERIES; ERROR-CORRECTION; CASH MARKET; LINEAR-DEPENDENCE; OPTION VALUATION; COINTEGRATION; CHINA; TRANSMISSION; DISCOVERY;
D O I：
10.1016/j.eswa.2020.113688
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
A TGARCH modeling is argued to be the optimal basis for investigating the impact of index futures trading on spot price variability. We discuss the CSI-300 index (China-Shanghai-Shenzhen-300-Stock Index) as a test case. The results prove that the introduction of CSI-300 index futures (CSI-300-IF) trading significantly reduces the volatility in the corresponding spot market. It is also found that there is a stationary equilibrium relationship between the CSI-300 spot and CSI-300-IF markets. A bidirectional Granger causality is also detected. "Finally", it is deduced that spot prices are predicted with greater accuracy over a 3 or 4 lag day time span. (c) 2020 Elsevier Ltd. All rights reserved.
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页数：12
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