Study on Effects of CSI 300 Stock Index Futures on Chinese Stock Market Volatility

被引：0
|
作者：
Hu, Yiwen [1 ]
机构：
[1] Shanghai Univ, Econ Coll, Shanghai 200444, Peoples R China
来源：
PROCEEDINGS OF THE 2016 INTERNATIONAL FORUM ON MANAGEMENT, EDUCATION AND INFORMATION TECHNOLOGY APPLICATION | 2016年 / 47卷
关键词：
CSI 300 Stock Index Futures; Volatility; GARCH model; TARCH model;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
At present, there is a growing concern on the effects of CSI 300 stock index futures on Chinese stock market volatility. This paper mainly studies the effects of introduction and price volatility of stock index futures on Chinese stock market volatility, which is based on the analysis of CSI 300 index. Based on the TARCH model, we find that the introduction of CSI 300 stock index futures reduce the asymmetric volatility of the stock market. Based on the GARCH model, we find that the price volatility of CSI 300 stock index futures have no significant effect on the volatility of the stock market.
引用
收藏
页码：344 / 350
页数：7
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